simple moving average system

Lightning McQueen · Aug 20, 2006

Heres a really simple strat I found on the net that eyeballs up on charts ok.

Plot a 5 period SMA on a OHLC bar chart of an instrument and time frame Of your choice eg Dow 15 min chart or FTSE 100 daily chart etc:

1. when the price bar penetrates up through and closes above the MA go long.

2. when the price bar penetrates down through and closes below the Ma go short.

3. sit back and collect your wedge!

Nothing at all new here I know but a few more rules or used as a trigger for your own plan it could have some legs in it.

Have fun

Don

hornblower · Aug 20, 2006

don_h said:
Heres a really simple strat I found on the net that eyeballs up on charts ok.

Plot a 5 period SMA on a OHLC bar chart of your chosen instrument and time frame:

1. when the price bar penetrates up through and closes above the MA go long.

2. when the price bar penetrates down through and closes below the Ma go short.

3. sit back and collect your wedge!

Nothing at all new here I know but a few more rules or used as a trigger for your own plan it could have some legs in it.

Have fun

Don

most newcomers start off spread betting , this time frame is to short, they will never make money , on a short indicator like this

why not repost with longer indicators ,

Lightning McQueen · Aug 20, 2006

hornblower said:
most newcomers start off spread betting , this time frame is to short, they will never make money , on a short indicator like this

why not repost with longer indicators ,

Yes sorry hornblower the time frame should read "be of your own choice" eg 10min, 60 min, daily weekly, etc. the 5 period SMA stands well, though feel free to experiment.
I will amend my post to make that clear.

Thanks

Don

mr_cassandra · Aug 20, 2006

Backtesting

The best starting gambit I've found on any mechanical system is to backtest as much time and data as possible, try to see how it shakes out over time, particularly under different types of mkt conditions. Ignore the naysayers who appear out of the woodwork to say basically 'harrumph that won't work' instead opt to do your own homework and ask them about what work they have done. Ask any naysayer for a constructive suggestion...the answer will tell you a lot about their depth of knowledge.

don_h said:
Heres a really simple strat I found on the net that eyeballs up on charts ok.

Plot a 5 period SMA on a OHLC bar chart of an instrument and time frame Of your choice eg Dow 15 min chart or FTSE 100 daily chart etc:

1. when the price bar penetrates up through and closes above the MA go long.

2. when the price bar penetrates down through and closes below the Ma go short.

3. sit back and collect your wedge!

Nothing at all new here I know but a few more rules or used as a trigger for your own plan it could have some legs in it.

Have fun

Don

Jbat001 · Aug 20, 2006

Sounds like it might work some of the time, but be very prone to whipsaw movements! Try mixing it up with an oscillator of some sort, perhaps MACD, operating on a much longer basis than the moving average you're using. That should filter out some of the false signals.

Splitlink · Aug 20, 2006

I don't know what instruments you have in mind but here's one of CS. which I am trading just now. I stuck the averages in on reading this thread and the idea doesn't look bad. I use 123 quite a bit, perhaps it could be used in conjunction with averages.

As far as spreadbetting is concerned, it is possible to make a profit on a day trade, if you get it right. I try for overnight and longer but sometimes, if I get cold feet, I have been able to get out later in the day a few points to the good or breakeven.

There two or three nice 123's on this chart with, at least, some profit if things don't go well

Split

Lightning McQueen · Aug 21, 2006

Hey thanks guys for the input

mr_c

For this strategy im going to forgo the backtesting and go leap in and forward test it on a simulator, shortish time frame so we aren't waiting for days / weeks for a signal.
enjoyed your "naysayer: comments thanks for that, although comments and suggestions have been positive so far.

jbat

great stuff, im with you there. I will post a chart shortly with some oscillators on it and see where we go from there.
Yes as you would expect it gets whipped to death in sideways action.

Split

What you couldn't guess it would be the dow, well that my choice but anything that moves would be ok I guess.
your chart shows very well (end Mar to end Apr) the probs with this type of system which hopefully can be sorted ok.

cheers

Don

Splitlink · Aug 21, 2006

don_h said:
Hey thanks guys for the input

mr_c

For this strategy im going to forgo the backtesting and go leap in and forward test it on a simulator, shortish time frame so we aren't waiting for days / weeks for a signal.
enjoyed your "naysayer: comments thanks for that, although comments and suggestions have been positive so far.

jbat

great stuff, im with you there. I will post a chart shortly with some oscillators on it and see where we go from there.
Yes as you would expect it gets whipped to death in sideways action.

Split

What you couldn't guess it would be the dow, well that my choice but anything that moves would be ok I guess.
your chart shows very well (end Mar to end Apr) the probs with this type of system which hopefully can be sorted ok.

cheers

Don

Here's a closeup of that congestion area. I've put the "3" of the 123 pattern in as selling points. It's all hindsight, of course, especially the last one, at the peak, which is, also, wishful thinking.

The averages are 3,5 and 9.

Split

Lightning McQueen · Aug 22, 2006

Splitlink said:
Here's a closeup of that congestion area. I've put the "3" of the 123 pattern in as selling points. It's all hindsight, of course, especially the last one, at the peak, which is, also, wishful thinking.

The averages are 3,5 and 9.

Split

Thanks for your chart Split, the 5 period MA does show a relationship with the 123 pattern as shown on your chart. maybe I should study more in this area.

Sorry for taking a long time to reply but have been busy trying to find an area on a chart that brings together uptrend, downtrend, sideways and choppy price action and pondering rules that would improve results by reducing getting whipped about.

Several options are open to us:

1. The oscillator as suggested by Jbat001 seems on first glance to be an ideal solution for filtering signals. I looked at several but plumped for the MACD, again suggested by Jbat001, mainly because its readily available to all online or offline charting applications.

2. A lot of false signals are generated on the days opening bar so logically this signal is going to be ignored for now.

3. Stoploss rules could enhance this strategy I will comment later when i have checked it out.

so the new rules could be summarised so far as:

Only enter signals in the direction of the MACD.
Do not trade the days opening bar.

The chart below shows all signals no filtering.

cheers

Don

Lightning McQueen · Aug 23, 2006

The next chart shows the signals with the new rules applied, the signals that are voided are greyed out, magenta signals that have been added show possible entry / exit signals that would now apply.

Well I was quite pleased with the results so far with 5 possible winning trades and 2 losing, although the system is now has a large discretionary element rather than the all mechanical system I was hoping, its all going in the right direction me thinks

I will check out next if this can work intraday.

cheers

Don

retief · Aug 25, 2006

Don h - Thanks for all your work on this, it does look promising. Any more thoughts on stop loss?I see you are showing a 60 minute chart, do you think this is the best to use or would it depend on volatility of market at the time? What MACD setting do you use?
Regards - Rob

Lightning McQueen · Aug 25, 2006

retief said:
Don h - Thanks for all your work on this, it does look promising. Any more thoughts on stop loss?I see you are showing a 60 minute chart, do you think this is the best to use or would it depend on volatility of market at the time? What MACD setting do you use?
Regards - Rob

Hi Rob

Thanks for your kind words, I do hope its all useful and food for thought. As to stops I have had many thoughts on this and have been leaning towards the bottom of the signal bar or the entry bar as a stop level, the chart below helps explain.

The only reason that I have shown a 60 min chart is that is my preferred timeframe for eyeballing a potential strategy. I have done little work at present on shortening or lengthening the timeframe but I intend to do so at some point, after all thats the logical step forward.

The MACD setting is standard metastock 26 12 9, nothing fancy about this system :cheesy:

Hope that helps and thanks for the comments.

cheers

Don

retief · Aug 25, 2006

Thanks Don - Good Luck.Rob

Splitlink · Aug 26, 2006

don_h said:
Hi Rob

Thanks for your kind words, I do hope its all useful and food for thought. As to stops I have had many thoughts on this and have been leaning towards the bottom of the signal bar or the entry bar as a stop level, the chart below helps explain.

The only reason that I have shown a 60 min chart is that is my preferred timeframe for eyeballing a potential strategy. I have done little work at present on shortening or lengthening the timeframe but I intend to do so at some point, after all thats the logical step forward.

The MACD setting is standard metastock 26 12 9, nothing fancy about this system :cheesy:

Hope that helps and thanks for the comments.

cheers

Don

Hi Don,

Where did you enter on the entry bar, where it breaks over the previous one- the signal bar?

I am sending the latest CS. which is interesting me at present, although it has been a dismal performance this week.

What would you have done with this (apart from chucking it in the bin

) bought at A with the average falling, or at B, with it rising. The red line was my entry, using the 123 method, which seems clear on this chart. I closed out on ahead of the long weekend and will see what happens on Tuesday.

Split

Lightning McQueen · Aug 26, 2006

Hi Split

I would guess that the MACD would still be trending down at "A" on the 11th so not a valid signal. on the 15th there's another buy signal giving an opportunity to go long on the 16th with a sell signal on the 23rd, because you havnt included MACD on the chart its unclear if this position would still run from here or we should get out.

what I did like about the chart was the ability of this system to get the move from the 1st getting out around the 15th, easy in hindsight I admit

when I get my pc back online thats got all my bits and bobs on I will be able to give more, hopefully helpful comment.

also as an aside I see a pattern emerging here, maybe a bit too controversial for this thread so i'll hold my thoughts till another time and place

cheers

Don

Splitlink · Aug 27, 2006

don_h said:
Hi Split

I would guess that the MACD would still be trending down at "A" on the 11th so not a valid signal. on the 15th there's another buy signal giving an opportunity to go long on the 16th with a sell signal on the 23rd, because you havnt included MACD on the chart its unclear if this position would still run from here or we should get out.

what I did like about the chart was the ability of this system to get the move from the 1st getting out around the 15th, easy in hindsight I admit

when I get my pc back online thats got all my bits and bobs on I will be able to give more, hopefully helpful comment.

also as an aside I see a pattern emerging here, maybe a bit too controversial for this thread so i'll hold my thoughts till another time and place

cheers

Don

On closer study, I realise that "A" would have been your signal bar so, as the entry bar went lower, it would not have triggered.? I did not take note of "B-1", which was the signal bar, "B" the entry bar. So, perhaps, your entry would have been close to my red line entry?

I got your photo the other week, by the way, before the mods cleaned up- just in case you thought I hadn't seen it

I won't say any more- water under the bridge.

Split

DESKPRO · Aug 27, 2006

Talking about moving average cross over systems check out

http://www.seykota.com/tribe/TSP/EA/index.htm

150/15 CROSS OVER using daily bars.

Lightning McQueen · Aug 27, 2006

DESKPRO said:
Talking about moving average cross over systems check out

http://www.seykota.com/tribe/TSP/EA/index.htm

150/15 CROSS OVER using daily bars.

Thanks for that DESKPRO I will check it out shortly when I get my main pc back up and running. It says that it it is a long only system but im sure we could play around with that.
have you checked out the rest of that site, bit weird, are they a cult of some sort

cheers

Don

DESKPRO · Aug 27, 2006

don_h said:
Thanks for that DESKPRO I will check it out shortly when I get my main pc back up and running. It says that it it is a long only system but im sure we could play around with that.
have you checked out the rest of that site, bit weird, are they a cult of some sort

cheers

Don

LOL..Ed Seykota is one of the traders featured in Market Wizards..a trend follower trading over longer time frames and not a day trader. alleged to have taken a customer account from $5000 dollars from 1972 to over $15 million....pg 158 Market Wizards.

Lightning McQueen · Aug 27, 2006

Splitlink said:
On closer study, I realise that "A" would have been your signal bar so, as the entry bar went lower, it would not have triggered.? I did not take note of "B-1", which was the signal bar, "B" the entry bar. So, perhaps, your entry would have been close to my red line entry?

Split

Split, up and running again, blown power supply, lucky not to lose more probably.

anyway nothing to add from post 15 although the Macd hasn't turned down and still rising slightly so sell signals on the 23rd and 24th would not trigger so I would be still in play

we will see next week.

perhaps now you can see that pattern emerging? :cheesy:

cheers

Don

simple moving average system

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