Interesting strategy paper - I just coded up a version of MACDR2 in Amibroker with some interesting results. Some questions/thoughts on this.
1. A sell is defined as a profit target, but as far as I could tell, there was no other sell signal (which obviously could create problems). For me, I set the profit target as a sell, as well as a cross of MACD below the signal. I also looked at adding a bar sell after N days - didn't help, and neither did adding a stop loss.
Am I missing any sell signal here or do I have it right?
2. An issue with the strategy is that it uses the difference of the MACD and Signal divided by the stock price. This will work for stocks $100 or less, but what happens if you have a very high stock price (say $200) or very low stock price (say $2) - obviously the percentage will be very different. I limited my trades to stocks over $5.
3. On the NDX100, taking a max of 4 positions at any one time produced wins about 75% of the time. The strategy was doing well till, you guessed it, December, when it started getting killed.
4. The paper doesn't address reentries - so, should we be testing just for cross overs of the MACD over the signal, or should it just be whether or not the MACD is greater than the signal. As an example, you might have a stock where the MACD is great than the signal for a large amount of time, and therefore you could have multiple entries where each hits the profit target.
I'll continue to work on this over the next few days.
1. A sell is defined as a profit target, but as far as I could tell, there was no other sell signal (which obviously could create problems). For me, I set the profit target as a sell, as well as a cross of MACD below the signal. I also looked at adding a bar sell after N days - didn't help, and neither did adding a stop loss.
Am I missing any sell signal here or do I have it right?
2. An issue with the strategy is that it uses the difference of the MACD and Signal divided by the stock price. This will work for stocks $100 or less, but what happens if you have a very high stock price (say $200) or very low stock price (say $2) - obviously the percentage will be very different. I limited my trades to stocks over $5.
3. On the NDX100, taking a max of 4 positions at any one time produced wins about 75% of the time. The strategy was doing well till, you guessed it, December, when it started getting killed.
4. The paper doesn't address reentries - so, should we be testing just for cross overs of the MACD over the signal, or should it just be whether or not the MACD is greater than the signal. As an example, you might have a stock where the MACD is great than the signal for a large amount of time, and therefore you could have multiple entries where each hits the profit target.
I'll continue to work on this over the next few days.
not much of a vacation ahaha im a workaholic but try this post one at 36,78,27 then immediately under post one at 2/3 of that and then one immediately under that as 1/2 of 36,78,27.. i think youll be suprised in what you see and feel. on the 1/2 its predictive when looking daily 2/3 its intermediate trend seems to back up the big trend on the 36,78,27 so you can sense the pullback or the reversal before it happens.