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Multiple Time Frames Trading System - Price / Moving Average Crossover

by QuantShare, 3121 days ago
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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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Type: Trading System

Object ID: 960


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Style:
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.