Friday, August 17, 2007

Consecutive closes below a moving average

Consecutive C < ema:
12 wk:
bs @ ema if c= barcnt

hrtvx 7/91 - 11/98:
n = 3, exit af w week:

n avg/
w net %prof/pf trades trade week
1 4.41 89% 18.65 9 0.49 0.49 = 1.7%/wk
- wl req 4x lev to exceed b+h b only 9w exposure!
4 6.17 100% 100 7 0.88 0.22
12 11.93 86% 20.24 7 1.70 0.14

n = 0 (not below ma)
1 27.92 71% 4.26 132 0.21 0.21

intc
n avg/
w net %prof/pf trades trade week
1 8.07 42% 1.81 12 0.67 0.67
4 45.26 78% 19.34 9 5.03 1.25
5 55.14 89% 13.79 9 6.10 1.22* optimal
12 24.00 63% 5.63 8 3.00 0.25

msft
n avg/
w net %prof/pf trades trade week
1 5.39 65% 4.84 17 0.32 0.32 v 0.38
if > ema
4 14.81 64% 5.37 14 1.06 0.26

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