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Author Topic: What EMA Crossovers are the most successful? Let's find out  (Read 1083 times)
let_me_backtest_that (OP)
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June 02, 2014, 02:13:13 PM
 #1

EMA crossovers are popular entry/exit signals.  It would be worthwhile to know which combinations have been the most successful in the past.

If you give me:
EMA entry crossover (i.e., 10/20)
EMA exit crossover (these can be different than the entry points)
Timeframe (days or hours or minutes etc)

I will spit out:
% profitable
Profit Factor (ratio of dollars made to dollars lost)
Total net profit (assuming no commisions and trading 1 BTC per trade)

A few points:

-I am backtesting from 1/1/2012 to the present.
- I am doing the analysis through NinjaTrader
-This isn't the holy grail.  Past performance doesn't imply future results etc.  This is merely for research purposes, but if anyone wants to further warn about the dangers of curve fitting, then that's fine too.
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let_me_backtest_that (OP)
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June 02, 2014, 02:33:40 PM
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Here would be an example:

Let's take the 10/20 EMA crossover. A strategy buying/selling 1 BTC has the following results: net profit = 560.10.
 18 trades with 33.33% profitable
 Profit Factor = 3.95
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June 02, 2014, 03:04:27 PM
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What about 200 sMA (not EMA)? Entry and exit when price crosses.
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June 02, 2014, 03:15:23 PM
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8/41 on daily ain't too bad.
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June 02, 2014, 04:08:09 PM
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Bitcoin_is_here_to_stay-
I would need to write a strategy for the 200 Day SMA. I imagine that others will want to know this, so I will write something up.

zoinky-

As far as the 8/41.  Here is what you get: 9 Trades - 44% profitable - Profit factor 99:1 - Net Profit 773.56 (trading 1 BTC and no commissions)
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June 03, 2014, 05:15:44 AM
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Net Profit 773.56 (trading 1 BTC and no commissions)

773.56 what? USD?


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