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July 2008 Stocks and Commodities Traders Tips

Leader of the MACD

Original article by Giorgos E. Siligardos
AIQ Code by Richard Denning

The AIQ code for Giorgos E. Siligardos’ article, “Leader of the MACD” is shown below. I ran simulations using the NASDAQ 100 list of stocks for each of the two mentioned strategies, Crossovers and Simple Divergences.

Exits for the strategies were not discussed by the author in the article. For longs, I exited after 15 days or on a reversing signal whichever came first. For shorts, I exited after 3 days or on a reversing signal whichever came first. I used a relative strength formula, descending to select the trades taking 3 per day with a maximum of 10 concurrent positions. I started the test period on 3/1/2000 which was the approximate start of a significant bear market for the NASDAQ stocks. The longs were tested separately from the shorts.

In Figure 1, I show the equity curves for the longs compared. The divergence strategy significantly outperformed the crossover strategy and also outperformed all of the major indexes. The divergence strategy also seemed to have survived the sharp bear market of 2000 to 2002. After 2002, the divergence strategy preformed fairly consistently.

In Figure 2, I show the equity curves for the shorts compared. Neither of the strategies was profitable during either the bear or bull markets in the test period and also underperformed the indexes.

EDS Code for Leader of the MACD

















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