AUD futures Monthly Trend-following
In this analysis we will consider the AUD futures. Dividing the time series starting in 2003, we will look for an entry that breaks a monthly high-open candle formed the same month as the year before.
Image 1 – AUD chart (source: https://it.tradingview.com/symbols/CME-6A1!/)
More precisely, we will check each month whether an upward movement has occurred that exceeds the tick movement of the same month in the previous year.
The condition is then:
(high-open)mt > (high-open)mt-1 where
m = month
t = year
If the condition occurs, we will enter the same direction as the market (Long).
Avremo cosi un Win ratio totale pari al 59%.
And by splitting the results into quarters, we get the following situation.
|
Win Ratio |
Mean tick movements |
|
|
1 quarter |
56% |
0,0025 |
|
2 quarter |
52% |
-0,0009 |
|
3 quarter |
72% |
0,0166 |
Table 1 – Results by quarter.
As we see from the table, the third quarter (Sep-Oct-Nov-Dec) better complies with the trend-following strategy.
Giuseppe Ferrulli
CEO, Radiqant
