After discussion here — — decided for curiosity to see how some strategies will work for the RI futures. Downloaded 1-hour quotes from Finam with 2006 years and ran several trend-following strategies, which I use for portfolio trading on American futures. To my mind, any training tracking system will earn on RI, even on intraday charts, sorry only the sentries downloaded from Finam, I should also check on smaller frames. All in all, I don’t know all the intricacies of RI trading, since I have never traded, therefore, tests without slippage and commissions on hourly timeframes with one contract without reinvestment.. I must say that these systems do not earn at all on American intraday futures., but they lose and even on daily charts such growing equity does not work out on tests.
All examples are unoptimized, just how the system was, so drove her away. If you optimize, you can surely achieve perfect smoothness :)
And this is, at all, joke — price channels with period 2 :
What is the snag?
For a visual comparison, an example of the same system(second) for hourly timeframe ES futures
