EMA crossover backtest

amsin21

Well-Known Member
#1
Dear friends,

For some time now, I was going through different trading strategies, felt comfortable with EMA crossover strategy. So decided to backtest various EMA crossovers and ended up with the results posted below. More experienced traders, please have a look for the genuinity of results and advise, so that everyone interested can use the best EMA crossover.

This is not a trading strategy for live. Only trying to find the best EMA combination for live.​

Periods used : Fibonacci numbers 3,5,8,13,21,34,55
Additional periods used : 3-15 (SH315),9-18 (R.C. Allen), 5-20 (R.Donchian)
Period combinations (short-long) : 3-5,3-8,3-13,3-21,3-34,3-55,5-8,5-13,5-21,5-34,5-55,8-13,8-21,8-34,8-55,13-21,13-34,13-55,21-34,21-55,34-55,3-15, 9-18,5-20
AFL codes used:

NSE stocks
Buy = Cross(EMA(C,5), EMA(C,20));
Sell = Cross(EMA(C,20),EMA(C,5));
Buy = ExRem(Buy,Sell);
Sell= ExRem(Sell,Buy);
Filter=Buy OR Sell;
Nifty future

Buy = Cross(EMA(C,3), EMA(C,15));
Sell = Cross(EMA(C,15),EMA(C,3));
Buy = ExRem(Buy,Sell);
Sell= ExRem(Sell,Buy);
Short = Sell ;
Cover = Buy ;
Cover=ExRem(Cover,Short);
Short=ExRem(Short,Cover);
Filter= Cover OR Short;
NSE stocks - Backtester settings




Nifty future - Backtester settings




Backtest results in excel format

NSE stocks

http://www.4shared.com/file/8yQRQMSn/NSE_stocks_-_EMA_test_results.html

Nifty future

http://www.4shared.com/file/C-i9y6aj/Nifty_future_-_EMA_test_result.html

Criteria

NSE stocks
All NSE stocks
Time frame : Daily
From date : 01/01/2012
To date : 21/09/2012
Initial value : 10000
Brokerage, taxes, slippage : not accounted
Buy / Sell : When ever crossover happens + 1 day for confirmation
Stop loss : not defined
Software used : Amibroker 5.30
Backtester settings See attached images; marked with red dot are changed parameters
Nifty future
Only NIFTY future
Time frame : Daily
From date : 01/01/2012
To date : 21/09/2012
Initial value : 50000
Brokerage, taxes, slippage : not accounted
Buy / Sell : When ever crossover happens + 1 day for confirmation
Stop loss : not defined
Software used : Amibroker 5.30
Backtester settings See attached images; marked with red dot are changed parameters
Final result/rank (Details in the respective excel files)

NSE stocks



Nifty future



Friends, valuable inputs are really appreciated....

:thanx:
 

rh6996

Well-Known Member
#2
A Chart is just the part of any trading strategy, and a minor part of the entire strategy... major portion is MM and RR and discipline.
Would hasten to add that it was indeed a good exercise to have undertaken by you. Can be informative and helpful to a lot of people. Thanks.
Dont have much idea about System testers etc... is it possible to similarly analyse historical working of a combination of 3 different MA's say 3,13,39 ??
 

sacha

New Member
#3
We have released a new Technical Analysis Software called Stockalyze.com. Stockalyze Pro allows you to create Trading System using Graphical User Interface.
And yes you can create Trading Systems with multiple indicators too.
You can visit stockalyze.com and give it a try.
 

colion

Active Member
#4
We have released a new Technical Analysis Software called Stockalyze.com. Stockalyze Pro allows you to create Trading System using Graphical User Interface.
And yes you can create Trading Systems with multiple indicators too.
You can visit stockalyze.com and give it a try.
What makes this software better than others?
 

Rish

Well-Known Member
#5
We have released a new Technical Analysis Software called Stockalyze.com. Stockalyze Pro allows you to create Trading System using Graphical User Interface.
And yes you can create Trading Systems with multiple indicators too.
You can visit stockalyze.com and give it a try.
HAHAHA. All indicators and tools are available in Traderji. I hope marketing your products will not be success here, you try in some other forum. Otherwise you trade with your so called "FANTASTIC SYSTEM" and make money.
 
#6
so nice amsin21 .........
I wish to know in that backtesting.......account margin means is it leveraged in testing.
or it can be taken as 10% is equal to one lot price 100% margin.
 

Bewinner

Well-Known Member
#7
NIFTY-I Open Long 08/09/12 5380.2 21/09/12 5759.05 7.04% 132597.5 7.04% 350 1883070.07 294587.5 11 12054.32 -0.84% 7.56% 0/0


How does this profit come in 35 crossover in the last row?
 

amsin21

Well-Known Member
#8
so nice amsin21 .........
I wish to know in that backtesting.......account margin means is it leveraged in testing.
or it can be taken as 10% is equal to one lot price 100% margin.
In Amibroker, 100 in account margin option means you have to pay full value, is applicable only in case of shares. In futures, you need only approx. 10% for 1 lot, thus 10 in the account margin option. So when the backtest happens, Amibroker will buy 2 lots...see the future's excel file - 1st line in each tab.
 

amsin21

Well-Known Member
#9
NIFTY-I Open Long 08/09/12 5380.2 21/09/12 5759.05 7.04% 132597.5 7.04% 350 1883070.07 294587.5 11 12054.32 -0.84% 7.56% 0/0


How does this profit come in 35 crossover in the last row?
Dear Bewinner,

I didn't get you.
 

Bewinner

Well-Known Member
#10
Dear amsin21,
In your excel on 3-5 xover tab entry price 5380.2 and exit price or as the trade is still open last price is 5759.05 ten how does the profit comes as 132597.5?
 

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