Today we re-visit the MACD Signal Line, originally posted on March 4, 2009. The original test period was 10/07 - 3/09 so I've moved the test period forward and backward 6 months to reflect the 3-26-07 to 8-6-09 test period we been playing with for the past 10 days.
I've reset the inputs to 3,14,3,2,10. And, when I tested these inputs on the original test period the return was actually as good as the March 4th settings.
Interestingly, this new expanded timeframe backtest actually confirms my previous 3,14,3 MACD settings. Sometimes I surprise myself!
Equity curve is shown below and while the returns aren't dramatic, keep in mind that I'm actually more concerned with maximum intrady drawdown and max consecutive losers. In that respect the system has some attractive performance features.
Pyramiding has not been turned on. . .I'll get to that in a later post.
Below is the distribution of the actual trades and it should be immediately apparent that system performance can be improved by culling out the outliers losers and a good percentage of other losers, by simply setting a $125 stop loss/trade. The performance report is based on 100 share positions of the Qs, whose value has fluctuated during the test period, so an alternate approach would be to use a 4% stop loss.
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