Would this System Work, is it too simple?

Discussion in 'Strategy Development' started by mahler, Jun 3, 2005.

  1. mahler

    mahler

    All it is, is a simple MACD (6,16,27) crossover. A buy signal is when the MACD fast crosses above the MACD slow. An exit is the opposite and also triggers a reversal entry. Below are some screenshots from Esignal with results from 04/06/28-05/03/31. Using a 400Tick Timeframe.

    I also set the backtest to simulate each entry and exit to be off by 2 ticks on the Russell 2000, to try to simulate a poor entry on each trade.

    The system seems too simple to produce these results? Am I missing something here? Any help would be great!

    http://home.ripway.com/2005-4/292747/snap01478.jpg
    http://home.ripway.com/2005-4/292747/snap01477.jpg
     
  2. mmillar

    mmillar

    why 6, 16, 27 ? why not 7, 15, 30 ?

    The market changes. You need to vary the inputs to see if your outputs are stable.
     
  3. 6, 15, 29 is best!
     
  4. I think you are indeed missing something.

    You optimized the parameters for backtesting. This always gives much greater results than real trading because you fitted the system to maximize profits in the past.
    But for the future you might need a completely different combination or the combination can change each day. All depends of what kind of market you are in. For each kind of market you need a different approach.
    What you can do, to see the effect of your system, is to take each time parts of the total period. You will see that the optimized system per period will have constantly other setups.
    This confirms that what was optimal isn't optimal anymore afterwards.
    I know someone who constantly optimized his system to always have the optimal setup. He never made money because he was in fact always running behind the facts.
     
  5. :cool:
     
  6. KK70

    KK70

    Mahler, which backtesting software are you using?

    Thanks,
    -kk70
     
  7. Dude, thats just not fair. You know this sort of thing works best with numbers that are primes. Better yet, the number resulting from the juxtaposition of the above settings-triple must be a palindrome.

    R U trying to throw them off or what!?

    Sheesh... :D

    3,17,13
     
  8. Your 13 is definitely too low 23 sounds more like it if you don't want 29.
    :D

    PS: After all, Spike said it ain't going to work anyhow!
     
  9. Better try putting some money on it. You'll quickly know for sure.
     
  10. I was going for extra "palindrome" points! :D

    Don't listen to spike. He wants all the Cubic-Cash for himself...:cool:
     
    #10     Jun 3, 2005