Moving average winner

wwatson1 · Jun 30, 2003

Does anyone use just moving average crossovers to trade ES.

I backtested a system on intraday 5min chart that went long when an exponential moving average of 10 was greater that one of 200 and vice a versa.

Over over 13 months it pulled in a profit of 350 points after slippage.

there where 240 trades and the maximum account drawdown was 20.80points.

simple but profitable?

FasterPussycat · Jun 30, 2003

hey watson what happened to shortboy?

wwatson1 · Jun 30, 2003

HI fasterpussycat nice to here from an old friend, how's the market treating you?
Shortboy must have blown out and hit the streets

Monsoon · Jun 30, 2003

jjordan · Jun 30, 2003

Hi,

I think simple moving averages is as easy as it gets for keeping simple.

I like to create an evelope using a 3,-3 and a 9ma. I like to offset a 9,-9ma sometimes. The 9ma, 40ma, 200ma rule!

then you get into the multi-MA ribbon charts.....color code to fibonacci.

http://share.esignal.com/groupcontents.jsp?folder=&picture=0630ndx2.png&groupid=14

Regards,

~j

wally_ · Jun 30, 2003

Quote from wwatson1:

Does anyone use just moving average crossovers to trade ES.

I backtested a system on intraday 5min chart that went long when an exponential moving average of 10 was greater that one of 200 and vice a versa.

Over over 13 months it pulled in a profit of 350 points after slippage.

there where 240 trades and the maximum account drawdown was 20.80points.

simple but profitable?

The only too good a thing about it is the drawdown. Looks too low to me, perhaps you should test it again on a larger sample, say 2-3 years of data to get a better idea of how the system really performs. However, I do agree that MAs systems can be profitable, except that because of their simplicity they can also have significantly bigger drawdowns than more complex systems that employ various filters.

bobcathy1 · Jun 30, 2003

MA systems only seem to work for me when I am there all day babysitting the trades because one needs to put in a strategy for the exits that works better than the next cross of the MA.

dbphoenix · Jun 30, 2003

Quote from jjordan:

I think simple moving averages is as easy as it gets for keeping simple.

I like to create an evelope using a 3,-3 and a 9ma. I like to offset a 9,-9ma sometimes. The 9ma, 40ma, 200ma rule!

then you get into the multi-MA ribbon charts.....color code to fibonacci.

That's simple?

wally_ · Jun 30, 2003

Quote from axeman:

I just backtested this to 4/98 on ES.
Here is the equity curve using 1 tick slippage on
entry and exit.

peace

axeman

If I got it right, the system is not profitable in the long run...

inandlong · Jun 30, 2003

..the... 40ma, 200ma rule!

Agreed.

Moving average winner

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