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RE: Jurik JMA as Optimized M.A. Crossover strategy


  • To: <omega-list@xxxxxxxxxx>
  • Subject: RE: Jurik JMA as Optimized M.A. Crossover strategy
  • From: "Michael Holder" <mholder@xxxxxxxxxxxx>
  • Date: Mon, 22 Jul 2002 09:32:33 -0700
  • In-reply-to: <172102880674.20020720194814@xxxxxxxxxxxxx>

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Thanks for input from Ernie, Jim, Michael and Ron. I am still working
through your various suggestions.

Below is the quick solution that I have achieved so far - which mimicks  the
approach some of you suggested.
I am not an experienced easy language user.

Basically I took the existing Moving Average crossover STRATEGY  that comes
with Trade Station and replaced the Bullish Moving average SIGNAL with a JRC
version SIGNAL. To do this I first has had to open the existing Bullish
Moving Average crossover SIGNAL and substitute the correct values/ inputs to
make it a KMA version .
Directly below is
1) the original M.A. Signal code
2) the modified to  JMA MA signal code
3) Steps I took to insert these into the generic M.A. crossover strategy
and then optimize the result JMA crossover Strategy.


1)
{*******************************************************************
Description	: Moving Average Crossover (2 Line) Long Entry
Provided By	: Omega Research, Inc. (c) Copyright 1999
********************************************************************}

Inputs: Price(Close), FastLen(9), SlowLen(18);

If CurrentBar > 1 AND AverageFC(Price, FastLen) Crosses Above
AverageFC(Price, SlowLen) Then
	Buy ("MAC") This Bar on Close;

----------------------------------------------------------------------------
----------------
2)
Description: JMA Moving Average Crossover 2 Line Long Entry
(MH Note: I then substituted the JRC.JMA.2k as follows and added the
required input of phase ( left to zero - does this make sense?: )

****************************************************************************
*******
Inputs: Price(Close), FastLen(9), SlowLen(18), Phase(0);

If CurrentBar > 1 AND JRC.JMA.2k(Price, FastLen, Phase) Crosses Above
JRC.JMA.2k(Price, SlowLen, Phase) Then
	Buy ("MAC") This Bar on Close

----------------------------------------------------------------------------
--------------------
3)
MH Note: I then went into TS under Go/Strategy Builder / "Save as" and saved
the existing Moving Average Crossover under a new name "JMA Moving Average
Crossover" . From there I selected Edit and added the JMA version Signal
(above) under the Signal tab in the editor and also removed the default
moving average crossover signal from the editor. I moved up the JMA MA cross
signal to the top of the editor window for Signals.

>From there I ran the new JMA Moving Average Signal on S&P 500 daily data
with  max bars reference setting of 182. Under format analysis I checked
"optimize" for both the slow and long JMA input and optimized .

I got a great initial result using the default 5 day trailing stop feature
of this strategy - and that's' where I am so far.
Performance summery on this first attempt gave me 7 trades/ 5 winning trades
and a 266% return on the account - but no commission/money management or any
other inputs were used. This is just a first try and there is more work to
do.

I am not sure about phase input in the KMA as I am new with the JMA and not
an easy language system builder - so any additional feedback is welcome.

Hope this is of some use.

Mike Holder
Toronto