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 ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Jan 14, 2005, 3:35pm   #1
 
FetteredChinos's Avatar
Joined Jun 2003
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
FetteredChinos is offline   Reply With Quote
Old Jan 14, 2005, 3:37pm   #2
 
FetteredChinos's Avatar
Joined Jun 2003
FetteredChinos started this thread show me the way to go home......
Attached Thumbnails
equity.jpg  
FetteredChinos is offline   Reply With Quote
Old Jan 14, 2005, 3:38pm   #3
 
FetteredChinos's Avatar
Joined Jun 2003
FetteredChinos started this thread im tired and i wanna go to bed...
Attached Files
File Type: xls CHINOS MAs T2W.xls (1.21 MB, 821 views)
FetteredChinos is offline   Reply With Quote
Old Jan 14, 2005, 3:51pm   #4
 
FetteredChinos's Avatar
Joined Jun 2003
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
Attached Files
File Type: xls Dow Dow, Deeper and Dow.xls (734.0 KB, 521 views)
FetteredChinos is offline   Reply With Quote
Old Jan 14, 2005, 5:29pm   #5
 
trendie's Avatar
Joined Jan 2004
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.
__________________
# 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
trendie is offline   Reply With Quote
Old Jan 14, 2005, 5:32pm   #6
 
FetteredChinos's Avatar
Joined Jun 2003
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
FetteredChinos is offline   Reply With Quote
Old Jan 14, 2005, 5:38pm   #7
 
trendie's Avatar
Joined Jan 2004
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 ?
__________________
# 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
trendie is offline   Reply With Quote
Old Jan 14, 2005, 5:54pm   #8
 
FetteredChinos's Avatar
Joined Jun 2003
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
FetteredChinos is offline   Reply With Quote
Old Jan 17, 2005, 10:31am   #9
 
7 Posts
Joined Aug 2004
excellent spreadbet strategy

a few years ago this strategy would be impossible but for the well heeled. now with spreadbetting, this is a quick way to a huge drawdown, some over the weekend woes, a head splitting ache of regret, and a few pennies in your pocket at the end of the year.

i like it!

no targets eh?
mezarashii is offline   Reply With Quote
Old Jan 17, 2005, 11:00am   #10
 
FetteredChinos's Avatar
Joined Jun 2003
FetteredChinos started this thread nah. course not..

this was just something that i discovered by tinkering around. i agree that that it requires a hefty account, and intra-trade drawdowns are likely to be huge, but i was surprised by the way it worked..

i attach a sheet which simplifies the method. no other parameters other than:-

if todays close is greater than the 10 period SMA then short at the close
if todays close is less than the 10 period SMA then go long at the close

close all open positions on the last trading day of the month.

seems to average approx 400 points per month..

trading at £1 per point with a £5000-£10,000 account represents a decent enough return.

consistently profitable over 7 years. i think thats a reasonable method.

obviously it can be improved. but the basic method seems sound..

FC
Attached Files
File Type: xls Fading MAs.xls (651.0 KB, 426 views)

Last edited by FetteredChinos; Jan 17, 2005 at 11:09am.
FetteredChinos is offline   Reply With Quote
Old Jan 19, 2005, 4:37pm   #11
 
FetteredChinos's Avatar
Joined Jun 2003
Thats a LOT of points

FetteredChinos started this thread ok, i know it is multiple contracts etc..

but rather than closing out the trades at the end of the month, look what a more "dynamic" exit strategy can come up with.

this isnt the best i have discovered, but it is still a huge improvement on the previously posted sheet.

win rate is also looking healthy. but that is probably due to the lack of stops involved in this strategy.

again, a sizeable account needed to trade this fella, but hey, it works (at least in theory)


Entry rules:- same as a above:- if closing above the 10 period SMA go short, if closing below, go long. Multiple positions can be held at any time.

Exits - now this is where things get complicated, and probably needs a spreadsheet to keep track of them.

Short exit:- todays close is below the low of the previous 4 days. close all short positions, leave the longs open

Long exit - todays close is above the high of the previous 4 days. close all long positions, leave the shorts billowing in the wind.


stats using this strat are:-

Total points 77258.92
Trades 1647
Wins 1260
Win % 76.50%
Pts / trade 46.91
Average Win 97.58
Average Loss -118.07
Max days held for short 33
Max days held for long 31
Profit Factor 2.69
"Drawdown" 7792.6


again, trading this with a large account looks like bagging 40pts a day or so on average.

again, maximum stress levels are to be associated with such methods, as pointed out by mezarashii !!!

hope this idea triggers a few thoughts....
Attached Files
File Type: xls NON TIMED EXIT.xls (1.24 MB, 241 views)
FetteredChinos is offline   Reply With Quote
Old Jan 19, 2005, 7:40pm   #12
 
the blades's Avatar
Joined Aug 2004
Great stuff FC......

Is there some way of telling from the SS how many positions are open at any time (I may be missing the obviois here?) in order to calculate the ammount of "capital employed"?

On a more general note, I love to study the systems you share (and big thanks for sharing them) and was wondering, do you trade any of them? If so, what measure do you use to decide which ones to trade?

Cheers,
UTB
__________________
you fill up my senses
the blades is offline   Reply With Quote
Old Jan 19, 2005, 9:03pm   #13
 
gcb01's Avatar
Joined Nov 2003
Help Please

FetteredChinos

I've built a number of models in the past, none of which could be tinkered with (by me anyway) to show a cumulative profit. So I was very interested to have a look at your system. Need some help here:
1. SMA column is 23 period not 10 period average.
2. "Short Exit" formula takes the next day's value not the previous if the condition is FALSE.
3. Likewise for "Long Exit".
4. "Short profit" seems to be accumulated for every day its open rather than when it is closed and I don't see how multiple open positions are calculated. ( was expecting some sort of average entry price).

Can you explain? I'm happy to help fix if these are errors rather than my misunderstanding.

Cheers
__________________
Campbell
gcb01 is offline   Reply With Quote
Old Jan 20, 2005, 12:45pm   #14
 
FetteredChinos's Avatar
Joined Jun 2003
FetteredChinos started this thread now worries guys, thanks for looking at this...

gcb, in response to your questions...

1) agreed. whoops. i was tinkering with different SMA periods. if you change the number of periods, pretty much anything from 10-50+ yields a profit

2), 3) & 4) the exit formulas are my way of trying to code multiple postions at once. look at the numbers, bearing in mind we are trying to exit at the first match of the exit criteria.

eg the first time we hit the short exit criteria is 23/1/1998 at 5181.4

each time we meet an entry criteria, as displayed in column M, then i take the direction of the trade. and calculate the difference between the entry price, and the price when we first meet the exit criteria, which is displayed in column N.

same goes for Long entries.. just have a look at the numbers, rather than the formulae to see how it kinda works.

to use my previous example, on the 16/1/1998 we went short at 5263. this then exited at 5181 on the 23 for 82 points (column P)

then on the 17/1/1998 we added another short position at 5273 and also exited at 5181 on the 23/1/98 for 92 points (column P)

the cumulative position for these two trades is shown in column S and stands at 173.9

there is a bit of artistic licence with regards to the cumulative positions being showin, but it is there to simplify the calculations, otherwise we would end up with even more columns than we have already.


does that help?

FC


ps, i havent started trading these as yet. am gonna fwd test for a while. to verify my results on various new strats

i havent got the time to trade fully at the moment as je suis tres occupé au travail a ce moment.



roll on summer.

FC
FetteredChinos is offline   Reply With Quote
Old Jan 20, 2005, 12:56pm   #15
 
FetteredChinos's Avatar
Joined Jun 2003
FetteredChinos started this thread further to my earlier post about which system to trade, this is the one that is at the forefront of my thinking and is based on such a simple entry criteria it is a joke..

Total points 31658.64
Trades 536
Wins 413
Win % 77.05%
Pts / trade 59.06
Average Win 107.04
Average Loss -102.01
Max days held for short 33
Max days held for long 31
Profit Factor 3.52
"Drawdown" 2265.2


im not going to divulge this one, until i come up with something a lot better...

what most appeals is the profit factor.. one of the highest i have come up with so far

fc
FetteredChinos is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Moving Averages - What do you use ? nkruger Technical Analysis 11 May 15, 2007 9:52am
Moving Averages, has anyone tried this stoploss please Technical Analysis 2 Dec 28, 2005 9:05pm
Moving Averages SAINT Forex 23 May 2, 2005 9:40pm
moving averages Charles Technical Analysis 3 Mar 28, 2001 6:26pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)