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

[sccz97]

JMA crossovers ... nuff said

P.S. although you need to have an engine that dynamically selects the lookback for both entry and exit, also fast cci is very helpful in determining the strengtgh of entry and exit

[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?

[Ravique]

I would be willing to help you. But as i understood , you are not using Metatrader, how is your backtesting going on then? If you explain this, i ll help.

[sccz97]

Originally Posted by Ravique

I would be willing to help you. But as i understood , you are not using Metatrader, how is your backtesting going on then? If you explain this, i ll help.

I don't understand your question. Are you asking how I'm performing the backtesting or whether the backtesting is succesful?

[Rastarr]

sccz97,

So what's the system, mate ?
I've got JMA in MQ4 and would be interested in eventually looking at what your system is all about.

Martin

[sccz97]

Originally Posted by Rastarr

sccz97,

So what's the system, mate ?
I've got JMA in MQ4 and would be interested in eventually looking at what your system is all about.

Martin

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. The trick into making this a truly consistent and profitable system is exit strategy and strength of entry. There are many ways to build on this system and that's where all input from anyone is useful. I don't know mq4 and while the syntax is similar to C, i highliy doubt you would every be able to construct a truly robust black-box application, hence the development of a custom application. You could probably knock smthing up in MT that performs pretty well but I wouldn't trust it

[Ravique]

sccz97. So , how are you performing the backtest? You are not using metatrader ? Or you are using MT, but testing the JMA`s manually? Tell me how to backtest.

[sccz97]

Originally Posted by Ravique

sccz97. So , how are you performing the backtest? You are not using metatrader ? Or you are using MT, but testing the JMA`s manually? Tell me how to backtest.

I've written my own app to backtest ... once it's a little faster I'll upload it here for all to test. You will of course need to provide your own tick data in a particular format as mine is from bloomberg and hence I am not allowed to redistribute

[philipfza]

just a word to thank you all for the information on this site .
i learned quite a lot of forex and going life trading within the next few weeks.

[derrekmay]

Originally Posted by philipfza

just a word to thank you all for the information on this site .
i learned quite a lot of forex and going life trading within the next few weeks.

If it isn't to mutch to ask keep us updated on how it's going?

Back on topic:
Are there anny other ways to backtest instead of using metatrader?