In the October Futures feature, "Learning to trade: It’s academic," Leslie McNew and Tup Ingram described a trading strategy that McNew’s students at the University of Dayton Business School would be implementing in a simulation. The strategy is based on the four-hour girth model first described in the December 2008 issue of Futures and is applied to the euro currency.
The Flyer FOREX Fund Girth Model closed three trades for the week of Feb. 28 to March 5.
Trade #1 was a long (trade from 2/26/10) that had a loss of 94 tics.
Trade #2 was a short that had a loss of 98.7 tics.
Trade #3 was a long that had a loss of 29.2 tics.
Consolidation from mid February to the current March period has negatively impacted the Flyer Forex Fund's performance.
The fund is currently short at 100K EURUSD at 1.35662.
Floating P/L is -57.8 tics.
Current Return since inception (9/6/09) is -15.02%; annualized return = -30.30%