Jump to content

Well, Tom Bombadil? Sing us a new song.

Recommended Posts

The following code is Pinescript (you can use it on tradingview.com).  It is the 'famous' 4-9-18 (E)MA crossover strategy.


strategy("3 MAcross_alert", shorttitle="MAcross_Alert", overlay=true)
EMA_Fast =input(4, minval=1) // To input period for 1st sma, default period set as 10
EMA_Medium =input(9, minval=1)
EMA_Slow =input(18, minval=1)
s1=ema(close,EMA_Fast) // sma values stored in s1 and s2 variables
plot(s1, color=#2196F3,linewidth=2) // Plots the MA
plot(s2, color=#FF9800,linewidth=2)
plot(s3, color=#9C27B0,linewidth=2)
long= crossover(s1,s2) and s2 > s3 // Define our buy/sell conditions, using pine inbuilt functions.
//long= close > s1 and s1 > s2 and s2 > s3
short= crossunder(s1,s2) and s1 < s2
//short= close < s1 and s1 < s2 and s2 < s3
//exitLong = crossunder(s1,s2)
exitLong= close < s3
exitShort = crossover(s1,s2) and s2 < s3
strategy.entry("long",strategy.long,when=long) // Buys when buy condition met
strategy.entry("short",strategy.short, when = short ) // Closes position when sell condition met


Try applying it to the various indices on a 15 minute time frame.

For example on the U.S. 30, 15 minute time frame, it gives this:

Net Profit
$ 2852.40
2.85 %
$ 3318.70
3.32 %
$ 466.30


I did manage to tweak the exit conditions to get this to generate profit going short as well as long but I've forgotten what it was.  Otherwise you would only ever take long trades on this market.

The maximum drawdown was $ 2160.60

The real kicker though, is the equivalent buy and hold profit: $ 25609.35

Interestingly - if you apply it to other indices such as Australia 200 and French 30 the exact same system generates a pure loss (it makes profit on several others)  Hence, the same MAs on the same time frame do not generate results for different securities that are remotely similar.  (So much for the techniques of TA being applicable to everything.)

Link to comment
20 hours ago, dmedin said:

the same MAs on the same time frame do not generate results for different securities that are remotely similar


And there's nothing to suggest that these EMAs will keep on working on the DJIA into the future, either. 

So, we have made another discovery: the same TA approach, applied to different markets, different times, or the same market at different times, provides completely different results.  :D 

Link to comment

The search goes on though.  Why?

With buy and hold we typically have to buy an ETF.  There are plenty of S&P 500 ETFs, but few for indices like Nasdaq and Dow Jones.  (I found a good Nasdaq ETF, but it's about $500 for a single share.)

Also, we have no chance of profiting from shorting unless we buy short ETFs, which are probably more arcane and pointless even than spread betting.

Also, we have no exposure to FX or commodities if we buy and hold.  But then again, why should a fat smelly punter sitting at home in his underpants (like me) have 'access' to complex financial instruments in the first place :D 

Link to comment

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
  • Posts

    • Sainsburys full year earnings and Unilever’s first quarter trading update both say the same thing, UK consumers are in for higher prices. The war in Ukraine, supply chain issues and the effects of ongoing Covid all to blame.      
    • US Dollar (DXY) Daily Price and Analysis US Q1 GDP may stall the greenback’s advance. A 20-year high nears for the US dollar. The multi-month US dollar rally continues with the greenback printing a fresh high today ahead of the first look at US Q1 GDP at 12.30 GMT. The US dollar basket (DXY) has been boosted by renewed weakness in the Euro and the Japanese Yen, as investors move from lower-yielding to higher-yielding currencies, while safe-haven flows continue to benefit the greenback. The US growth release later in the session is expected to show a sharp slowdown from the robust Q4 figure of 6.9%. The markets are currently pricing in growth of just 1% for the first three months of this year, with the slowdown mainly due to a reduction in inventory accrual over the quarter. This release is unlikely to move the greenback, unless there is a large miss or beat, as the Fed believe that 2022 US growth will be robust enough to let them tighten monetary policy sharply without damaging the economy. The latest US Core PCE data – the Fed’s preferred inflation reading – is released on Friday and this may have more effect on the US dollar than today’s GDP data. For all market moving economic data and events, see the DailyFX Calendar. The ongoing US dollar rally has been aided by weakness across a range of G7 currencies including the Euro, the Japanese Yen, and the British Pound. The Euro continues to battle with lowly growth expectations, exacerbated by energy concerns, the British Pound is mired by weak economic data, while the Japanese Yen is in freefall as the BoJ continues with its ultra-loose monetary policy.   The US dollar continues to press higher and looks set to break above 103.96, the March 2020 high. Above here the US dollar would be back at levels last seen nearly two decades ago. The March resistance will likely hold in the short-term, especially with month-end portfolio rebalancing at the end of the week, but US dollar strength is set to continue in the months ahead. USDOLLAR (DXY) WEEKLY PRICE CHART – APRIL 28, 2022 {{THE_FUNDAMENTALS_OF_BREAKOUT_TRADING}} What is your view on the US Dollar – bullish or bearish?   Apr 28, 2022 | DailyFX Nick Cawley, Strategist
    • While Tesla has nothing directly to do with Elon Musk buying Twitter - TSLA stock closed down 12% on news that Musk may have to sell stock and use other holdings to stand against the loan to finalise the purchase of the social media giant.        
  • Create New...