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A/ you may use the "cross(A,B)" fonction inadequatly
B/ maybe you results were optained whit a system that
has complex set of rules preventing the normal
crossing to yiled results
B/ your data may indeed not be good :
stock were trending alot those last 3 years (for
example) so if your system is a buy only one,
your code may simply catch bottom ensuing pullbacks to
LT MA (buying when mov(c,9,s) crosses below
mov(c,18,s) can be a good move if the move is just a
sharp pul back to just below the 18 day ma)
in any case i would :
A/ look at the equity curve, if it's not smooth, spot
what has caused the sharp fall/rise
B/ use another data, better work on 1k(for simple
systemes)5k(for complex systems) 5min ES data,
results will prove more reliable....
--- modernmind <modernmind@xxxxxxx> wrote:
> Is it my imagination or does it seem that when
> using System Tester
> (version 7) with The Moving Average Crossover System
> Test that the
> most profitable system tests always show OPT1 as
> being in longer
> duration than OPT2?. Is it because I am using data
> from too long a
> period of time? (usually 3 years). I always thought
> that a moving
> average crossover system in theory triggered a buy
> signal when the
> shorter-term ma crossed over the longer-term ma. In
> most of the
> testing that I've done, it seems that the most
> profitable
> optimization has the shorter-term ma at about 18
> days and the longer-
> term ma at 10 days. Please enlighten me if you can.
> Thanks.
>
>
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