This system came from Wealth-Lab Developer (it is software) and CURRENCY TRADER, February 2005.

Uptrend.
The 5-day simple moving average (SMA)of intraday highs is above the 28-day exponential moving average (EMA)of closing prices.

Downtrend.
The 5-day SMA of intraday lows is below the 28-day EMA of the closes.

Rules:

Enter long and exit short on the next day ’s open if the trend is bullish,which means the 5-day SMA of highs crosses above the 28-day EMAof closing prices, the latest close is above the 5-day SMA of highs,and the 5-day moving average ’s current value is also higher than its value the prior day.

Enter short and exit long on the next day ’s open if the trend is bearish,which means the 5-day SMA of lows crosses below the 28-day EMA of closing prices, the latest close is below the 5-day SMA of lows,and the 5-day SMA moving average ’s current value is also below the previous day ’s value.

Exit any trade if there is a trend change or if a position loses 20 percent.

So, it is something about D1 timeframe and MAs (see article attached).

And we have some difficult cases concerning this system (see image attached). It is two buy signals which produce the losses. And I may have a lot of examples like this for sell and buy.

Author of this system said:
Starting equity: $1,000,000.

Thus we have a choice:
- deposit US $1,000,000 to the nearest broker; or
- use some indicator as a filter to filter the false signals.

I think this system is ok. It should be developed. A little concerning filtering.
And this idea about high and low prices (instead of closing prices) to calculate the SMA is also good.

Attached Images

trend1.gif (26.7 KB, 718 views)

Attached Files

ct-lab0205.pdf (543.1 KB, 339 views)