This test is designed in an attempt to test the moving average in more
of a trending situation, that is the moving average had risen to the point of the crossover. This means that there is more likelihood
of trading in the direction of the major trend. Again this is not designed to be traded. The ATR Stop on this actually produced worse reults
in the system test, than using no stop loss. I feel this confirms my belief in the need for an integrated system and that sometimes
a stop in an un-integrated system can actually produce worse results than if no stop is used. I am not syaing not to use Stop loss techniques. They do work and I
believe are necessary, especially when trading with technical analysis.
Test - Cross of Rising Moving Average. ATR Stop
Buy Signal
* Cross of the price above the 30 period moving average (Daily)
* Yesterdays high less than the 30 Period Average
* 30 Day Average Higher than it was 15 days ago
* Enter on the next mornings open if the open is above the moving average
Sell Signal
* Cross of the close below the 30 period moving average (Daily)
* Yesterdays Close Higher than the 30 Period Average
* Exit on the next mornings open
Stop Loss / Position Size
* 3 x 21 Day ATR Exit used
System Parameters
Start Capital $50,000
Max Risk (if applicable) 2%
Periods Tested 1000
Maximum Position Size 20%
Maximum # Of Positions 5
