Here is a simple and educational trading system based on moving averages logically mean reverting on the mini S&P500 US index.
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// tren=filtro lungo periodo , mml media di corto periodo per le operazioni long , mms media di corto periodo per le operazioni short tren=average[125](close) mml=average[14](close) mms=average[4](close) // Condizioni per entrare su posizioni long IF NOT LongOnMarket and close >tren and tren>tren[1] and close<mml THEN BUY 1 CONTRACTS AT MARKET ENDIF // Condizioni per uscire da posizioni long If LongOnMarket AND close>mml and close>close[1] THEN SELL AT MARKET ENDIF // Stop e target: Inserisci qui i tuoi stop di protezione e profit target if not shortonmarket and close<tren and tren<tren[1] and close>mms then sellshort 1 contracts at market endif if shortonmarket and close<mms and close<close[1]then exitshort at market endif |
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Hello,
Nice strategy, indeed ! Thanks for sharing.
Buy I don’t understand why it is not profitable before 1994.Do you have an idea ?
Thanks
Market were not mean reverting before this date (no real normal distribution), but it were also the end of generations of trend followers. Before electronic computer trading & internet generation, market were slow and with less volumes IMO. But perhaps giulomb has another opinion about this 🙂
Questa e’ una ottimizzazione di lungo periodo , non esiste la taratura che funzione sempre perchè i mercati cambiamo
Per Nicolas , non sono uno statistico , mi sembra funzionare e questo mi basta
Questa e’ una ottimizzazione di lungo periodo , non esiste la taratura che funzione sempre perchè i mercati cambiamo
I saw you have optimized the moving average period for this period. That’s a better explanation for Doctrading’s question, it’s equity curve-fitted sadly.
good the basic idea, although I do not agree on optimization of the moving average because I think it overfitting, to improve the system work better on other factors
Per valutare se c’ è overfitting , provare valori attorno a quelli inseriti
Hallo
I am very new at this hole proreal software. Also with trading strategy. I test this one it looks good.
Is this only for uptrend? All the trades show long.
I am trading the South Africa cash 40 witch is the same as the sp500.
Do you have more strategies that I can test?
Thanks Ettienne
Ci sono anche trade short
Giulomb sono tre medie mobili semplici ? Grazie. Mig
Si
HI giulomb
could you try to manage the order with buy at high/low stop instead ‘At the market’
EX:
BUY 1 CONTRACTS AT HIGH STOP
SELLSHORT 1 CONTRACT at LOW-3 STOP
It’s seems better ??
Why ?
It seems perform also very Well
Sembra performare molto bene
E’ tanto tempo che non lo guardo , non so neanche se il trading system soffre di iperottimizzazione , come lo scriveresti il listato ?
E’ tanto tempo che non lo guardo , non so neanche se il trading system soffre di iperottimizzazione , come lo scriveresti il listato ?