Quote:
Originally posted by tim_nn
This looks rather interesting, sr2.
Well done with it so far and thank you for posting it.
Could I ask a couple of questions (three, actually)?
1. What made you use WMA's rather than EMA's for this system?
2. What proportion of the time, overall, is it "in the market", i.e. with an open position?
3. Do you think it might be viable to relate your figure of 100 (for the maximum difference between the two WMA's at the point of the crossover of the PAR and the long MA, I mean) to the ATR of each pair, rather than taking it as a flat 100 for all currency pairs?
(I agree entirely with TLB's comments above, also).
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Hi tim_nn
Thanks for your reply. I will try to answer your questions as best I can. I am still a newbie
1) I found that the WMA moved closely with the market which I suppose makes sense as it is weighted. Also the profits were higher. Some may call that curve fitting and I would probably agree but if over time WMA generates more profits than SMA or EMA then surely that is the better approach.
2) Not sure how to answer this. The image above shows the time the trade was taken and exited so you can get a rough idea of how long the I am in the market. Most of the trades would probably be overnight. I think the average time for a trade is probably about 30 hours with some weeks not generating any trades.
3) Not thought about that. Will have to take a look see. Basically what I am trying to do at present is create a very simple set of rules for entry and exit of trades, which can be set and left to play out. I did at one stage try different SL and TP for different currencies but then decided to try and create a universal set of rules. Over time I may find this is not the best approach and so may try other values. Also I am only looking at 8 currency pairs at present but obviously there are more which may actually be more profitable.
Hope that answers your questions. And yes I agree with TLB also.
I know it is so easy to fall into the curve fitting mode whereby you create a simple set of rules, back test using whatever and then modify to improve your back test results. I suppose luckily for me this was not how I started. I watched the charts and thought that crossover was a good way of jumping into the market. But obviouisly due to whipsaws and spreads the trades were often losses. I then noticed that often when the price had crossed over and gone past a certain point it tended to continue in that direction. I used this premis to back test manually. I did not change the rules deliberately as that would be curve fitting.
I hope that sort of explains how this system came about.
Also a quick point about drawdowns. My SL are set at 100. Which means roughly $1000 per trade. The maximum number of trades I have had going at any one time so far is 3, so basically you are looking at drawdowns approaching $3000 on average at present. This will no doubt change if I add more currencies.
SR2