Could do with a hand with a strategy

[rnicoll]

Tripped over this while trying to make a MACD trend follower. Basically uses MACD and momentum as the basis of a contrarian trader; NinjaTrader script attached. Suppled parameter values work well for most currencies, but it will need tweaking to get it to work with anything else.

Problem is, it's got some serious drawdowns, and while it rarely loses money over the long term, especially with a decent bucket of thing to trade, I'm a little concerned that it barely breaks even Sep-Dec last year. So, I'm hoping people can give me ideas how to get it a litle stabler.

For those of you without NinjaTrader; it uses MACD with 7, 35 and 9 as slow, fast and smooth, momentum over the last 7 time periods. I've tested mostly with minute bars. When the MACD histogram is positive and momentum is over 0.001, it goes short. When MACD histogram is negative and momentum is less than -0.001, it goes long. It leaves the market at end of the day, and otherwise just reverses position continually.

 

[leovirgo]

I am not clear about your exit and stop. when do you exit? where is your stop? why don't you include overall market's sentiment for the day as a filter. say, when the market is strongly bullish, don't go short on that day. I used MACD and momentem in a similar way and it was not a good idea to buy when the whole market is going south. ( how did it perform on 17/18th May 2005, and 27/28 Feb 2007?) it is not suitable when you must close by end of day.