thanks for these posts. The crossovers can be good lagging
indicators, but until we get solid proof the trend has
changed, selling a closure of the gap between averages is a great
way to enter positions in bulll and bear markets. PDquig, if you
are able to, it would be way cool to see if you could come up
with a % parameter of how close the m.a.'s get before reversing
back with the trend. I've always just used my eyeballs - the
problem with that Scotia report is that it is going to suck people
in to anticipating the crossover, when all it may do is come close
to kissing it, then killing the longs again (which is my bet).
yes but for the month month MA, it's not so simple as a
crossover, you have to watch the candle, you filter a lot of the
whipsaws out by using confirming candles etc.
Also if you guys really want to go Long in your 401K
when/if the 50 MA crosses over the 200, then go ahead. but
honestly I see so many people here struggle to death and can't even
handle the stress from an intra day MA crossover that goes against
them a little bit, and these exit EOD. Therefore,
I can only imagine the whining that would go on with some of you
trying to follow this on a daily chart with some of the large
whipsaws and pullbacks that you would have to endure for days and
weeks and sometimes months at time. If you can't handle the
stress from an intra day MA crossover, then how can you hande a
daily one? And I think this is bear market rally, therefore
if it crosses up, I think it it will be a bad signal.
Right on. My experience is that you sell the counter-trend
kiss until proven otherwise. I don't use candles, but maybe I
better learn to - any links to these past tutorials for those of us
who missed them, would be a gr8 help. Thanks
maybe I'll run some back tests on daily charts going back 80
years when I have some time. However I'll optimzed for stops
as well.
HOWEVER, similar to Ravuns sytems, I think a comfirming candle
would eliminate much of the whipsaws! So in other words, I
would not trust any of the daily MA crossovers without a confirming
candle, that will filter out many instances when the MA's crossover
just a tad and then reverse down. See Ravuns past examples of
his confirming candle. When you get crossover, the next
candle needs to confirm it.
Thanks for sharing the great reseach! If you feel like doing
another one I'd be curious to know how 50/200 SMA would compare. My
impression (which could be wrong) is that the big money watches the
SMAs more.
Great stuff. I can tell you two things about success in the
markets:
1) Trading is observation. It takes time and patience to
develop tape reading skills. But remember, a lot of money was taken
out of the markets by traders who had no computers and only a
ticker tape to read. We have a huge advantage now.
2) The secret to the market is ..... there is no secret. It's
more about self knowledge and avoiding our own human weaknesses.
Read all you can on Louis Bacon and Paul T. Jones. "A man who
conquers himself is greater than a man who conquers a
kingdom." (Biblical proverb)
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thanks for these posts. The
End of Bear- GOLDEN CROSS
Posted by PA on 23rd of Jun 2009 at 11:07 am
thanks for these posts. The crossovers can be good lagging indicators, but until we get solid proof the trend has changed, selling a closure of the gap between averages is a great way to enter positions in bulll and bear markets. PDquig, if you are able to, it would be way cool to see if you could come up with a % parameter of how close the m.a.'s get before reversing back with the trend. I've always just used my eyeballs - the problem with that Scotia report is that it is going to suck people in to anticipating the crossover, when all it may do is come close to kissing it, then killing the longs again (which is my bet).
Monthly 20 EMA
Posted by pdquig on 23rd of Jun 2009 at 11:50 am
One final datapoint--the monthly 20 EMA crossover signals over the same period. 16 out of 26 losers, more whipsaws and up to 5 consecutive losing trades. This is offset, however, by really riding some long trends. Overall, it still a slightly lower ROI than the daily 50/200 EMA crossover system.
PA: I've done a bit of playing with rate of change of EMA differences in the past. Also played with combinations of 20/50/200 EMAs with the 20/50 pair driving shorter term, more responsive signals. All this does is to drive more spurious signals and is lower ROI than the 50/200 signals. I'm still looking for a low trade volume mechanical system for 401ks that doesn't leave as much money on the table at peaks and troughs. But then, who isn't ?
yes but for the month
Posted by matt on 23rd of Jun 2009 at 12:41 pm
yes but for the month month MA, it's not so simple as a crossover, you have to watch the candle, you filter a lot of the whipsaws out by using confirming candles etc.
Also if you guys really want to go Long in your 401K when/if the 50 MA crosses over the 200, then go ahead. but honestly I see so many people here struggle to death and can't even handle the stress from an intra day MA crossover that goes against them a little bit, and these exit EOD. Therefore, I can only imagine the whining that would go on with some of you trying to follow this on a daily chart with some of the large whipsaws and pullbacks that you would have to endure for days and weeks and sometimes months at time. If you can't handle the stress from an intra day MA crossover, then how can you hande a daily one? And I think this is bear market rally, therefore if it crosses up, I think it it will be a bad signal.
Right on. My experience is
Posted by PA on 23rd of Jun 2009 at 12:57 pm
Right on. My experience is that you sell the counter-trend kiss until proven otherwise. I don't use candles, but maybe I better learn to - any links to these past tutorials for those of us who missed them, would be a gr8 help. Thanks
maybe I'll run some back
Posted by matt on 23rd of Jun 2009 at 12:46 pm
maybe I'll run some back tests on daily charts going back 80 years when I have some time. However I'll optimzed for stops as well.
HOWEVER, similar to Ravuns sytems, I think a comfirming candle would eliminate much of the whipsaws! So in other words, I would not trust any of the daily MA crossovers without a confirming candle, that will filter out many instances when the MA's crossover just a tad and then reverse down. See Ravuns past examples of his confirming candle. When you get crossover, the next candle needs to confirm it.
Thanks for sharing the great
Posted by bkout3 on 23rd of Jun 2009 at 12:17 pm
Thanks for sharing the great reseach! If you feel like doing another one I'd be curious to know how 50/200 SMA would compare. My impression (which could be wrong) is that the big money watches the SMAs more.
50/200 SMA vs. EMA
Posted by pdquig on 23rd of Jun 2009 at 02:46 pm
Surprise: the more closely watched 50/200 daily SMA crossover method did not fare as well as the 50/200 daily EMA cross. It also underperformed the 20 month EMA method. It did a bit better than the 13/34 weekly EMA method. 12 out of 25 trades were losers (max 3 consecutive). There were two whipsaws after the May 2003 long signal that the EMA method avoided, although it gave a sell nearly 100 S&P points higher than the EMA method in Dec 2007. Fun with numbers.
Great stuff. I can tell
Posted by PA on 23rd of Jun 2009 at 12:06 pm
Great stuff. I can tell you two things about success in the markets:
1) Trading is observation. It takes time and patience to develop tape reading skills. But remember, a lot of money was taken out of the markets by traders who had no computers and only a ticker tape to read. We have a huge advantage now.
2) The secret to the market is ..... there is no secret. It's more about self knowledge and avoiding our own human weaknesses. Read all you can on Louis Bacon and Paul T. Jones. "A man who conquers himself is greater than a man who conquers a kingdom." (Biblical proverb)