The results that I said I’d give for the MAC EMA Crossover system are now in….

Summary

• Full detailed trading results are available to view here(331kb).
• These results are taken from the FTSE100(UKX).
• A trailing stop loss of 0.75% of current price was used(unless you watch the trade all day long, you wouldn’t get this result). Notice the stop was triggered the vast majority of the time. I ran this system with various stop percentages between 0.25% and 2.5% and this one gave the best results within this range. I wasn’t gonna go over 2.5% because when the FTSE is at 6,000 the stop is 150tics. At my current level of investment, £5 a tic(AT MOST), my nads will be making a hasty retreat into my body and fighting my rectal muscle for cover and a place to hide
• SHORT positions are coloured yellow and LONG positions are coloured green.
• Red indicates a loss and a failed position.

Long Signals
Longs have a very poor accuracy of 40%, but when they do win a trade, they win an average of 67tics which is very healthy for an average of 5.25 days(340 days/65 successes).
TODO: Investigate how to get rid of those 60% duff trade signals!!

Short SignalsShorts are even worse!!! 26% accuracy and a loss of 204 tics over 11 years! On the plus side, when it wins, it wins an average of 86 tics per trade and considering each of the winning trades was held for an average 3 days, that is better than the LONG signals. Good return of 29 tics per day.
TODO: Investigate how to get rid of those 74% duff trade signals!! Is there scope here to turn them into a LONG signal? Is it possible to limit the stop-loss on SHORT signals to cut losses on losing trades?

Bull/Bear Analysis

I designed this analysis to see how good the signals are in different types of markets. If a LONG signal isn’t producing good results in a Bull market, how good is it really!! A child could pick stocks in a bul market and win so a trading signal mus tstand up to the test. It focuses attention on where the trading signal shines. We may find a Trading System that shines in Bull markets but is crap in Bear markets. We should know by now that there is no Holy Grail, but there may be Holy Grails

• Long Signals: no surprises here. If we’d NOT used the long signals during the Bear market of 2000-2003, we’d have saved ourselves losses of 368 tics, increasing long returns overall to 1677, still not good enough for a system to keep me happy!
  The system has performed a lot better during the past bull run from 2003 than the bull of 95-99. It’s also produced more signals in less time. Don’t know why this might be!!
  I think this signal would benefit, as all signals should, of having a medium/long term trend indicator that aids the short term signal. I’ll try adding a longer term EMA and see if it helps clean up the signal.”
• Short Signals: Now this I find interesting. It’s as crap during a Bear as it is during a Bull run. We don’t know if the Bull 03-06 will average out or if the trend will continue, but this signal has LOST 528 tics during the current Bull. By contrast in the Bull of 95-00 it made 123 tics.

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