Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Guest figaro

Moving Average Crossovers.

Recommended Posts

Guest figaro

a lot of negative writing is shown for moving average crossover. but i've had a fair degree of success using a combination of 18sma,20sma,3sma,5sma on a 15 minute emini s&p. wonder if anyone still uses them? seem to be most effective when they converge on a s/r level.thank you.figaro

Share this post


Link to post
Share on other sites

If they are giving you a "fair degree of success", and you're happy with them, stick with it. I personally don't know of any MA cross traders, but if you're making it work for you, good for you.

Share this post


Link to post
Share on other sites
Guest figaro
can you post a chart... with notes and illustrations?

Hi Tams,

I use EMA20,EMA18,SMA5,SMA3 on 15 minute ESU . the 50 and 200 SMA's are used for trend. When the four lower MA's cross I take the trade in direction of the trend. If you care to comment I welcome your input. Here's a picture of today.

Noname.bmp

Share this post


Link to post
Share on other sites
Hi Tams,

I use SMAEMA20,EMA18,5,SMA3 on 15 minute ESU . the 50 and 200 SMA's are used for trend. When the four lower MA's cross I take the trade in direction of the trend. If you care to comment I welcome your input. Here's a picture of today.

 

Hi Figaro,

 

I don't quite understand

"when the four lower MA's cross"

I've made a graph and my guess as what you mean.

Do I have it correct?

You have:

SMA20,

SMA3,

EMA 20,

EMA 18,

EMA 5,

for knowing when to trade.

 

and you have:

SMA 200,

SMA 50

for your trend and therefore the direction of your trade.

5aa70f08790bb_15minwithMAcross.PNG.2aee3b40c628e7b15ac0cac5c0335cb0.PNG

Share this post


Link to post
Share on other sites

I personally find that MAs do not give reliable signals. Me and two other have been trying to develop an automated trading program for use with AmiBroker and Interactive Brokers. We have tried any number of combinations and MAs from simple to adaptive to dema and ema. The problem with MAs is they delay too much in a trend. But that isn't the real problem. They do well in a long, nicely behaving trend but will eat your lunch in a choppy or sideways market.

 

We have tried to use multiple time frames and pass indicators from 2 to 4 other time frames to the one that is communicating with IB. They do well on trendy days and kill us otherwise.

 

I have been to design some sort of pattern recognition program and someone sent me an article on VSA. I think if one can nail it down and get the interpretation out of the mix one could do well. It pleases me to think so, anyway. But writing a program to do that has been a chore and I am nowhere near an automated version.

 

If you try and do discretionary trading using charts and manually enter the trades you must be very disciplined. I suck at it and that is why I developed auto trading programs.

 

Just my experience but others may disagree.

 

Cheers,

Barry

Share this post


Link to post
Share on other sites

The point I was trying to make is demonstrated well by your chart. Going long at the point where the MA line first turns blue will be up the third bar of the trend. That may not be too bad on this trend but look where it gets out and goes short. You would lose 50% of the gain on the long.

 

Then you get whipsawed on the short with a large loss. Then you get whipsawed more on the next long, short, long. But the end of those trades you would have a large loss on your hands. I have a system that makes 25,000% on a static back test. The system is based on MACD and two EMAs. When we run it with a live data feed using one contract RUT e-,ini, it may make $4000 to $8000 one day and down that much the next. Overall it loses money. So much for back testing, I am not a fan of BT. A lot of this is due to whipsaw when the market turns. But the rest and worst is the amount it loses with price action exactly as your chart shows.

 

What I have been trying to develop is a set of adaptive trend lines that automatically follow the bottoms on longs and tops on shorts. When the market turns the system changes directions. To see what I mean draw a tend line or your charts you will see it gets you out very close to the turns. At times it will get out as the market turns into a sideways move. Looking at the exit point will show the exit, though early, gives a good return. Once I get those running I am going to try to add the VSA rules and then add the support / resistance lines. That would be more of a pattern recognition method. I have tried this with caned data with AmiBrokers BarReplay and it seems to work.

 

Barry

Share this post


Link to post
Share on other sites

Thanks for the suggestion. I have Bandy's book and have read it a number of times.

 

The problem with back testing and walk forward testing is that it uses static data as opposed to live data. When designing systems for use with live data things happen during bar formation that static testing can't see. Of course you can prevent intra bar errors entering a system by trading on the close, actually the open of the next bar. But with futures the price can move so quickly that waiting to the next bar causes too much gain to be lost. Recently the TF contract has been moving 2 to 6 points in a bar early in the day. Would you really want to wait until the next bar? I don't.

 

A feature in later AmiBroker is BarReplay. I have designed programs to use bar replay with tick and minute data. Analyzing a program in this fashion allows you to see how it will operate with live data. Using tick data you can see all the false signals that happen mid bar. That is a real eye opener on many of the indicators. They do things that are totally unexpected during bar formation. When using indicators but allow them to trade during a bar rather than at the close opens a whole bucket of worms that are invisible using static data. All the transient signals are invisible but can send a hundred signals, buy and sell, during a bar when the indicators are fluttering, such as MAs crossing up and down when the ticks are up or down a sufficient amount to cause a cross. Most indicators rely on a comparison with the last full bar. When using cross or such, if the system goes long and then reverts to short during a bar the system will act and go long but has no way to reverse itself since the cross function will not give a short signal during the bar since it was sort and still thinks it is.

 

Only a system that can simulate live data can find errors like this. BarReplay is one tool that will allow analysis of the system with simulated live data. Bandy's book does not cover this type of environment or the testing of it. If you can, set up an Ami data base to capture tick data. Then play that back into your system on whatever time frame and watch your trading system. It will blow your mind.

 

Barry

Share this post


Link to post
Share on other sites

i don't mean to sound like a broken record here, but what does a MA cross represent? PRICE. but i am going to leave that alone for now.

 

i am going to be the first to say, if you think you can trade it and it works for you, "GREAT and GOOD for you." i actually know a trader that has MA's as part of what they do.

 

but think about what you are wanting the cross to tell you. you are wanting buy or sell. and while it can be that easy, what made you take the signal? if you say the cross, then you have merged two parts of a strategy.

 

SETUP and ENTRY. they are not the same.

 

either a) the cross is the entry and something occurred beforehand or b) the cross is merely the setup and something else has to occur before you take the signal.

Share this post


Link to post
Share on other sites

Broken record is good and I appreciate what you are saying. I have been looking at this from a specific viewpoint for so long it is healthy to have someone to challenge what I am doing. I will take some time and try to look at it differently. Actually I had already started doing that.

 

Thanks,

Barry

Share this post


Link to post
Share on other sites

Razz,

 

Have you selected the most appropriate interval per bar? If your system is currently based on 10min intervals, have you tried it on say 5 or 3min bars, with/out adjustment to the number of periods in you MA?

 

Have you looked at the time of day that you are trading - if you look at the volume and price movements on the TF, you'll see that most of th action takes place 8:30-11:00am and 2:00-4:00pm. The rest is just so choppy, unless there's been a major reaction to an announcement.

 

Have you looked at different data for the bars, eg using a fixed number of ticks per bar will give you whole different picture, than a fixed number of minutes.

 

Using tick data you can see all the false signals that happen mid bar. That is a real eye opener on many of the indicators. They do things that are totally unexpected during bar formation.

 

Having traded YM, TF, and ES in real-time, I understand what you mean about intra-bar formations.

 

There was a time when I thought that reacting to intra-bar price movements was a good thing, but came to realize that it was a waste of time - I'd invariably get it wrong: bad fill, wrong direction, etc.

 

But, do you really want to react to thousands of (false) signals that occur during a bar, or, do you want to decipher and trade the main direction. Will you MAs give you the main direction? Is there something else that you need to use in conjuction with them?

 

I agree, Bandy's book doesn't cover real-time.

 

One of the things he does talk about though, is the difference between signal and "noise" - we want to trade the signal. If your signal is sound, and has statistical significance (which he outlines in QTS), then proceed to walk-forward testing, and then trade it if it still stands up.

 

Regards,

Share this post


Link to post
Share on other sites

when I was attending nursery we usually did MA trading with macaroni and cheese on the floor while nurse was away.

 

I too had fair degree of success in MA crossover trading ... Thought you all would like to know that.

Share this post


Link to post
Share on other sites
When using indicators but allow them to trade during a bar rather than at the close opens a whole bucket of worms that are invisible using static data.

Barry

 

Why not just use Close of Bar entries and data rather than Intrabar Order Generation (which is much more complicated)? Solves the problems you werep ointing out. Really this has nothing to do with Backtesting... it has to do with the type of entry / automation you're using.

Share this post


Link to post
Share on other sites

I don't trade MA signals but I do use the 5/sma and 20sma on every chart especially the 15min and it has been very helpful as a visual. I use it this way:

- I will only trade on the same side of the 20sma the 5sma is on.

- I watch the expansion and convergence of the 5/20sma.

- I always pay attention to the crossovers in context to major levels of SR to give additional visual.

- I look for RSI divergences at major SR levels and sometimes FIB levels to enter trades as long as the 5/20sma agree with my direction.

- I also use the 5/20sma to help me with my exit decisions too.

 

Its a simple system but works pretty well

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Posts

    • Forex trading is the best way to make some good money online, but you need to have proper skills to achieve success and for that you should practice trading with small capitals.
    • Forex Trading is the best way to make some good money online, but it could only work if you have the proper experience and skills, and knowledge which requires to achieve success in their trades.
    • MASTER TRADER JOE ROSS PASSES ON Dear Traders, We are sad to inform you of the passing of Master Trader Joe Ross on the morning of Tuesday, September 7, 2021 at the age of 87. He went peacefully doing what he loved, by taking care of Loretta, his wife of 62 years of marriage and teaching his students from every continent how to trade. Joe has always been a free spirit and loved the trading world being his own boss. He quickly learned that teaching others was his true passion. The joy of educating those about a system in which he had true confidence and to see others come into their own. That was his greatest pleasure. He was proud to be a devoted Christian and combined spirituality with trading. Our condolences to our traders and students for the loss of a mentor and close friend, some would even go as far as saying a “father-figure” and he wore that title proudly. Master Trader Joe Ross’ passing came upon us unexpectedly and suddenly. Again, we would like to send our condolences to those who lost a mentor and a friend. Joe, you will forever be in our hearts. Who is Joe Ross? Joe Ross is the creator of the Ross hook™, and has set new standards for low-risk trading with his concepts of “The Law of Charts™” and the “Traders Trick Entry™.” Joe was a private trader and investor for much of his life, but a serious health situation in the late 80’s caused him to shift his focus, and that is when he decided to share his knowledge. After his recovery, he founded Trading Educators in 1988, to teach aspiring traders how to make profits using his trading approach. Joe Ross has written twelve major books and countless articles and essays about trading. All his books have become classics, and have been translated into many different languages. His students from around the world number in the thousands. His file of letters containing thanks and appreciation from students on every continent is huge: As one student, a successful trader, wrote: “Your mastery of teaching is even greater than my mastery of trading.” Joe Ross holds a Bachelor of Science degree in Business Administration from the University of California at Los Angeles. He did his Masters work in Computer Sciences at the George Washington University extension in Norfolk, Virginia. He is listed in “Who’s Who in America.” After 5 decades of trading and investing, Joe Ross still tutors, teaches, writes, and trades regularly. Joe is an active and integral part of Trading Educators. He is the founder and contributor of the company’s newsletter Chart Scan™. “Master Traders Joe Ross was one of the most eclectic traders in the world. And he remains one of the few best mentors I have, alongside, Dr. Van. K. Tharp (may he live long), and one or two others. His teachings and insights into the markets have contributed to making me who I am today. He also talks about the spiritual side of trading, concluding that trading is no sin.” – Azeez M. “The trading world has lost a unique and passionate trader. He explained to me that his material will never go out of date, only the technology. Recently, we updated several of his hardback books into eBooks and he was right. From making trades over the phone to the “pit” then to opening an online account, my how things have changed. But he is correct about his methods, they will continue to apply to the markets regardless of how technolgy advances.” – Martha Ross-Edmunds (Joe’s daughter) Joe Ross’ Trading Philosophy: “Teach our students the truth in trading — teach them how to trade,” and “Give them a way to earn while they learn — realizing that it takes time to develop a successful trader.”   IN MEMORIAM: Joe Ross (RIP)   Source: https://learn2.trade   
    • BITCOIN PRICE ANALYSIS: LONG-TERM HOLDERS REMAIN UNSHAKEN BY PRICE ACTIONBITCOIN PRICE ANALYSIS: LONG-TERM HOLDERS REMAIN UNSHAKEN BY PRICE ACTION Azeez Mustapha 14 October 2021 | Updated: 14 October 2021 New reports from Glassnode show that despite the recent price surge in Bitcoin (BTC), long-term holders have shown no intention to liquidate and realize profits yet. The blockchain analytics provider also revealed that the percentage of BTC supply held for at least three months reached 85%, a new all-time high. Citing data from Glassnode, famous Chinese crypto analyst Colin Wu illustrated the recent behavior of Bitcoin holders and their attitude towards the benchmark cryptocurrency. The analyst detailed that the percentage of long-term holders that have not moved their coins in over ten years stands at 12.3%. These tokens are deemed dormant for this reason. The analyst further noted that the percentage of long-term holders that have not transferred their coins between two to three years and three to five years stands at 10% and 12.26%, respectively. Finally, the highest percentage of long-term holders were those who have refused to move their coins between the last six months to twelve months, standing at 19.5%. That said, 85.14% of BTCs have not exchanged hands for at least three months, a new record high. In July, Bitcoin struggled to keep its head above the $30,000 mark. Today, it has almost doubled this number, but investors remain steadfast in holding their coins. Key Bitcoin Levels to Watch — October 14 As predicted in our previous analysis, BTC witnessed a sharp correction to the $55,000 – $54,000 pivot axis from the $57,500 level over the last 48 hours. This correction found immediate support from the $54,000 level, which triggered a rebound to a new five-month high at $58,500 earlier today. BTCUSD – 4-Hour Chart While the price currently rests around $57,500, we expect a bull run to the $59,000 resistance over the coming hours and days. Meanwhile, our resistance levels are at $58,000, $59,000, and $60,000, and our key support levels are at $56,700, $56,000, and $55,000. Total Market Capitalization: $2.40 trillion Bitcoin Market Capitalization: $1.07 trillion Bitcoin Dominance: 44.9% Market Rank: #1 Source: https://learn2.trade 
    • Date : 15th October 2021. Market Update – October 15 – Stronger equities dampened the safe-havens! Q3 earnings season has gotten off to a strong start, with big banks largely shooting the lights out on revenues and earnings. Incoming data was constructive as well, with jobless claims coming in at pandemic lows, while the rate of PPI growth slowed. All 11 S&P sectors are higher. Bulls are in control, both in the bond market and on Wall Street. – Overlooked the hawkish Fed implications from the record strength in PPI and the lowest claims readings since before the pandemic. Yields declined and Treasuries are in the green on short covering and dip buying, recovering from the recent aggressive selloff. US Treasury yield has lifted 1.8 bp to 1.53%. China: will loosen restrictions on home loans and boost lending & bank added enough medium term funds to keep liquidity in the system steady. Equities up. JPN225 managed a 1.6% gain and US futures are also higher, led by a 0.4% rise in the USA100. Oil lifted above $81.99. – Prices quickly backed up after a larger than expected stock build in the US. Improved market sentiment, which has lifted global stocks, commodity prices and bond yields, is also weighing on the safe-haven Dollar. FX markets – USD dropped, Yen declined. EURUSD retests 1.1600 mark, Cable at 1.3689, USDJPY touched 114.16. European Open – The December 10-year Bund future is slightly higher, US Treasury futures slightly in the red, as stock futures move higher in both Europe and North America after a good session for equities across Asia overnight. Market sentiment improved and GER30 and UK100 futures are currently up 0.4% and 0.3% respectively, while a 0.4% rise in the USA100 is leading US futures. EGB yields had dropped back markedly yesterday, but in the UK money markets are still bracing for an earlier than expected lift off on rates, which ironically is actually helping long rates to come down. Today – Today’s data calendar is unlikely to change the overall picture, with only eurozone trade data for August and some final HICP readings on the agenda. Biggest FX Mover @ (06:30 GMT) NZDJPY (+0.60%) Breached 80.55. Up for 7 days in a row. Currently faster MAs keep pointing up, MACD signal line is at 0 & histogram trending higher. RSI at 82 & Stochastic at 94 but both sloping down, all indicating further upwards move in the medium term but possible pullback in the short term. H1 ATR 0.123, Daily ATR 0.810. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Andria Pichidi Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.