Moving Average Ratio Optimization Research

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Dallas
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Moving Average Ratio Optimization Research

Post by Dallas » Mon Apr 14, 2008 12:59 pm

Does anyone know of any data or have an opinion on the "best" MA ratio parameters? In other words, if the short MA is X should the Medium MA be 2 times or 5 times X (for example)?

Thanks for any input.

sluggo
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Post by sluggo » Mon Apr 14, 2008 1:07 pm

If you had an extremely fast backtester, you could use it to try ALL ratios.

Dallas
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Post by Dallas » Mon Apr 14, 2008 1:14 pm

I was just looking for a starting point from which to do my own work, as I am certainly not a trading prodigy or genius.

Thanks

sluggo
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Post by sluggo » Tue Apr 15, 2008 7:43 am

Dallas wrote:I was just looking for a starting point from which to do my own work
Some people here are quite fond of Kaufman's book (link). It might be a starting point from which to do your own work.

On page 868, Kaufman shows a matrix of simulations that he performed on a two moving average crossover system (applied to commodity futures). The smallest value of your ratio (LongMAdays / ShortMAdays) in his matrix, is 1.05. The LongMAdays is 1.05X bigger than the ShortMAdays. The largest value of your ratio in his matrix, is 33.3. The LongMAdays is 33.3X bigger than the ShortMAdays.

However, Kaufman ran those simulations at least 10 years ago. (The same Figure appears on p.515 of the 1998 edition of his book.) Backtest software has improved significantly in the past 10 years, and so has personal computer hardware. So if Kaufman was able to perform X amount of backtest simulation, ten years ago, You ought to be able to perform 100X amount of backtest simulation today. In my opinion.

Dallas
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Thank you Sluggo

Post by Dallas » Tue Apr 15, 2008 8:27 am

I appreciate your constructive guidance. I did take a short peek at Kaufman's "monster" book one time. I will seriously consider buying it.
$80 online is much better than $125 at the store!

DMFord
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Post by DMFord » Wed Apr 16, 2008 4:42 am

You can get it online ??? Where ?

Already bought it , but damn I'd buy it again online.

Then I could take it around on my laptop - which is significantly lighter than the book :D

sluggo
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Post by sluggo » Wed Apr 16, 2008 6:37 am

DMFord wrote:You can get it online ??? Where ?
He meant you could purchase a copy of the physical hardback book from online booksellers like traderspress dot com, traderslibrary dot com, bn dot com, amazon dot com, and so forth. The monetary transaction is electronic, the book is physical.

DMFord
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Post by DMFord » Wed Apr 16, 2008 7:32 am

Boo !
:cry:

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