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Author Topic: Much Ado About Moving Averages  (Read 2636 times)
JustAnotherSheep
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June 11, 2014, 05:23:22 PM
 #21

I backtested from 1/1/2012-6/1/2014.  Here is what we get: net profit $805, 46 trades, 60% profitable, 23% drawdown and a profit factor of 3.25. It looks like the short SMA values caused most of your losses through whipsaw trades. You can see the results on the link below:

http://i.imgur.com/FFCEU5N.png

When you email us for bitconnector, then reference this forum post and I'll also send you the strategy code.  In NinjaTrader the backtesting allows you to easily change all the variables when backtesting, so I made all the lookbacks into variables.

Also, oda.krell is right about including slippage and commissions to make results the most realistic.  I didn't include them, but various levels of slippage/commission can be added as well as order quantity can be changed.
Ah, shame, I had such a good feeling about it Cry

Oh well, thanks for designing and trying it out anyhow! Just emailed you guys, so hopefully I can get started with devising funky strategies as soon as possible. I'm still of the conviction that the MACD+MA combo has great merit, just need to alter it some to adjust for "noise" signals resulting in the whipsaw trades. Maybe change the short SMAs to DEMAs since, as you say in the OP, they're supposedly better.

Is it a bull? Is it a bear? No, it's just another sheep.
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