Who'd have thought such a simple strategy woudl be so profitable

[cwp1979]

Originally Posted by sccz97

so I've modified the strategy to use different exit strategies but am currently in the middle of backtesting. Usign the acutal crossovers to close AND open new trades, friday's profit on cable was 135 pips using jam 6/20. I'm basing this off bloomberg tick data rather than using mt for backtesting as I don't trust the MT backtesting. Even in the simplest most crude form of this strategy it is clearly incredibly succesful. I'm now investigating the best jma periods to use and possibly the use of dymnamic jma periods to allow for the changes in volatility throughout the different trading sessions based on atr. Exit stratgies currently being implented are yoyo and chandelier. THis strategy works best with trending markets but can also be used in sideways markets but the params need to be altered, so this is another reason why dynamic time scales and jma periods need to be implemented.

It woudl be incredibly useful if I could upload my application for ppl to backtest and determine best params to use for different markets. Would anyone be willign to test?

Please keep us updated. I'm curious as to the best periods to use. I would think that a JMA based EA would be very profitable.

[Berti]

Originally Posted by sccz97

At it's simplest, it's just a JMA crossover strategy. THe only reason why this performs well is that it's fast to pick up on trends. In it's purest form, you're going to get a lot of trades during consolidation periods that will just get stopped out or closed for a loss and have torely on the big moves to make up for the loss.

sccz97,
How much slippage and spread did you use in backtesting? In my experience MA based systems tend to be very profitable before slippage.