Wednesday, September 10, 2008

10/30 wk Moving Average System

A recent blog post on incited this post. There, people were discussing whether or not the recent dollar strength was a buy signal for the dollar. Chris argued that it was considering the 10 week moving average crossover of the 30 week moving average. So I decided to test this using a futures basket.

The rules are simple:

10 week MA
30 week MA
Risk % per trade: .5%

10/30 crossover signals a buy
10/30 crossunder signals a sell

The results are as follows:

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