EWMAC trading rule example.xls
 Share
The version of the browser you are using is no longer supported. Please upgrade to a supported browser.Dismiss

View only
 
 
ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
This spreadsheet forms part of additional material for the following book:
2
Systematic Trading: A unique new method for designing trading and investing systems
3
Written by Robert Carver 2015 (www.systematictrading.com). Published by Harriman House. ISBN 978-0-85719-445-9
4
This spreadsheet is copyrighted, Robert Carver, 2015; under the GNU General public license (http://www.gnu.org/licenses/gpl.html). You may copy the sheet; and modify it providing you follow the guidelines in the license. In particular this front cover sheet must remain intact and unchanged. It is provided for personal educational purposes only. No warranty is included or implied. Nothing in this spreadsheet constitutes investment advice.
5
Sheet name: EWMAC trading rule example (Chapter seven)
6
7
8
Instructions: This sheet illustrates how the EWMAC trading rule would have done in crude oil (spot) around the financial crisis. On sheet 'Data' enter the fast and slow lookbacks, and the forecast scalar (from table 49 in Appendix B). If you're using a pair of moving averages that aren't in the table you'll have to guess. You can also optionally change the lookback for the standard deviation, although I don't recommend this. The data table below shows the calculations, and you can see the relevant values plotted on the 'pictures' tab.
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
Loading...