MACD Trading System

Building on the basic infrastructure I developed in the Turtle Trading System, I’m developing a series of signals-based mechanical trading systems (MACD, CCI, RSI, etc). The first is a basic MACD trading system. The signals are based on either the MACD and its signal line crossing or the MACD line itself transiting the zero line. The signal is taken at the close of the bar so as to be a “worst-case” entry. I’ve also added in the ability to use an ATR trailing stop after a signal is taken or just let the system be “Always-In.” As with the Turtle Trading System, I’ve coded some backtesting information into the study so the user can get a feel for the performance over time (number of trades, total profit/loss, wins, losses, biggest winner, biggest loser, average winner, average loser, peak profit, max drawdown, profit ratio, slippage). The automated position sizing algorithm for futures trading from the Turtle Rules is also included as is the equity curve of the system to graphically represent the profit/loss. Pro Members can expect an update some time this week with several new systems included.

! ! ! IMPORTANT ! ! !
It goes without saying, but I’m going to say it up front here with emphasis: – You should not trade this system unless you fully understand the basic concepts. You must do your own due diligence. A trading system does not relieve you of your responsibility for the trades. Just because a system shows a historical profit on your chart does not mean it will continue to do so in the future. Over-optimization of the MACD parameters to make the current chart as profitable as possible is a likely path to future destruction and is referred to as “Curve-Fitting.”

MACD Trading System