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OK. I used 60 minute bars that take into account the U.S. cash session only (800 - 1500 Central). Buy if price is above a 200 period moving average. Close order at end of the day. Only trade once per day. Longs only.
This was done quick N dirty as I just realized orders are entered at the close of the first hour. Forgot to change that! Anyway, still think we get the gist of the study.
Here are the numbers.
Intray day trading
No Slippage, No Commissions
11//28/2005 - 11/30/2010
Just realized that maybe 1hour timeframe is too long for cash session only study and the currency futures US cash session is 7:20AM-2:00PM Central Time although I doubt both of these will change the results. Also, do you think the trend will be better define by using a simple strategy of MA crossovers (i.e. 50MA/200MA crossover)?
Now that we determine currency is better for trend trading.....to expand on this study, we can compare Europe session (2AM-7:20AM Central) vs US session (7:20AM-2:00PM Central) to determine which time the best trends occur on an intraday basis, ignoring obviously the overlap in sessions.