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Double MA Crossover in Forex
Posted: Sun Jul 20, 2008 5:30 pm
by Matthader
I don't have the ability to backtest right now but I was wondering in the case of Forex would you be better off only taking the signal in the direction of positive swap rates and therefore ignoring most of the sell signals?
I'm talking about the 100/350 Double MA mentioned in TWOTT.
Re: Double MA Crossover in Forex
Posted: Mon Jul 21, 2008 5:22 pm
by sluggo
Matthader wrote:I don't have the ability to backtest right now but I was wondering in the case of Forex would you be better off only taking the signal in the direction of positive swap rates and therefore ignoring most of the sell signals?
The only procedure I can imagine that will get you an answer to your question, is to try out 3 ideas in backtesting and see whether one of them is clearly preferable to the others
- IDEA 1: Only take the signal in the direction of positive swap rates (your idea)
IDEA 2: Only take the signal OPPOSITE TO the direction of positive swap rates (the opposite of your idea)
IDEA 3: Take all signals regargless of the direction of positive swap rates
That's probably not the reply you seek, sorry.
Posted: Mon Jul 21, 2008 7:39 pm
by svquant
In addition to sluggo's answer you can get a feel for what you are trying to accomplish by examining the differences in returns from currency trend following indicies vs currency yield indicies. Something to think about as you code up the three tests mentioned.
Posted: Tue Jul 22, 2008 2:57 pm
by Matthader
Yes thanks i appreciate the responses.