Momentum Strategies Inwards Futures Together With Forex

I bring long establish that it is easier to uncovering practiced (i.e. high Sharpe ratio) mean-reverting strategies than practiced momentum strategies. Partly, that is because I was mainly a stock trader instead of a futures/currencies trader, in addition to private stocks mean-revert most of the time. There are exceptions, such every bit later on special corporate events such every bit earnings announcements, in addition to I bring tested momentum strategies based on these events. But the success of fifty-fifty these event-driven strategies has been uneven, specially since to a greater extent than traders larn aware of them.

Now that I am focusing to a greater extent than on trading futures in addition to currencies, I bring gradually been introduced to the basis of momentum investing. There is a practiced mass inward this expanse that deserves to last improve known: Joe Duffy's The Ultimate Trading Robot, which is an nearly step-by-step direct to constructing futures trending strategies that rely on prices alone. Another instance would last the London Breakout strategy mentioned past times our reader Bernd inward the comments here. After studying these examples, I realized why my previous, rather desultory, search for momentum strategies inward the futures in addition to FX markets had been inward vain: the overnight gap inward these markets seems critical. For futures, the overnight gap is obvious, simply inward the instance of the London Breakout strategy, for example, the trader has the chore defining for herself what the optimal closing in addition to opening times are inward club to compute the gap. Intraday tendency without an overnight breakout does non appear persistent plenty to last traded profitably. I likewise wonder if at that topographic point is a to a greater extent than elegant (i.e. mathematical) style to quantify such breakout phenomena without using the traditional technical indicators.

If yous know of ideas for practiced momentum strategies, yous are most welcome to portion in addition to hash out them here!