moving average breakouts

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.
Post Reply
weatherman
Contributing Member
Contributing Member
Posts: 9
Joined: Thu Oct 16, 2003 8:09 am

moving average breakouts

Post by weatherman » Fri Jan 09, 2004 11:03 pm

Hi, I’m slowly becoming a convert from discretionary trading to system trading.

The turtle rules proved to be a fine place to start. I’ve started to play around with them a little, more to get a feel for things than look to improve them (if that makes sense).

I was wondering if some of my parameters would be programmable into veritrader, either current version or future. I remember reading that a future version would allow moving average crossovers.

I would be using a 200 day moving average to confirm whether I’m going long or short. If the price is higher than the 200 day ma i will be taking the next signal to take a long position. I then look for the price to break above the 20 day for my entry. Exit is either stopped out or when the price breaks below the 60 day ma. Obviously it could already be below and would therefore need to break the 60 day before the exit signal could be recognized. No problem if it is already trading above.

For bet size and additional units I’ve been using turtle rules.

Anyway, I would love to hear any thoughts and whether this could be back tested. And understand this is just an exercise for me to get to grips with mechanical trading.

As a discretionally trader I’ve done ok, but with out some clear rules I’ve all to often sat out, but I seem very focused once in a position.

Post Reply