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.
AFL codes used:
NSE stocks
Nifty future
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
Nifty future
Final result/rank (Details in the respective excel files)
NSE stocks
Nifty future
Friends, valuable inputs are really appreciated....
:thanx:
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
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;
Sell = Cross(EMA(C,20),EMA(C,5));
Buy = ExRem(Buy,Sell);
Sell= ExRem(Sell,Buy);
Filter=Buy OR Sell;
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;
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;
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
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
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
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
NSE stocks
Nifty future
Friends, valuable inputs are really appreciated....
:thanx: