Wednesday, May 27, 2009

Qs MACD SIgnal Line Revisited

Here's an update of the MACD signal line system originally posted back on March 4th. The study uses my typical 16 month floating lookback period to gauge consistency of the equity curve.
Back in March the optimized MACD settings were 4,16,5. The current optimized settings are 3,14,3, a reversion to the MACD settings of approximately 2.5 years ago when I developed a fairly consistent daily bars trading system using the 5,20,3 and the 3,14,3 MACD crosses.
As far as the Qs go this recent study confirms the applicability of a the 3,14,3 timing model (for daily bars).
There was actually an error in the March 4th study results due to the way I optimized the BarsSince Entry functions. That error resulted in the Short cover exits optimized at 9 days, when in fact 4 days produced equal results with 5 days less risk exposure. As a result the current optimized values for len1 and len2 are 4 and 3 respectively.
Final optimized inputs for the system are 3,14,3,4,3.
The max consecutive losers for both longs and shorts is 3, the upper limit of my comfort level and the max intraday drawdown is respectable (IMHO) for both sides of the trade.
With the revised settings limiting position hold time to only 3-4 days this is a time frame that appeals to my short term risk exposure comfort level.

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