wildshoetwt
Junior member
- Messages
- 25
- Likes
- 1
I'm not yet willing to give the details on it. Let's just say it's two weighted moving averages, simple crossing strategy, that's it, no risk management or stop loss, no filtering, no oscillators, no nada.
My problem is that I'm still not 100% sure if these results can be trusted. Is it possible that WHEN the moving averages have crossed, that 2, 3, 4 bars have already been printed. I assume that 1 bar AFTER the crossover has to print to bring the average across, but is it possible that with a weighted average it takes 2 or more bars to "bring the average across"? If this is true, then the data I am using to enter and exit trades is off..
If this is true, how then do I test this strategy with the proper entry/exit data?
Here are the details from thinkORswim's crappy backtesting system, using 2 contracts on the Russell 2000 mini futures over 180 days (the contract I obtained the most outsized returns from while backtesting)...equity curve for the Long strategy data at the bottom
My problem is that I'm still not 100% sure if these results can be trusted. Is it possible that WHEN the moving averages have crossed, that 2, 3, 4 bars have already been printed. I assume that 1 bar AFTER the crossover has to print to bring the average across, but is it possible that with a weighted average it takes 2 or more bars to "bring the average across"? If this is true, then the data I am using to enter and exit trades is off..
If this is true, how then do I test this strategy with the proper entry/exit data?
Here are the details from thinkORswim's crappy backtesting system, using 2 contracts on the Russell 2000 mini futures over 180 days (the contract I obtained the most outsized returns from while backtesting)...equity curve for the Long strategy data at the bottom
Strategy: Long
Symbol: /TF
Work Time: 2010-12-22 - 2011-09-08
Max drawdown: $1,300
Max gain: 6,300.00
Total P/L: 110,420.00
Total 238 order(s)
Strategy: Short
Symbol: /TF
Work Time: 2010-12-22 - 2011-09-08
Max drawdown: $1,500
Max gain: 22,600.00
Total P/L: 118,960.00
Total 209 order(s)
Last edited: