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Simple Futures MA

Article/Author: “Genesis of a Simple Futures Trading System” by Jay Kaeppel, S&C Magazine, Traders Tips, 05/1997

Download: SFMA.ela

File Includes: Signal - Simple Futures MA

Category: Strategy > Simple Futures MA

Description: Эта стратегия представляет собой обычную стратегию на основе Moving Average Crossover,
но с добавлением дополнительного параметра - т.н. Filter. Filter это Moving Average довольно
большой длины, по учолчанию - 80. Покупка или продажа производится только при условии что цена не равна Filter.

Inputs:
Price - the data series to average
FastAvg - the trailing number of bars для вычисления Fast Moving Average
SlowAvg - the trailing number of bars для вычисления Slow Moving Average
AvgFilter - the trailing number of bars для вычисления Filter Moving Average

Signal Simple Futures MA ELA Code:
INPUTS: PRICE(CLOSE), FASTAVG(9), SLOWAVG(50), AVGFLTR(80);

VARS: FASTMA(0), SLOWMA(0), FILTER(0);

FASTMA = AVERAGE(PRICE, FASTAVG);
SLOWMA = AVERAGE(PRICE, SLOWAVG);
FILTER = AVERAGE(PRICE, AVGFLTR);
CONDITION1 = CLOSE > FILTER;
CONDITION2 = CLOSE < FILTER;

IF FASTMA CROSSES ABOVE SLOWMA AND CONDITION1 THEN
BUY THIS BAR ON CLOSE;
IF FASTMA CROSSES BELOW SLOWMA AND CONDITION1 THEN
EXITLONG THIS BAR ON CLOSE;

IF FASTMA CROSSES BELOW SLOWMA AND CONDITION2 THEN
SELL THIS BAR ON CLOSE;
IF FASTMA CROSSES ABOVE SLOWMA AND CONDITION2 THEN
EXITSHORT THIS BAR ON CLOSE;


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