capissimo

Momentum Strategy, rev.2

This is a revised version of the Momentum strategy listed in the built-ins.
For more information check out this resource:
https://www.forexstrategiesresources.com...
從常用腳本中移除 新增至常用腳本

評論

add slippage, commission and see what happens.
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capissimo alter.daemon
@alter.daemon, look for Inverse Fisher RSI-MTF2 strat here (with profitability 80-90%) and do the same.
Slippage, is a good thing for demotivation, but with no great use in practice, imho.
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alter.daemon capissimo
@capissimo, without slippage simulation in backtesting you are only lying to yourself - it won't work in a real world. just give it a try and you'll see.
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capissimo alter.daemon
@alter.daemon, I agree, somewhat. But used in conjunction with some indicator, say, atr, which shows active periods during the day, it proves to be viable.
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UPD: for better performance use smaller lookback (2-7) and replace sma function with the one that gives a smaller lag. This will allow to raise the performance statistics to over 60%.
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