V.5:6 (214-216): Eurodollar futures using entry/exit methods combined with stops by S.L. Kille and T.P. Drinka

Eurodollar futures using entry/exit methods combined with stops by S.L. Kille and T.P. Drinka

In the May 1987 issue of this magazine, we reported the impact of money management on total net profit from simulated trading of Eurodollar futures with Relative Strength Index (RSI) using stops and filters. We simulated trading of the 1983-1985 March, June, September and December contracts for the period of December 2, 1982 through December 1, 1985. The 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. We ran 1,089 RSI parameter combinations: RSI length was incremented from a 4-day to a 20-day by 2-day steps, the short parameter was decremented from 90 to 60 by 3-point steps, and the long parameter was incremented from 10 to 40 by 3-point steps.