Somewhat new to this forum and I would like to run something by all of you.
I have done extensive backtesting and optimization around a very simple EMA crossover system (actually 2, one for ES and one for CL).
I use volume charts for both instruments -- 70,000 for ES and 6,000 for CL. I enter on a close above the 210 EMA on ES (and 137 EMA on CL) and close/reverse upon a re-cross of the same EMA. The profit targets are about 160 ticks (long) and about 80 ticks (short) on both instruments. This seems to be fairly robust going back to 1/1/2007 and especially 5/1/2009.
My concern is that I've oversimplified this -- or (worse) that I've merely curve-fitted. I supplement this with some discretionary trading -- but never going "against" the system. Instead, I add a contract where I think the trend is strong (using 21 EMA, for example).
In any case, I'd be interested in some feedback. What a I missing?