garyfritz wrote:Doc, you said you hand-tested this last June. What bar size, and what ST settings? I can look to see if June was typical or a lucky fluke.
I forgot Empty4 doesn't support M10. But if the strategy has any robustness, it shouldn't be hyper-sensitive to bar size. I can test on any bar size you want on TS. With the default ST parameters (NumPeriods = 10, Multiplier = 3), EURUSD loses steadily over the last year on M5, mostly sideways on M10, did well from May through Oct last year on M15, lost from Feb to Sept but won big from Oct through Dec on M30, lost Mar-Jul and won Aug-Dec on H1, sideways/down with H4, did OK with D1.
That test is a simple "reverse when ST reverses" strategy. I'd be fairly shocked if something like that made consistent profits, just like I'd be shocked if a simple MA-cross strategy won consistently. I think it needs additional intelligence to improve its edge. Your trailing S/L might help but I think it probably needs more. I was toying with the idea of putting a trend filter on it, so you only go long when the larger trend is up. That might avoid a lot of whipsaws. But you'd also want to enter when you cross a trend MA -- otherwise you'll be trending down, you'll pass on a long trade, and it turns into a huge win that turns the trend. ST does that fairly often. But I haven't played with that yet...
Gary,
agree with your comments on simple ST is unlikely to succeed - ST may spot trend changes but certainly it gets confused in less than certain markets -i.e ranging or consolidating. The filter I am currently experimenting with to avoid flat spots, wipsaws etc. and having some success since 3 hrs is dist between EMAs yes this is old stuff dist. between EMAs .. I will continue until I have results mods that stand statistical scrutiny! Jonathan
