Triple Moving Average vs. All The Others

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.
Macro
Roundtable Fellow
Roundtable Fellow
Posts: 70
Joined: Sat Dec 03, 2011 11:22 am

Post by Macro » Wed Dec 28, 2011 4:59 am

sluggo wrote:Tim, Tim, Tim. I keep trying to gently suggest that you include non-US futures in your testing portfolio, but it appears I still haven't succeeded.

I find that when I run the 3MA system for CY2005 using the same number of markets ( 28 ) as you ran, but employing an international portfolio of futures markets, the results are noticeably better. This portfolio includes quite a few overseas instruments, such as CSI Commodity Numbers 58, 131, and 565. They are traded in frightening, exotic locations like the steamy jungles of Winnipeg, Frankfort, and London. Oooohh, scary. :)
This is just phenomenal, thanks for sharing. I doubt the aforementioned results were curve-fitted to a basket of exotic futures, yet I'm curious as to how the system performed during recent times.

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