Index Futures vs. Currency Futures

Discussion in 'Automated Trading' started by TooBusy, Jan 9, 2018.

  1. TooBusy

    TooBusy

    Hello all,

    I am running a system (Ninjatrader) I designed by myself since 3 months and I am very pleased with the results. My approach is described best as inatraday trend following. Entry criteria is price action with some filters, but nothing fancy.

    What bothers me, is, that my system does good on index futures (NQ, TF, YM, FDAX) but not so good on currency futures and I don't know why. Because of the way I designed it, it is very hard and time consuming to track and analyze the trades. So in reality I have no clue why it's not working in currency futures.

    If my underlying assumptions about the market are not compatible with the currency market, then I am fine with it. I just want to know. Is there someone who can shed some light on it? Please educate my, it really bothers me. :)

    Thank you very much!
     
  2. IAS_LLC

    IAS_LLC

    Could it be indexes are strongly trending, and currencies tend to be more more mean reverting in nature?
     
  3. dklb44678

    dklb44678

    Trending and mean reverting is always a matter of timeframe. A market who is currently mean reverting on one timeframe can be trending on another and vice versa.
     
    CALLumbus likes this.
  4. cvds16

    cvds16

    currency futures have big spreads compared to something like Tickmill, you might want to trade spot instead
     
  5. patrickrooney

    patrickrooney Sponsor

    The major currency futures have one tick spreads @cvds16. It is misleading to say those are big spreads. fxe.png
     
    MoneyMatthew and MattZ like this.
  6. cvds16

    cvds16

    Tickmill has 0.1 to 0.2 pips spread
     
  7. Handle123

    Handle123

    It maybe traded better in hours of the home country
     
    cvds16 likes this.
  8. Sig

    Sig

    Could it be because index futures have a positive bias and currency is neutral? Are you long more than you're short?
     
  9. MattZ

    MattZ Sponsor

    Why should one system across all asset classes? Some traders need to apply one system for ES and then a totally different one for NQ/RTY, etc. If you have a system that works on indices then just trade that and not force it on other groups. That is just my advice.

    What I find interesting that your system also works on FDAX. This is because it has a higher volatility than NA indicies.
    Are your results real or simulated?
     
    MoneyMatthew and patrickrooney like this.
  10. TooBusy

    TooBusy

    In order to develop another system I want to know why my current one isn't working on currencies. Then I can build on this knowledge and try another angle.

    I don't know why but my system works equally good on FDAX an NQ. Results are from live trading. Maybe the reason is that my signals are based on price action.
     
    #10     Jan 15, 2018