I did a study of EMA cross-overs using leveraged ETFS. The period of study is over the life of the L.ETF which range from about 5 to 7 years.
The buy logic uses a 5 day EMA when it crosses over the current closing price and then waits 11 days to do the purchase. This is contrary to most cross over strategies.
The sell logic uses the same 5 day EMA when the prices goes above it BUT sells the next day. Again this is contrary to most cross over strategies.
Based on historical data and so future results can not and will not be the same. And during the period of study (last 7 years) the market has been generally up so this would skew the results .
Here are the results of the 11 best...
Here are the top 10 when the EMA length is 4 and the wait period is 1 day.
The buy logic uses a 5 day EMA when it crosses over the current closing price and then waits 11 days to do the purchase. This is contrary to most cross over strategies.
The sell logic uses the same 5 day EMA when the prices goes above it BUT sells the next day. Again this is contrary to most cross over strategies.
Based on historical data and so future results can not and will not be the same. And during the period of study (last 7 years) the market has been generally up so this would skew the results .
Here are the results of the 11 best...
Here are the top 10 when the EMA length is 4 and the wait period is 1 day.
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