Vintage MACO Replica

We all know the theory of Simple, Double or Triple Moving Averages.

How about a system that uses only 1 MA and nothing else?

I had trouble modelling a MA CO Model for a future, so i tried a MA Xover with its lagging self. And voila, it did work.

But results improved when using a fast DEMA crossing over its same period EMA thats lagging behind.

This is an intraday trading model.

In case you would like the AmiBroker code:


/* #########################
Lagging MA Crossover Model
Author: Thomas Heyen
Amibroker Professional Code
#########################*/


MarketHours = TimeNum()>=093000 AND TimeNum()<=154400;
MarketClose= TimeNum()>=154444 AND TimeNum()<=240000;
PositionSize = MarginDeposit = 1; // Do not reinvest Profits in backtest

//TF = Optimize("TF",15,15,900,15); // Test 15sec to 15min Bars
/* Timeframe is 2 Minutes */
TimeFrameSet(120);

smooth = Optimize("smooth",20,2,40,1); //20 for DEMA X EMA
Lag = Optimize("lag",24,2,40,1); //24 for

fast = DEMA(C,smooth);
slow = Ref(EMA(C,smooth),-Lag);

Buy = Cross(fast,slow) AND MArkethours;
Sell = Cross(slow,fast) OR MArketclose OR slow == fast;
Cover = Cross(fast,slow) OR MArketclose OR slow == fast;
Short = Cross(slow,fast) AND MArkethours;

PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen);
PlotShapes(IIf(Short,shapeDownArrow,shapeNone),colorRed);

// Plot Trading Ribbon
Color = IIf( BarsSince(Sell)>BarsSince(Buy), colorGreen, IIf( BarsSince(Cover)>BarsSince(Short), colorRed, colorGrey50 ));
Plot( 1, "", Color, styleArea | styleOwnScale | styleNoLabel, -0.1, 15 );

TimeFrameRestore.

 


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Posted By sastroacha : 11 August, 2020
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Scalping waveInteresting system ..we'll see how it goesZig Zagy very good indincator  

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