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.
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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.