This Might Be Stupid???

Here is the system,
basic moving average system with ROC to validate

Let me know if it is good or not and if ok what we can do to improve it. Also if you improve it so much that you can't stand to post it then please at least pm me with it and I won't post it.
There could be a # of things wrong with it, just not sure what they are, will have a better idea once somebody codes it in a different backtester. I have just begun using amibroker so might be coded wrong.


Lets have fun with this,
wdbaker

___________________________________________

Filter=TimeNum()>=080000 AND TimeNum()<=150000;
PositionSize=2500;

//*Buy___________________________________*//

test1= Filter AND MA(Close,5)>MA(Close,30) AND MA(Close,5)>MA(Close,50) AND ROC(MA(Close,50),2)>.09 ;

Buy=test1;
Sell=Cross(MA(Close,50),MA(Close,10))OR TimeNum()>150000;

//*Sell___________________________________*//



test2=Filter AND MA(Close,5)<MA(Close,30) AND MA(Close,5)<MA(Close,50) AND ROC(MA(Close,50),2)<-.045;
Short=test2;
Cover=Cross(MA(Close,10),MA(Close,50))OR TimeNum()>150000;

 

a chart that shows the buy and sells would be handy.

 

The chart would cover 1 1/2 years of data and so the buy and sells would not be readable, I believe the buy and sells were listed in my first posting, will see if I can post them in a table.

wdbaker

 

Hope this helps

wdbaker

 

test1= Filter AND MA(Close,5)>MA(Close,30) AND MA(Close,5)>MA(Close,50) AND ROC(MA(Close,50),2)>.09 ;

Ma(close,5) =means 5bar sma of the close etc....

roc(ma(close,50),2)= rate of change between current 50 bar sma and previous 50 bar sma etc...

when it says cross it means when the first sma cross the second sma

hope this helps
If you have additional questions just yell

wdbaker

 

Needs to be tested over at least 4-5 years.

 

That would be nice but don't have that much data

equity curve looks pretty nice though

wdbaker

 

I don't have tradestation or any backtesting capabilities yet... but here are some possible suggestions... one way to make sure the system is not curvefit is to try and vary the parameters you have e.g. try MA(close,3 or 4 or 6 or 7 etc) ... try changing the period of the MA's as well as the ROC parameters...

a good system should be stable across a fair range of values and not jump sporadically from profitability to loss.

 

It does seem fairly stable accross various changes, doesn't always make as much money but continues to work, seeing the equity curve is what suprised me, there aren't any huge dents in the curve like you would find if overfit or all the money came from one trade.

wdbaker

 

Something else that I am noticing is that some of the biggest losses come when it takes a trade at 8:00 am on a gap, normally you would be watching this to confirm weather to establish a position or not. So if we pull those out that makes for an even better looking system.

wdbaker