Hi Markus --
When the relationship between the two moving average
lengths changes, the system changes from being a trend following system to
being a mean reversion system. It remains a "long" system when the
signals generated are Buy = cross(MA1,MA2); It becomes a "short"
system when the signals generated are Short = cross(MA1,MA2);
Why
exclude them? You may very well find that the system works best as a
mean reversion system.
But if you insist on limiting the variables, try
this:
//////////////////////////////////
MA1Length
= Optimize("MA1Length",50,50,200,1);
MA2Length =
Optimize("MA2Length",100,100,300,1);
MA1 =
MA(C,MA1Length);
MA2 = MA(C,MA2Length);
// Generate a Buy
signal when MA1 crosses up through MA2,
// but only when the length of MA1
is less than the length of MA2
Buy = (MA1Length<MA2Length) AND
Cross(MA1,MA2);
Sell =
Cross(MA2,MA1);
///////////////////////////////////
Thanks,
Howard
On Wed, Jan 6, 2010 at 5:44 AM, Markus Witzler
<funnybiz@xxxxde> wrote:
Hello,
let´s say I intend to optimize a 2 MA crossover
system with MA1 and MA2.
Possible range for MA1: 50-200
Possible range for MA2: 100-300
Now, there are some instances in which
periodicity of MA1 is higher than the one of MA2, thereby creating a "short"
system.
How does one exclude these "redundant"
combinations from optimization?
Thanks
Markus