Multiple Time Frames Trading System - Price / Moving Average Crossover

Here is a strategy I created to show you how to use multiple time frames in a trading system. The system is based on price crossover with its 10-Bar simple moving average. Although, no optimizations at all were done, the trading system has generated an annual return of 26.14%. It has a drawdown of -17.76%, a Sharpe ratio of 1.74, a Sortino ratio of 2.59 and 51.4% of the trades generated a profit (1205 trades). The backtest was based on U.S. Stocks (daily data - 2001-2011).

Trading System:
- Maximum Positions: 10
- Buy at tomorrow open

Here are the different buy rules:
- Liquidity: Price above $2 and the average daily volume in dollars is above $600,000.
- Daily time-frame: Price crosses above its 10-Bar moving average
- Weekly time-frame: Last weekly close price crosses above its 10-Bar moving average
- Monthly time-frame: Last monthly close price crosses above its 10-Bar moving average

Here is the exit/stop rule:
- Trailing stop at 5%

The crossover rule is performed using the "cross" function. To get the weekly crossover, I have used the "TimeframeApply" function. This function changes the current time frame then applies the provided variable/rule. It returns a compressed time-series (This means that the time-series is not adjusted to the current data/dates). The "TimeframeDecompress" adjusts this time-series to the current time frame. The easiest way to see how it works is to display the data on a chart.

Example:

week1 = TimeframeApply(7, close);
week1d = TimeframeDecompress(week1);

plot(week1, "", colorGreen);
plot(week1d, "", colorRed);

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