|
PureBytes Links
Trading Reference Links
|
Charles and group,
Although there are many variations on Moving Averages(MA) and the length of
times that they can be calculated with I recognized the difficulty of using
them. A large number of traders use MA and I believe that large traders use
this fact against them. For example when a trend becomes established you
will see short counter trend moves that typically last just long enough to
engage most intermediate MA only to resume the trend. This makes mad men of
those that decide that they are going to stick with the trend no mater what
and then find out that the trend has really changed and they have lost
substantial capitol. It's too easily said that you should buy or sell(with
the trend) pull backs against the trend but that is a good idea.
Brent
----------
> From: charles meyer <chmeyer@xxxxxxxx>
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: SYSTEM BACKTESTING IDEAS: EARL'S PEARL
> Date: Sunday, August 09, 1998 10:46 AM
>
> 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.
>
>
>
|