Duplicating this one as I did in my other posts I get the following results: Trades: 216 Profit: +$11,345 Looks good... Now however I test from 2003 till now and I get the following results: Trades: 6590 Profit: -$42,896 So granted in the past 2 months this strategy is great with the extreme volatility... However, long term this strategy as outlined above is a net loser. However, the fact that its able to make up a LOT of the transaction costs over 6 thousand + trades means the strategy as outlined above does in fact have a crude edge. Just not enough to overcome transaction costs completely
here is the PL chart over that test frame incase anyone is interested.. see the spike at the end that represents these recent few months.. <img src=http://elitetrader.com/vb/attachment.php?s=&postid=2136102 width=800>
With historical data we should optimize stop & profit target. I have ES data somewhere around here, will test during weekend. More importantly, we need to test a few exit ideas; I don't go for these hard $ stops because they aren' really related to the logic of the entry or current market environments. Might try ATR, or close above x-bar high or below x-bar low, or something related to MACD, e.g. MACD crossing above or below zero etc But, as I look at the trades it would seem to me that one has to be there looking at the screens and deciding when to exit... at least until we can backtest a proftitable exit.
Godzilla, No doubt there probably are some discretionary tidbits here and there that an experienced trader can do that will make this strategy a profitable one over the long haul... Back-testing can't account for those details. The back-testing does show without transaction costs it does have an edge. So its a good starting point.. Just wanted to show a longer time frame so everyone didn't get TOO excited over the other posted back-tests and think this is the holy grail or something
Yes, real traders know this. What the less experienced traders don't understand, but you, I and Jahajee know is that we're factoring in our trading experience and knowledge into the equation.
So, this would be the SLM...Simplistic Loser Method? Very funny that anyone basing their trading on a kindergarten MA crossover would spend all their time chasing after an old man on the internet haha. Even more hilarious is that as soon as the backtest revealing Trader28's equity curve is posted he reverts to the flaming (probably already deleted by the time I get this posted) in the hopes of getting the thread deleted.
Yes, and the backtest curve clearly shows the results of the last couple of weeks as the only upward movement for the system in the LAST FIVE YEARS. LOL
Why do you enjoy giving Tums such a hard time? I think he's doing very well keeping up with the threads. I've previously tried to moderate a JH thread and had to give up. We all have our opinions on JH and SPM, but Tums is imo staying neutral. I suggest supporting and encouraging him. Great thread, btw. We just need to keep the noise down.
without writing a single line to test this common indicator, you should know it will fail. Why? If it is of any good don't you think Steve Cohen will be all over it already?
According to this I do not think you understand the definition of winner...maybe that is why you are so bitter. Also, I am not Tums. I am more of a Rolaids person <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2136102 width=800>