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SMA "crossovers"
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Created: by kaywai Attachments:4

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SMA "crossovers"

  #11 (permalink)
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dancorcal View Post
Crossover can be profitable. He is one I use with discretion, backtested to 2003.

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Nice equity curve ......your exits must be really good ....

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  #12 (permalink)
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The equity curve went sharply negative early, on top of that, there are no commissions factored in. This would support Sharky's comments that you'll blow out the account before you would ever be profitable long term.

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  #13 (permalink)
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Worst DD was only 3900, so not too sharp early. Also it took 1310 trades total since 2003 so commission at $5 would not eat it up.

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CDesai13 View Post
The equity curve went sharply negative early, on top of that, there are no commissions factored in. This would support Sharky's comments that you'll blow out the account before you would ever be profitable long term.

Based on my experience crossovers can be profitable but you need

1) strong filters ...e.g. always trade in the 100-200 daily MA slope or only trade if the intra-day gap is > a certain amount
2) non-related Crossover exits techniques
3) Strong cross : The bigger the length the MA is crossed by the price ,the bigger the chances of a profitable trade, unfortunately the length of these MA are not compatible with day-trading time frames (in and out same days )
4) forecasting choppy days as these pull 100 un-profitable trades..


What I do not understand is why would you want to automate such strategies if you can easily replicate these by discretionary trading .... Human Eye still the best for low-frequency trading
...

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  #15 (permalink)
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Dancorcal,
Is that secret what crossover you are using ?
Krgds,
Andrew

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  #16 (permalink)
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I agree, I don't automate this. Also since the backtested results wait for the bar to close, I get much better fills in real time, I also use s/r levels to help with exits, but the tested strategy is just an end of day exit, and has out performed all the exit strategies I have attempted to automate.

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  #17 (permalink)
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dancorcal View Post
Crossover can be profitable. He is one I use with discretion, backtested to 2003.

nice. it looks like you're getting about one trade every 2 days on a 10-minute chart, and you're in the market about 15% of the time (presuming you're not trading after-hours). is that about right?

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  #18 (permalink)
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piersh View Post
nice. it looks like you're getting about one trade every 2 days on a 10-minute chart, and you're in the market about 15% of the time (presuming you're not trading after-hours). is that about right?


It looks good .... but optimizations are really far from reality .... it can be fitted ....

Is this a Walk-forward optimization or a simple optimization ?


With many parameters and a good Genetic optimizer , everybody can pull-out results like that.... even for 6 years .....

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  #19 (permalink)
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Just simple optimization, ran the walk forward and still looks good (I think), not sure how to post the results though, since they are not summarized, so attaching as xls. Only has 2 parameters and stop loss.

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  #20 (permalink)
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kaywai View Post
Hi, I'm trying to create a script to initiate a long position when the fast MA crosses two other slower MAs. The problem I have when using the "crossabove" or "crossbelow" is that trades are initiated when the crossover occurs over 1 bar. Likewise for the exit. By default however, it will exit on close. It will not initiate or exit a position if the crossover occurs over a few bars.
The attached chart show a long position at approx 9:37 when the green lines crosses above the red and orange lines. But at approximately 11.57, when the green line crosses below the other 2 lines, it should exit. Instead it exits on close. Would anybody be able to assist?

I've seen problems with using CrossAbove() and CrossBelow() myself as well in NT, I use cclsys's approach if I'm looking for some sort of cross over.

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