Saturday, December 26, 2009 EST

The following back-test documents the results of testing LONG and SHORT trades when the MACD crossing the signal line.  This MACD strategy by far under performs MACD crossing zero as a trading signal.

Objective: Document historical returns using single indicators as trading systems.

Indicator/System: MACD Signal Line Crossing MACD

Ticker: PowerShares - QQQQ
Start Date: 3/11/1999
End Date: 12/01/2009
Max Stop Loss: 8%

xBuy = Cross(MACD(),Signal());
xSell = Cross(Signal(),MACD());

PlotBuy = ExRem(xBuy ,xSell);
PlotSell = ExRem(xSell ,xBuy );
Buy = (PlotBuy);
Sell = (PlotSell );

Short=Sell;
Cover=Buy;

PlotShapes(shapeUpArrow * PlotBuy , colorGreen, 0,L);
PlotShapes(shapeDownArrow * PlotSell , colorRed, 0,H);

Number of Trades and % Profit



Conclusion: MACD Signal crossing MACD as a stand alone trading system produces inferior results with -7.75% annual returns.

All back-tests were performed with AMIBroker

 
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