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 */
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;
// 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 );
1.The current chart pattern has price in the handle of a very short term cup with handle. 2.Price is currently under the 10 day EMA and the 50 day SMA. 3.The past three price peaks have been on lower highs, but the chart did not make lower lows. 4.The down days on Thursday and Friday were on higher volume than the early week up days. The volume is concerning for bulls. 5.VIX at 16.88 is still very quiet so far. Ending the week about where it started while volatility stayed in a tight range. 6.The RSI is perfectly neutral at 50.00. A break up or down in the RSI Monday at the close may give a clue for the next swing in direction. 7.The MACD still has a bullish crossover. 8.The average trading range has been declining, showing that a short term bottom may be in. (ATR). 9.Curiously Consumer Staples $XLP when into oversold Friday at the 33 RSI. This could be bullish as $XLP usually outperforms stock market downtrends. 10.Overall the market and sectors are giving signals for a currently range bound market. Buy weakness and sell into rallies is the current edge in this market environment with no long term trend either way currently.
Scalping waveInteresting system ..we'll see how it goesZig Zagy very good indincator
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