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| APR 1987
Profitability of selected technical indicators by Steven L. Kille and Thomas P. Drinka, Ph.D
Profitability of selected technical indicators by Steven L. Kille and Thomas P. Drinka, Ph.D In previous issues of this magazine, we have reported the results of applying moving averages, momentum, Williams' %R, and Wilder's Relative Strength Index to Chicago Board of Trade corn and long-term U.S. Treasury bond futures, as well as to silver on the Commodity Exchange of New York (COMEX). In this issue, we report similar information for Eurodollar futures traded at the International Monetary Market of the Chicago Mercantile Exchange. In addition, we will report results of applying Wilder's Directional Movement Index (DMI). (See S&C, November and December 1985 for a discussion of the formulas and uses of these indicators and trading system.) In this research, we simulated trading of the 1983-1985 March, June, September, and December Eurodollar-contracts. The simulations were conducted on the nearby contract only, with roll-over occurring on the first trading day of the expiration month. We present trading results for the period of Dec. 2, 1982 through Dec. 1, 1985. Trades were made at the open, and a $100 commission was charged per turn.
by Steven L. Kille and Thomas P. Drinka, Ph.D
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