Rams moving average system test results

[#1]

Taking Rams' system into Amibroker. Here are the rules. Long when EMA7 crosses EMA21. Entry price on close. Exit when EMA7 crosses back down over EMA21. No stop. Short is visa versa (i.e. enter short when long exited). Position size - not important - it is the success statistics we are looking for. Instruments - all CFDs offered by OST. Max number of open positions - 1000. Dates - 2009/01/01 to today. Results - Total: 22.84% winners average profit of 8.82%. Losers - 77.16% average loss = 4.11%. Longs were 14% successful, shorts were 8% successful. Switching to a 10% stoploss vs 30% gain yields better results (59% long winners vs 40% short winners). So I guess Rams' system has merit - but the exit criteria needs refinement

[Werner_1]

Any idea what the average duration of the trade is?

[#3]

47 days

[Rams]

The 7/21 as per Simons system.....exit is price closing below 21 on long and above 21 on short....i use stop at price on 21 EMA....

[#5]

retested with the system tweaks proposed. 19% winners with 5.2% average profit. (12% success rate for longs, 7% success rate for shorts). 80.93% losers - average loss 2.58%.