Moving average winner

Discussion in 'Index Futures' started by wwatson1, Jun 30, 2003.

  1. Does anyone use just moving average crossovers to trade ES.

    I backtested a system on intraday 5min chart that went long when an exponential moving average of 10 was greater that one of 200 and vice a versa.

    Over over 13 months it pulled in a profit of 350 points after slippage.

    there where 240 trades and the maximum account drawdown was 20.80points.

    simple but profitable?
  2. hey watson what happened to shortboy?
  3. HI fasterpussycat nice to here from an old friend, how's the market treating you?
    Shortboy must have blown out and hit the streets
  4. Monsoon


  5. jjordan


  6. The only too good a thing about it is the drawdown. Looks too low to me, perhaps you should test it again on a larger sample, say 2-3 years of data to get a better idea of how the system really performs. However, I do agree that MAs systems can be profitable, except that because of their simplicity they can also have significantly bigger drawdowns than more complex systems that employ various filters.
  7. bobcathy1

    bobcathy1 Guest

    MA systems only seem to work for me when I am there all day babysitting the trades because one needs to put in a strategy for the exits that works better than the next cross of the MA.:confused:
  8. dbphoenix


    That's simple?
  9. If I got it right, the system is not profitable in the long run...
  10. Agreed.
    #10     Jun 30, 2003