Trade example

Figure 2 shows a 60-minute chart of the June 2007 eurocurrency futures (ECM7) from 6 p.m. ET on March 29 to 5 p.m. ET on March 30. All four trade rules were triggered during this period, and each signal captured profits as the euro followed its historical intraday pattern perfectly. At 6 p.m., the system placed a sell limit order above the market, which was filled at 1.3375. The euro fell, and the short trade was closed three hours later at 1.3366 — a 9- point gain ($112.50). Next, the system bought the euro at a limit from the 9 p.m. close (1.3366) and exited at 1.3381 three hours later — a 15-point gain ($187.50).

Shortly after 5 a.m., the system sold the market at a limit 3 points above that bar’s close (1.3357) and exited at the 7 a.m. bar’s close (1.3345) — a 12-point gain ($150). Finally, euro futures rebounded around 11 a.m., and the system bought at a limit 2 points below the 11 a.m. bar’s close (1.3350) and exited at the U.S. equity markets close four hours later (1.3396) — a 4-point gain ($575). The fourth trade was significant, because it captured a large move at the end of the month (and quarter).