Wednesday, March 04, 2009

Qs MACD signal line

This is a bit of unfinished business for the construction of the Qs Dirty Dozen and a verification of the MACD signal line I've been using in my weekly update Telecharts. This is just one variation of the MACD possibilities. . . I'll look at zero line crossovers down the line to add a little kick to the equity curve.
For now, the study yields a couple interesting (to me) outcomes.
First, for daily bars, the optimized MACD settings (FOR THE Qs) are 4,16,5. I've been using a 3,14,3 for my daytrading and will tinker with these new settings to see how they align with my suite of favorite indicators including the parabolics and the 8/16 and 4/7 MA crosses.
Second, (ho hum . . . yawn) the fixed bar short cover is 9 days. How many systems do we have to test to verify this is great exit ???????

The equity curve looks pretty smooth until we get to the last 5 trades, suggesting that, like other systems such as the Qs SD Oscillator that have turned squirrely in the last month, there may be a change in market dynamics in the making. Not necessarily up, just a change.
TS200oi code is below. As I mentioned above, this iteration uses support/resistance crossovers. The zero line crossovers should yield less net return but a higher success rate. Yet to come.

1 comment:

bzbtrader said...

Inputs: FastMovAvg(4), SlowMovAvg(16), MACDMovAvg(5), Len1(9), Len2(3);
Variables: XMACD(0);

If CurrentBar > 2 AND MACD(Close, FastMovAvg, SlowMovAvg)
Crosses Above XAverage(MACD(Close, FastMovAvg, SlowMovAvg), MACDMovAvg)[1]
Then Sell This Bar on Close;
If CurrentBar > 2 AND MACD(Close, FastMovAvg, SlowMovAvg)
Crosses Below XAverage(MACD(Close, FastMovAvg, SlowMovAvg), MACDMovAvg)[1]
Then Buy This Bar at Close;

If MarketPosition > 0 and BarsSinceEntry = Len1 then
ExitShort this Bar at close;
If MarketPosition > 0 and BarsSinceEntry = Len2 then
ExitLong this Bar at Close;