It also probably works better when the market is volatile and
makes bigger moves like in the past month. Less volatile
conditions, and probably much more whipsaws.
I plugged this
"30 minute MACD 25,170,25"concept into NinjaTrader
this morning, just to see what would happen. I used the MACD
histogram as described here, taking trades upon a crossover of the
zero line with one confirming bar.
It's pretty straightforward: when trading SPY, taking both long
and short positions accordingly, the profit factor was 1.38 with
cumulative profit of 22.3% (frictionless) for the period beginning
6/1/2010 and ending today, 9/2/2011.
I compared the results to a daily chart of SPY over the same
time period. Comparing trades dates with the daily charts, I could
see that the signal worked well in periods of high volatility
(i.e., choppy markets). The signal resulted in whipsaws whenever it
encountered a strongly trending market.
Yep, that signal turned out very nice with the gap down so far.
I should give an example of high volatility working better for
certain signals. I have a system that's been trading live for two
years now. It's a very simple system that uses simple signals. It's
up 200% non-compounded over those two years. But it had a 47% gain
just on last month alone when volatility exploded.
It also probably works better
email to me from a member
Posted by cw12 on 31st of Aug 2011 at 06:49 pm
It also probably works better when the market is volatile and makes bigger moves like in the past month. Less volatile conditions, and probably much more whipsaws.
Volatility is a must
Posted by dickdos2 on 2nd of Sep 2011 at 01:02 pm
I plugged this "30 minute MACD 25,170,25"concept into NinjaTrader this morning, just to see what would happen. I used the MACD histogram as described here, taking trades upon a crossover of the zero line with one confirming bar.
It's pretty straightforward: when trading SPY, taking both long and short positions accordingly, the profit factor was 1.38 with cumulative profit of 22.3% (frictionless) for the period beginning 6/1/2010 and ending today, 9/2/2011.
I compared the results to a daily chart of SPY over the same time period. Comparing trades dates with the daily charts, I could see that the signal worked well in periods of high volatility (i.e., choppy markets). The signal resulted in whipsaws whenever it encountered a strongly trending market.
not sure if I have
Posted by willc on 1st of Sep 2011 at 07:15 pm
not sure if I have the settings correct in Thinkorswim but this turned negative for SPX a few bars before the close.
Yep, that signal turned out
Posted by cw12 on 2nd of Sep 2011 at 08:55 am
Yep, that signal turned out very nice with the gap down so far. I should give an example of high volatility working better for certain signals. I have a system that's been trading live for two years now. It's a very simple system that uses simple signals. It's up 200% non-compounded over those two years. But it had a 47% gain just on last month alone when volatility exploded.
cw12 would you mind sharing
Posted by angelo851 on 2nd of Sep 2011 at 10:39 am
cw12 would you mind sharing that simple system of yours with the rest of us?