if one can state that markets chop for around 70% of the time and that using MA crossovers in chop will result to losses, what good are MA crossovers?
problem with that is that certain variables work during certain timeperiods I had some fun testing 30 futures markets using a dual sma\ema cross system, works great when you optimize, but not so well in out-of-sample testing
Hi SimSim, Yes, using crossovers could be ok with a trend confirmation indicator, possibly ADX. But as Mogul points out the Time Frames would need to be taken into consideration. I should have mentioned earlier that I will be looking to trade the DJI between 7pm-9pm GMT and would probably be looking at the 5min chart frame for entry and 15min frame for trend direction.
Here in ET finest hour....check this Journal out....This accountant has a nifty system. http://www.elitetrader.com/vb/showthread.php?s=&threadid=49802
Post-optimization is an attempt to solve a dynamic problem with a static solution. That's called "inherently sub-optimal".
All I meant was......it would seem that the simpleness or complexity of a strategy is not what you seek. Profit is what you seek isn't it I personally think the best strategies are the one that are very simple. You will get no argument from me on that one. I trade a couple automated strategies and they have very basic code to make them operate. My favorite TV show is Andy Griffith if that helps. Have you backtested moving average crossover strats? Usually, the tester comes to the conclusion that they are not worth the risk. And....no offense taken...just trying to help you think things thru.
Dave 2, You have most of the work completed! You have identified your "time slice" that you would like to trade and your "basket" of stocks that you can learn well.. Now, all you must do is take those 30 Dow components and find out what pattern that you can "mine" that would give you a ranking on a high probability trade with a "one component a day strategy". Seems exciting, you can do it! You do not need anybody but yourself... Michael B. P.S. I have a marvelous idea for you...but you must PM me..Do you daytrade or hold overnight? My reason for asking for a 'simple strategy' (I realise that it is a very general term) is that I don't have a lot of time during daytime hours to trade the DJI but do have two hours from 7am - 9am GMT after work. Therefore, if I do manage to identify a strategy, I will be delighted.
How about the dogs of the dow strategy. Historical return of over 17% a year with one portfolio reshuffle a year.