MA crossover systems

Trading System (1): 5min BB MA and 15min MA
3/1 Sunday TA Class Text and MP3
3/2 Can positive divergence end this 5 of 3 of 5 o...
3/24 Pull back target?

Similar EMA crossing systems compared to Qj
http://breakpointtrades.com/controls/preview.php?la_id=603
http://breakpointtrades.com/controls/preview.php?la_id=667
QQQ said...
breakpointtrades.com is a good site, I like Steve Nelson's nightly mkt comments. MA cross trading systems are widely used many trading groups and funds, that was I mentioned many times in this blog, if you IN SRS position, do not wait after 3:45PM. from 3:45PM to 4:00PM is the Mechinical system EXIT time such as breakpointtrades.com's system. We sometine can use this trick to beat those machines.

What's the pros and cons between EMA and SMA (moving average)?
Take a look at these two charts: http://i39.tinypic.com/2rc5ses.png and http://i43.tinypic.com/73nk2w.png

How to fix the lag issue on MA crossover system (e.g 5min EMA7^21, 15min EMA16^34)by using other indicators?
The most important that you might want to move ahead of MA cross system is: volume action, trading pattern, and support/resistance zones with your 3:1 reward/risk assessment.

Sun's back-testing on MA crossing system
Trading System Test Result Summary (15 Min Chart)
Rules:
1. Long Only
2. Entry when EMA-No1/EMA-No2 Crossing Up
3. Exit when EMA-No1/EMA-No2 Crossing Down
4. Closing Any Position at EOD
5. Commission cost per trade: $9.99

Results:
a. Test Results using SPY (04/23/07 to 04/23/09):
EMA7/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -39.44%
EMA8/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -20.70%
EMA16/EMA39: Accumulative Return from 04/23/07 to 04/23/09: +16.76%
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +21.20%
b. Test Results using SSO (04/23/07 to 04/23/09):
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +57.93% (29%/Year)

QQQ said...
Thanks SUN888, how about add conditions say
(1) always exit positions at the end of day, no matter when to enter the position
(2) always set 3% stops, once it stops out, wait for next cross
that means the system always maintain cash position after 4PM and before 9:30AM

From 2007 to 2009 mainly bear mkt.
I heard people talking about SRS made 400% plus profit by using that system

SUN888 said...
1. The system I am using can only go back to 2 years.
2. We do not need to use trailing stop for this system. Test indicates 5% stop produces a better results than 3%. No stop has a better results than 3%.
3. I have not figured it out how to program to short. I am old... and hope some yang men to do more test...using their program skill.
4. For different stock, one needs to adjust ema ratio to produce a better result.
I sincerely hope someone to perform some more test and using different ema/sma ratios.

Anita said...
In TDAmeritrade "strategy setup", under "Action", there are two choices: buy, or sell short. You can set up either long or short. I never tried their automatic trading setups though.
SUN888 said...
Anita or others:
Thanks. Please see if you could comment below for Short. It does not work well for short, but I have not located the error in below.
Entry:
ExpMovingAverage[EMA,Close,9,0,15,1] > ExpMovingAverage[EMA,Close,39,0,15,1] AND ExpMovingAverage[EMA,Close,9,0,15] <> ExpMovingAverage[EMA,Close,39,0,15] OR (Bar[Hour,1] * 100) + (Bar[Minute,1]) >= 1558

SUN888 said...
I am using the below(using TD's StrtegyDesk) to test EMA7 and EMA21-15 Min crossing system with no sucess (lost money)up to now. If any one find any error from below, please let me know. Thanks.
Entry:
ExpMovingAverage[EMA,Close,7,0,15,1] <> ExpMovingAverage[EMA,Close,21,0,15]
Exit:
ExpMovingAverage[EMA,Close,7,0,15,1] > ExpMovingAverage[EMA,Close,21,0,15,1] AND ExpMovingAverage[EMA,Close,7,0,15] < ExpMovingAverage[EMA,Close,21,0,15]
StariX said...
Sun,I am not using TD so do not know the exact syntax .But I think you should use "-1" instead of "1" in the parameter. And you also need to consider close the position EOD. Some backtests are also necessary before u apply it into real trading.

QQQ said...
SUN888, on 15min chart, MA cross system works well when you EXIT every trade at CLOSING BELL. These days, almost every day we have GAPS, that kills the MA cross system if you carry overnight to next day.
90ufo said...
sun888, In TD Strategy Desk, you can add a "trailing stop" to the option of "Exit".
I tried backtest with a fixed (such as $1) trailing stop on SPY, it gives better result than without trailing stop. This makes sense, trailing stop keeps loss limited. ----- However, I have never used the mechanical MA cross system in my real trade.

SUN888 said...
Cautions and Comments on Using MTS based on EMANo1/EMANo2 and EOD:
Due to my time limit, I could not come here often. However, I feel I should have this post. In the last one week and weekend, I have done many tests(100+) related to this system using different ETFs(SSO/SDS, SRS, QLD/QID, DGP/DZZ, DIG/DUG, SKF/UYG, DTO/DXO, etc), EMANo1/EMANo2 ratios (7/21, 13/34, 9/39, 8/21, 16/143, etc), Time Periods(1, 2 year, 4 months), Minute System(30, 15, 5 or 3 min etc) and Long/Short. Although, I am still working on understanding this system/outcome and to evaluate the trading system. Cautions need be given using this system as below,
The outcome could be fully depend on,
1. The stock/ETF movement behavior for a given time frame. Therefore, the trend is critical to decide to use long/short.
2. EMANo1/EMANo2 Ratio
3. Time Frame (long/short term) for the back testing and the Minute System (30, 15, 5 or 3 min etc).
4. Any back testing not presents future outcome.
5. The outcome could be very volatile. It could produce a profit or lost in term of the above.