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March 2007 Stocks and Commodities Traders Tips


Anticipating Moving Average Crossovers (part 2)

Original article by Dimitris Tsokakis
AIQ code by Richard Denning

The AIQ code for the TC Indicator by Dimitris Tsokakis and a related trading system that I devised to test the indicator is shown below. I used the NASDAQ 100 list of stocks and two simple trading systems. The first uses the traditional crossover of two moving averages of a stochastic indicator and buys when the %K crosses up from below %D. I used the author’s suggested parameters of 20 and 30 days. I also set up a trading system that uses the TC1 indicator in the way the author suggests, viz., when the TC1 cross down from above through the %D then a buy signal is generated. Short sale trades use the reverse of these rules. My objective was to see if the approximate one day lead on the crossovers that the TC1 usually provides would show a better return than using the traditional crossover of the %K & %D indicators.

Using the AIQ EDS module, which tests all the trades on a one share basis, I compared the long side trades for 5 day fixed holding period and 3 day fixed holding period for the short side trades. No other exit criteria were used. In Table 1, I show the results of these fixed period tests. TC1 shows improved results over the traditional use of %K & %D. Both tests were run using a trend filter on the NDX.

EDS Code for Anticipating Moving Average Crossovers
Anticipating MA Xovers.EDS

 

 

 

 

 

 

 

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