Michael Stokes had an interesting post the other day regarding the use of a 5-10-20 EMA crossover timing model to follow the Nasdaq trend (long only).
Being the inveterate tinkerer that I am, I utilized a similar concept using the cross and confirmation of linear regression slopes to see how well they tracked the Qs trend.
Turns out they track it pretty well.
I use somewhat different settings for the long and the short side because the short side tends to be more volatile and hence reflects a shorter time frame to complete.
There's not a lot of trades here. . . 6 in 4 years and the time in the trades is off the scale for my normal comfort level. . . 110 days for the longs, 200 days for the shorts but, what's truly amazing to me is the piddling drawdown that this system incurs considering the length of the exposure.
Equity curve shown above, reflecting the relative gain in each of the trades.
Not a loser in the bunch.
Not sure I'm ready to bet the farm on this simple timing model, but certainly worthy of further exploration for smaller time frames and the application of various filters to increase trade frequency and, hopefully, net return.
Below is the TradeStation 2000i code.
TS users with versions 8.3 and above know the BUY/SELL and EXIT command language requires minor modification to run properly.