|
PureBytes Links
Trading Reference Links
|
I want to publically thank Earl for his excellent post where he shared
his "detailed backtesting of DiNapoli's displaced MA's using daily S&P
cash data from 1970-1997 using MA's from 3 to 25 in increments of 2
and displacements from 1-7 in increments of 2. To quote further, he
concluded that: "I could find no displaced MA which provided consis-
tently profitable entry and exit on both long and short side or on either
side individually. Like about every fixed frequency indicator I've ever
tested, they did well in trending markets and got whipsawed badly in
trading markets".
This is of more than academic interest because of the following quote
from "MARTIN PRING ON MARKET MOMENTUM". On page 115,
Pring stated that the concept of leading moving averages was promoted
by Gartley in the 1930's. "He believed that the best combination of moving
average and lead come from a 25-day simple moving average advanced by
3 days. He came to this conclusion from research covering the stock
market from the late 1920's to the early 1930's--a period that covered
major bull, bear, and transitional markets." Before that Gartley himself
is quoted as saying that "by a slight adaptation in plotting, (moving
average
crossovers) can be made into a working tool of considerable significance."
So, it would appear that the hard evidence of backtesting does not validate
the theory behind this statement.
Charles.
|