Quote from limitdown:
real money trial or simulated?
ok, probably, simulated,
ok, then will give you a simulated answer...
good job!
good results!
just flip coin and do exactly opposite and reverse your results!
I think that was part of the point of the original paper picking on MACD. Given how poor it performs if you execute it based just on the crossings, then it might as well be random. They dressed up the paper by showing a strategy that goes beyond the noise. IMO they didn't do too good of a job at it, since they didn't really show, say, normal distributions of their trades against random ones, or do anything like monte carlo or bootstrapping.
They added some rules that makes the indicator smarter. It's the kind of thing one generally should do, but I hadn't seen any real examples how people do this before, so it gave me an idea of what people try to do to refine an indicator into a viable strategy that factors in the personality of the indicator.
That being said, I personally haven't been able to find success with the rules yet. I haven't finished though; next I will try to use a 5% limit order to achieve the 5% rule in MACD-R2. And I am also considering stops. The limit order is probably my best bet. However, there is still something about it that grinds me gears...
Using the closing price in the transactions really grinds my gears. A lot of simulation is this infatuation with using information from the current close in order to trade on the current close. In my case I'm making my decisions in the evening after the market has closed. The next day, my first real trading opportunity then is the market open, and it's a whole different game. So I feel these strategies should trade on the open of the next bar. Either that or they assert they're putting in a limit order based on the close of the last bar, but somehow they need to address how they're going to get complete data for that close bar, crunch on it, turn around, and trade on it. The bar has closed; that opportunity is gone.
I should probably start a thread and rant about it, since maybe there's something I don't understand; maybe you really can market on the close after having all that information. But it seems like a temporal contradiction.
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