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Improving The Moving Average Crossover System

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Richard Jay says:

    Have you looked into the Double Exponential Moving Average (DEMA) ? In thousands of back tests, trying every MA-based idea I could think of, the DEMA was by far the most reliable MA for crossovers that I saw.

    • Jeff Swanson says:

      I’ve personally not looked into the DEMA much at all. I’ll have to give it a try. Thanks for sharing your idea.

  • Andy says:

    As soon as I get a little better at navigating my way around TradeStation and Easy Language I am looking forward to testing ideas like this! I’m curious to see how combining some of them would affect the results.

  • Hi Jeff,

    Enjoy the effot put in and respected readings as provided by your website. A quick question: could you explain why your coding never incorporates a setdollartailing function. The reason is the most obvious but I would like to here it from you.

    Thanks again and keep up the grand work.

    • Jeff Swanson says:

      The little work I’ve done with setdollartriling has not worked out very well. Based on my testing it has often hurt the system more than helped. I’m not saying there are not valid uses for setdollartrailing, but I’ve not found very many occasions. I have often found that exiting based on time or an event, such as price crossing a threshold, to be much better as an exit. This also includes not moving my hard stop.

  • Sorry for the distraction i.e. spelling error – autocorrect function has its own mind.


  • Abraham says:

    You are right on your method of improving moving averages strategies as MAs are lagging and creating many whipsaws. What I rather do is using 2 EMAs instead of 2 SMAs. And when the faster crosses the slower on the daily chart I start trading on the basis of H4 (4hours) chart only in the direction of the (daily) trend until the faster EMA turns round in the daily chart(I mean when it points no more in the same direction with the slower but looks to be reversing, no need to wait until it crosses back the slower one on the daily before).

  • Abraham says:

    I must complete that many times, even if the faster EMA turns round as if reversing to cross back the slower, it may go back soon making the trend on the daily continue. In that case I continue trading on H4 charts in the direction of the same renewed (daily )trend.

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