EMA Crossover Strategy

• 07/04/2016 at 12:12 PM #10170
  stevenug

  I am using the code below to test a system for 1Hr Eur/USD and 1 Hr USD/JPY. When I run the optimization with both short and long EMAs set for 1 to 50 in steps of 1 I always get a result where the short EMA has the longest period and vice versa. Why should this be and can it be used as a successful strategy.Thank you

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = ExponentialAverage[short](close) indicator2 = ExponentialAverage[long](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[short](close) indicator4 = ExponentialAverage[long](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[long](close) indicator6 = ExponentialAverage[short](close) c3 = (indicator5 CROSSES OVER indicator6) IF c3 THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[long](close) indicator8 = ExponentialAverage[short](close) c4 = (indicator7 CROSSES UNDER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = ExponentialAverage[short](close) indicator2 = ExponentialAverage[long](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 1 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[short](close) indicator4 = ExponentialAverage[long](close) c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN SELL  AT MARKET ENDIF   // Conditions to enter short positions indicator5 = ExponentialAverage[long](close) indicator6 = ExponentialAverage[short](close) c3 = (indicator5 CROSSES OVER indicator6)   IF c3 THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions indicator7 = ExponentialAverage[long](close) indicator8 = ExponentialAverage[short](close) c4 = (indicator7 CROSSES UNDER indicator8)   IF c4 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets

   

  

  stevenug

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  07/04/2016 at 3:36 PM #10185
  Nicolas

  If the optimizer returns you good results cases when the faster EMA has a period longer than the slow EMA, this is obviously because it gives the best results. So if you need to have a short term period for your short EMA, you can restrict the range of periods in the variables optimizations window if you like.

  

  Nicolas

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