Is this system to good too be true?
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Hi All,
I’ve created my first system using two moving averages and have been testing it on the DAX, IT40 and Japan 225.
The result I’m getting from the back tests are pretty good, since 2013, but I’m worried that I’m missing something and this system is to good too be true….
The code is below:
// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500 // Conditions to enter long positions indicator1 = ExponentialAverage[10](close) indicator2 = ExponentialAverage[35](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[10](close) indicator4 = ExponentialAverage[35](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[10](close) indicator6 = ExponentialAverage[35](close) c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[10](close) indicator8 = ExponentialAverage[35](close) c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 6Too good to be true, or is this system displaying good results?
Ran the following code on japan 225 with good results.
Only problem is the draw down is too high
// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500 n=5 m=19 // Conditions to enter long positions indicator1 = ExponentialAverage[n](close) indicator2 = ExponentialAverage[m](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 contract AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[n](close) indicator4 = ExponentialAverage[m](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[n](close) indicator6 = ExponentialAverage[m](close) c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN SELLSHORT 1 contract AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[n](close) indicator8 = ExponentialAverage[m](close) c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP ploss 180 set target pprofit 150
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8 years, 9 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/15/2017 |
| Status: | Active |
| Attachments: | 2 files |
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