RSI profitability with money management by Thomas P. Drinka and Steven L. Kille
In the April 1987 issue of this magazine, we reported the results of applying moving averages,
momentum, Williams' %R, Wilder's Relative Strength Index, and Wilder's Directional Movement Index
to Eurodollar futures traded at the International Monetary Market of the Chicago Mercantile Exchange. In
the April article and this one, we report simulated trading of the 1983-1985 March, June, September and
December contracts for the period of Dec. 2, 1982, through Dec. 1, 1985. Simulations were conducted on
the nearby contract only, with roll-over occurring on the first trading day of the expiration month. Trades
were made at the open, and a $100 commission was charged per turn.