There’s a thread on the Automated Trading Strategies group on LinkedIn about MACD systems.
Here are some test results using two MACD’s to build a simple system: a shorter ’10-20′ MACD – the entry signal, and a longer ‘100-200’ MACD – the big trend direction indicator, to build a simple system or indicator:
Rules:
Enter when the short 10-20 macd is less than 0 (entry edge) and the longer 100-200 macd is greater than 0 (trade in direction of the trend). Exit after 20 days, 1991- p, SP futures:
Historically bullish (81/109 74% +10.8 pts sd 41.0 pts z 2.7)
Results: are statistically significant
Caveats: No stops, no commissions, no slippage. Big drawdowns. Good exercise.
Always good to pound some numbers,
–h
Henry Carstens
503-701-5741