V.10:7 (287-290): Technically Trading The Yen With Money Management by Timothy L. Krehbiel, Thomas P. Drinka, and Gisele F. Hamm

V.10:7 (287-290): Technically Trading The Yen With Money Management by Timothy L. Krehbiel, Thomas P. Drinka, and Gisele F. Hamm
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Technically Trading The Yen With Money Management By Timothy L. Krebiel, Thomas P. Drinka, Gisele F. Hamm

Any good trading methodology includes selecting the best indicators for a tradeable and applying money management techniques to hold on to profits. In the April 1990 STOCKS & COMMODITIES, 34 indicators were tested for profitability. Here, Timothy Krehbiel, Thomas Drinka and Gisele Hamm take the indicator that was found to be most profitable and combine it with different money management techniques to statistically test for profitability. First, the indicator and money management strategy was optimized over one year's worth of data. Then the strategy was tested for the following quarter. Next, the simulator moved everything up one quarter and repeated the process. The goal of the study was to determine if money management strategies could enhance the profitability of optimized trading strategies.

Speculators and commercial hedgers who trade currency futures often use technical analysis to determine trading signals. Previously, we reported on the profitability of 34 technical indicators used to simulate trading of the International Money Market (IMM) yen futures contract; some of these indicators exploited price trends, while others exploited price volatility.

This time, we report on the results of a second study that builds on the results of the speculation study only. For this study, we selected the technical indicator that appeared to be the most profitable in the previous study and used it with various money management strategies to assess the impact of these strategies on profitability.

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