I have recently been experimenting with the basic Luxor system described in the book Trading Systems by Emilio Tomasini and Urban Jaekle. I know there is a previous thread on here discussing this system but I'd like to resurrect the topic as there were no backtest results shown in that thread.
The system is a very simple moving average cross for entries but with a breakout filter added, where once a cross takes place trades are only entered if the price breaks the high for longs, or the low for shorts, of the previous bar. The idea is that this provides confirmation of the price move. The results put forward in the book are surprisingly good for such a simple strategy. The author presents some results from TradeStation on GBPUSD over 2002-2008 showing a net profit of $66k from fixed 1 lot trades and a decent looking equity curve.
I don't use TradeStation, I use MetaTrader 4. So I've coded up this strategy in MQL as described and can't get backtest results anywhere near what is put forward in the book. On GBPUSD (FXCM data), over the same data period and timeframe the equity curve is all over the place and results in a loss. I've attached a screenshot of my results below.
Has anybody looked into this system and had any success? and more importantly has anyone actually been able to replicate the results shown in the book?
I'm not sure if it's due to a difference in the data used, something I've misinterpreted in my coding, or if the strategy just doesn't work.
TradeStation users - would anyone be willing to test the Easy Language code provided in the book (attached below) and see if the results come out the same as shown in the book?... (screenshot attached).
The system is a very simple moving average cross for entries but with a breakout filter added, where once a cross takes place trades are only entered if the price breaks the high for longs, or the low for shorts, of the previous bar. The idea is that this provides confirmation of the price move. The results put forward in the book are surprisingly good for such a simple strategy. The author presents some results from TradeStation on GBPUSD over 2002-2008 showing a net profit of $66k from fixed 1 lot trades and a decent looking equity curve.
I don't use TradeStation, I use MetaTrader 4. So I've coded up this strategy in MQL as described and can't get backtest results anywhere near what is put forward in the book. On GBPUSD (FXCM data), over the same data period and timeframe the equity curve is all over the place and results in a loss. I've attached a screenshot of my results below.
Has anybody looked into this system and had any success? and more importantly has anyone actually been able to replicate the results shown in the book?
I'm not sure if it's due to a difference in the data used, something I've misinterpreted in my coding, or if the strategy just doesn't work.
TradeStation users - would anyone be willing to test the Easy Language code provided in the book (attached below) and see if the results come out the same as shown in the book?... (screenshot attached).