3. AutoBots Trading - BACKTEST: MACD

2020년 6월 7일

BACKTEST: Moving Average Convergence Divergence - MACD

1. Description: a trend-following momentum indicator that shows the relationship between two moving averages of a security’s price. The MACD is calculated by subtracting the 26-period Exponential Moving Average ( EMA ) from the 12-period EMA .

2. Strategy rules: defined based on the component, signal count, entry prices, open order count, position check, position averages, conditional closes and close signals.

3. Risk management: system was defined based on the choice of only long, only short or both sides. Defining the choice of take profit, stop loss and trailing stos (no repaint).

4. Symbol: PETR4 (only)

5. Suggested Timeframe: 2H

6. Parameter for optimization: 12, 8, 9, side: long, tp: 3%, sl: 1%, ts: na

7. Walk forward simulation
7.1. In sample period: jan/2018-jan/2020
7.2. Out of sample period: jan/2020 - ago/2020

** For purpose educate only