Momentum Trading Strategy: USD Pairs Part 2

Not long ago, I distributed the first piece of this arrangement, which clarified how exchanging a "period arrangement" force technique limited to USD and EUR coin combines and crosses has truly performed far superior that executing a "best of" energy system over a universe of coinage, in any event over late years.

In this second part, I will dive into the points of interest of the aftereffects of the back test I led, and demonstrate the distinctions in execution between the EUR sets and the USD sets, and additionally looking at how general execution can vary with the utilization of specific channels.

USD versus EUR Currency Pairs and Crosses

I wrote in Part 1 that "Over a time of 6 years – from April 2009 to April 2015 – on the off chance that you took a gander at the 28 most essential cash combines and went long or shy of each consistently relying on its think back times of 13 or 26 weeks, the main monetary forms creating positive results were the EUR and the USD. Both monetary standards would have created an arrival of 110% each based upon the 26 week think back period (comparing to 6 months). Utilizing the think back time of 13 weeks (relating to 3 months) created a positive aftereffect of 161% for the USD and 82% for the EUR."

How about we examine these outcomes, by directing a 13 year back test on USD and EUR cash matches and crosses (finishing up in 2015), and working however the numbers.

4 Week Period

The main think back period was 4 weeks (relating to 1 month). The outcomes are demonstrated as follows:

USD

EUR1

The USD sets accomplished gainfulness, however would have been in a draw down for over three years to date. The EUR matches and crosses were reliably unfruitful. Generally, the joined result was marginally positive over the period, by 19.46%. This period is truly too short to utilize, in spite of the fact that it appears to be equipped for giving some benefit over the long haul.

13 Week Period

USD2

EUR2

The outcomes for 13 weeks (comparing to 3 months) look vastly improved, in spite of the fact that it must be noticed that both sets were under a draw down for more than 33% of the period. The USD sets performed better, at 328.44%. The joined return for both was 485.58%. This resembles a decent time period to use as a think back.

26 Week Period

USD3

EUR3

The outcomes for 26 weeks (comparing to 6 months) additionally look great, and conceivably far better than the 13 week results. The USD result specifically looks phenomenal, with a decently reliably rising value bend, and a shallower draw-down amid the prior piece of the back test contrasted with the 13 week results. The USD sets performed better, at 317.43%. The consolidated return for both was 388.19%. This likewise resembles a decent time period to use as a think back.

52 Week Period

USD4

EUR4

The outcomes for 52 weeks (comparing to 1 year) don't seem to look great, in spite of the fact that the outcomes are extensively superior to the 4 week results. The EUR result specifically looks fascinating, with return of 196.83%. The USD sets performed much more awful, at just 49.89%. The joined return for both was 246.72%.

Examination of Results

Time Period USD Performance EUR Performance TOTAL Performance Maximum Drawdown Longest Drawdown

Table1

One further thought must be represented: the exchange cost. There would be roughly 3,000 exchanges taken, which may represent a deducted of around 30% from the general benefit, and would increment to some degree the span of the greatest drawdowns and stretch the longest drawdown.

Considering this, we can make a couple of determinations:

1. The outcomes for the USD sets look superior to anything the outcomes for the EUR combines and crosses.

2. The type of the USD results look more sensible, with every time period demonstrating a benefit, which appears to frame a ringer bend, cresting around 13 to 26 weeks.

3. It seems likely that this system can endure an around 4 year drawdown, even with a great long haul execution.

4. The conspicuous routes the back test may be enhanced would be by adhering to USD combines just, and maybe taking just the exchanges that qualify under both the 13 and 26 week time period look backs, as a sort of "various time allotment exchanging" channel. The outcomes for this variety are demonstrated as follows.

USD5

The USD execution was 310.90%, practically identical to the USD results for both the 13 and 26 weeks as standalone periods.

However the most extreme drawdown was impressively lower at just - 54.51%.

The longest drawdown was 237 weeks, which is entirely tantamount to the prior results.

The philosophy additionally brought down the aggregate number of exchanges, in this way delivering a more noteworthy return for each exchange and reducing exchange costs.

Including the EUR matches and crosses does not enhance the drawdown resu