I know you go over this time and again. Today you said the
system did not cross up. On my SKF 6 min cross 29 and 86 day ema
they did cross. Are you using different ma's? or are they off
set?
Unless there has been a change there are two SKF systems SKF
6min 29/86 EMA with an EOD exit and the newer swing system on 6 min
with 15/84 SMA which you hold overnight till a cross the other way
or profit stop at 24%. BTW I do not have a cross yesterday on 29/86
-- maybe check if you have after hours data messing it up. Kiss at
13:18 and on the last bar though.
Posted by junkmaylbox on 12th of Feb 2009 at 04:24 am
I too noticed that Matt's system uses simple MA instead of
exponential MA. Simple moving averages are more lagging, which is
probably what's needed for something as fickle as XLF. If there is
any other rational behind choosing simple moving averages, I would
like to know that.
Using a fast MA with a whippy stock is not necessarily the best
idea. You can just get whipped more. Sometimes an SMA is better
because it smooths out the price action.
This is why exotic MAs like the Hull, Kalman, Jurik etc don't
necessarily make better systems on their own. A plain Kalman
crossing system will get whipped six ways to sunday. You have to
combine them with something that reduces whipsaws like a hysteresis
channel or a trend filter.
When I was using plain MA crossings I often found the SMA gave
better results.
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
SKF system
Posted by whirl on 11th of Feb 2009 at 07:22 pm
I know you go over this time and again. Today you said the system did not cross up. On my SKF 6 min cross 29 and 86 day ema they did cross. Are you using different ma's? or are they off set?
Matt's swing system for SKF
Posted by dodgerdog on 11th of Feb 2009 at 07:57 pm
Matt's swing system for SKF 6 minute is 15/84 simple moving average.
Unless there has been a
Posted by bkout3 on 12th of Feb 2009 at 09:12 am
Unless there has been a change there are two SKF systems SKF 6min 29/86 EMA with an EOD exit and the newer swing system on 6 min with 15/84 SMA which you hold overnight till a cross the other way or profit stop at 24%. BTW I do not have a cross yesterday on 29/86 -- maybe check if you have after hours data messing it up. Kiss at 13:18 and on the last bar though.
Using SMA instead of EMA for SKF
Posted by junkmaylbox on 12th of Feb 2009 at 04:24 am
I too noticed that Matt's system uses simple MA instead of exponential MA. Simple moving averages are more lagging, which is probably what's needed for something as fickle as XLF. If there is any other rational behind choosing simple moving averages, I would like to know that.
Using a fast MA with
Posted by unsane on 12th of Feb 2009 at 08:17 am
Using a fast MA with a whippy stock is not necessarily the best idea. You can just get whipped more. Sometimes an SMA is better because it smooths out the price action.
This is why exotic MAs like the Hull, Kalman, Jurik etc don't necessarily make better systems on their own. A plain Kalman crossing system will get whipped six ways to sunday. You have to combine them with something that reduces whipsaws like a hysteresis channel or a trend filter.
When I was using plain MA crossings I often found the SMA gave better results.