Novel use of Moving Averages

This is a discussion on Novel use of Moving Averages within the Trading Systems forums, part of the Methods category; Ah yes, friday, the day of long boozy lunches, if only every day was like this.. anyway, my workshop has ...

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Old Jan 14, 2005, 3:35pm   #1
 
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Novel use of Moving Averages

Ah yes, friday, the day of long boozy lunches, if only every day was like this..

anyway, my workshop has been busy, and decided to air another system in public.

again, it is one of my silly monthly settlement methods, but with a few filters in place to reduce duff trades owing to seasonal variations etc....zzzzzzz....

here are the stats...trading the FTSE end of day (untested on other indices, but seems to work ok-ish on GBP/USD)

Points 40483.72
Trades 1148
Wins 684
Win % 59.58%
Average Win 52.06
Average Loss -28.41
Profit Factor 1.83


and now the rules:-

put up a 10 SMA and a 20 SMA on your charts....

then if the daily close is above the higher of the 2, then sell at the close. (or as near as)
if the daily close is below the lower of the 2, then buy at the close (or as near as)

take the trades cumulatively, and close all positions out on the first trading day of the next month.

dont take any trades in august or september (this is where curve-fitting could be a fair accusation, but since 1998 these two months have a net loss of some 8,000 points or so. this is probably statistically significant)

the idea of not trading when the price is between the SMA's is to filter out the breakeven trades (i did a quick tinker, and those days that trade between the two end up with a slight net loss after costs. therefore makes sense to remove them from the strat)


i'll do some further tinkering avec le Dow when the Stella has worked its way through my body.....


spreadsheets and equity curve to follow.


FC
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Old Jan 14, 2005, 3:37pm   #2
 
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FetteredChinos started this thread show me the way to go home......
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Old Jan 14, 2005, 3:38pm   #3
 
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FetteredChinos started this thread im tired and i wanna go to bed...
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Old Jan 14, 2005, 3:51pm   #4
 
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FetteredChinos started this thread hmm, seems to work ok-ish on the Dow.

equity curve a little on the scary side, but still hugely net-positiive.....


this is with the same parameters. havent tried to optimise the MA settings either..

also, removing august and september has a largelyt psositive effect...

FC
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Old Jan 14, 2005, 5:29pm   #5
 
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Quote:
Originally Posted by FetteredChinos

also, removing august and september has a largelyt psositive effect...

FC
Hmm.. May I suggest you put more tonic in your lunch ?

Seriously, good stuff FC.
Another weekend to spend dissecting this strat.
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Old Jan 14, 2005, 5:32pm   #6
 
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FetteredChinos started this thread no worries.

found a modicification that makes it both simpler, and still comes up with similar results..

simply fade the close versus 1 moving average. periods from 10-30 seem to work best, which impliers a certain robusterness.

i may post a sheert later.

fc
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Old Jan 14, 2005, 5:38pm   #7
 
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The key advantage of these ideas seems to be that they are EOD strats, thus allowing traders to try out the ideas without risking leaving ther jobs.

Is that your mindset, FC ?

I wonder if the advantage of being in front of a screen really gives any greater financial advantage.
I seem to have found an affinity for FX gbpusd, but I lack the patience to sit around waiting for something to happen.

Do you find the "place an order and go then forget it" strats productive ?
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# If the only tool you have is a hammer, you tend to see every problem as a nail - Abraham Maslow
# There are 10 kinds of people in the world; those that understand binary, and those that dont. -Anon
# Ed Seykotas Whipsaw Song http://www.youtube.com/watch?v=LiE1V...Wlxk8&index=10
# Defeat is temporary. Giving up makes it permanent. Anon
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Old Jan 14, 2005, 5:54pm   #8
 
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FetteredChinos started this thread yup trendie. thats precisely the idea.

my aim is to try to become a professional golfer (current handicap about 10-14 ish) and with enough practice im sure i could get down to scratch, or better.

as a result i need to get practising, yet still be able to fund day to day existence.

hence trading..


gotta have a dream, gotta have a dream.


just ask kevin costner.

fc
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