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--- In amibroker@xxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx> wrote:
> I was informed by various authors that macd crossovers may
> give a nice, low-profile trading system.
>
> buy=cross(macd(),signal());
> sell=cross(signal(),macd());
There was a study published in a journal that showed that a simple
EMA crossover system produces statistically significant returns
greater than the major indexes. Kaufman in his book on Trading
Systems found the same result.
We know that prices fall much faster than they rise. With the MACD it
uses the same period of moving average for both longs and shorts. You
might find better Back Test results by using a slow EMA for longs and
a faster EMA for shorts. You might try something like
mainline1 = ema(c, 50);
trigg = ema(mainline1, 7);
mainline2 = ema(c, 12);
buy=cover=cross(trigg, mainline1);
sell=short=cross(mainline2, trigg);
Regards,
Jim Varney
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