Backtesting simple moving average trading strategy
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Hi everyone, I have to backtest a trading strategy based on the cross of 3 simple moving average of 4,9 and 18 periods. The script I wrote down is the foloowing:
% Construction of the 3 SMA for 4,9 and 18 periods.
SMA.sma4 = tsmovavg(EURUSD.price.pt1,'s',20,1);
SMA.sma9 = tsmovavg(EURUSD.price.pt1,'s',45,1);
SMA.sma18 = tsmovavg(EURUSD.price.pt1,'s',90,1);
% Construction of the buying/selling signals.
if SMA.sma4 >= SMA.sma9 && SMA.sma18 >= SMA.sma9;
SIGNALS.buy = 1;
else SIGNALS.buy = 0;
end
if SMA.sma4 <= SMA.sma9 && SMA.sma18 <= SMA.sma9; SIGNALS.sell = 1; else SIGNALS.sell = 0; end My problem consists on the fact that the SIGNALS.buy vector is always equal to 0 and I do not get signals for buying/selling assets.
Is there something wrong in the the script or the trading strategy does not work? Thanks for help.
采纳的回答
Roger Wohlwend
2014-9-9
编辑：Roger Wohlwend
2014-9-9
Indeed, your code could be the reason that you don't get any buy signal. Try the following:
SIGNALS.buy = (SMA.sma4 >= SMA.sma9) & (SMA.sma18 >= SMA.sma9);
SIGNALS.sell = (SMA.sma4 <= SMA.sma9) & (SMA.sma18 <= SMA.sma9);
That should do it. If you still do not get any buy signal then you should check your trading strategy.
4 个评论
Quantopic
2014-9-10
Roger Wohlwend
2014-9-10
It means that you did not copy my code correctly. Use & instead of &&!
Quantopic
2014-9-10
Josh Perry
2015-7-18
yes but how do you back test this???? I am so lost on the backtesting of something like this in matlab
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