Interesting strategy paper - I just coded up a version of MACDR2 in Amibroker with some interesting results. Some questions/thoughts on this. 1. A sell is defined as a profit target, but as far as I could tell, there was no other sell signal (which obviously could create problems). For me, I set the profit target as a sell, as well as a cross of MACD below the signal. I also looked at adding a bar sell after N days - didn't help, and neither did adding a stop loss. Am I missing any sell signal here or do I have it right? 2. An issue with the strategy is that it uses the difference of the MACD and Signal divided by the stock price. This will work for stocks $100 or less, but what happens if you have a very high stock price (say $200) or very low stock price (say $2) - obviously the percentage will be very different. I limited my trades to stocks over $5. 3. On the NDX100, taking a max of 4 positions at any one time produced wins about 75% of the time. The strategy was doing well till, you guessed it, December, when it started getting killed. 4. The paper doesn't address reentries - so, should we be testing just for cross overs of the MACD over the signal, or should it just be whether or not the MACD is greater than the signal. As an example, you might have a stock where the MACD is great than the signal for a large amount of time, and therefore you could have multiple entries where each hits the profit target. I'll continue to work on this over the next few days.
I was working on my coding this MACD R2 (from the paper posted here and that the OP is working from) last night and I made a mistake. I accidently made a long entry if: I had a short signal, waited 3 bars (this on 2min SPY) and then got long if the price was ABOVE the signal bar price by %x. I call this the MACD stop system lol, it's trading through the short signal stop zone. Will work on this some more as a seperate tactic. We'll see.
ok wow i didnt think i was gonna get this much interest hahaha ill try to answer these posts in order ive been on vacation.
hey ironfist my e-mail is nukethewhales311@gmail.com im not gonna post the direct edited formula and stuff on ET but if you send me a email ill drop it in the email for you. helps keep stuff close nit ya know
this is completely wrong because with testing .... you break even at 36% why because when its right you let it ride till its closed without holding those long right runs this system at 36% will pop your account in a heart beat same thing at 63% you just break even if you dont use cross lvl. so know you cant reverse and instantly become profitable. money management actually worsens this. i tested it
the profit target in the paper is the only exit or macd recross.. i modified this with some success where youd enter at .5 and exit at 3% using a coeffient thats unique to a certain stock which is determined by upper and lower statistical limits. made it more accurate and exit wasnt based on price but based on indicator which relieved alot of errors increasing accuracy. not an issue as the formula is scaler when used as (((macdbuffer-signalBuffer)*clevelCE)/PRICE_CLOSE)*100 as ive said ive made many revisions and if its considered to be macd-r2 in that paper then i have something called m2-macd-r3 aha mine didnt get killed in december cause of the way i adjusted it with unique clevel CE"s smoothed the formula and used it with multiple periods in the indicator infact their is many times when you looked at the indicator and during the price compression phase - for lack of a better name .... if almost told you when consolidation would break and in which direction in almost a predictive sense ... im still figuring out how as i really dont even know and i created it hahah. - much more testing needed. as you start to develop a feel for this in essence your trading divergence which would make sense since this company was a derivities company... but you trading the percents and the slope of the convergence divergence of macd vrs. signal line with respect to price action.
i did much work on my vacation not much of a vacation ahaha im a workaholic but try this post one at 36,78,27 then immediately under post one at 2/3 of that and then one immediately under that as 1/2 of 36,78,27.. i think youll be suprised in what you see and feel. on the 1/2 its predictive when looking daily 2/3 its intermediate trend seems to back up the big trend on the 36,78,27 so you can sense the pullback or the reversal before it happens. edit hook me up with your CODE so i can rate it against mine... the only thing is i modified mine heavily for forex trading and its glorious. ill send you mine too if you want it i want to see how you solved the unique coeffient problem