Hi @nonetheless
thank you for the code
I have had a quick look at the results and have some observations that I would welcome your thoughts on:
Based on the attached image it appears that if you are able to get the trailing stop to kick in then the strategy will make money but if it just draws down then a loss much greater than the return of an average trade tends to occur, have you experimented with a closer hard stop/alternative stop?
Given the mix of a long term average and a short term signal it looks like you have occasions on which the trade is stopped out but then opened again promptly as you are looking for a market condition ie x is above y rather than x cross y. Have you looked into altering the moving stop so that they would not get stopped out when the conditions still exist or perhaps having a condition that prevents a quick reopening?
I do like that you have success on the short side on a market that has been trending up for so long
Thanks
Ruark
