Filtering Moving-Average and MACD Trades with Weekday Patterns

Summary

The article explores whether recent price behavior and weekday effects can help filter trading signals. It first describes a simulation that records the next bar's result after one, two, or three down closes, avoiding actual orders so that spread and swap costs do not affect the observation. It then tests a weekday filter on a system that buys when a fast moving average crosses above a slow one while MACD is below zero, and sells on the reverse crossover while MACD is above zero. Positions use a very tight trailing stop and fixed lot size.

The proposed filter buys only on Friday and sells only on Monday. In the reported EUR/USD H1 test for 2010, it reduced the number of trades by roughly three and a half times and improved the win rate to 57% and profit per trade by 14%, while net profit fell by about 26%. These results come from a limited historical period and do not establish a persistent weekday effect. The author cautions that filters can also remove profitable trades and should be checked across scenarios.

Key ideas

• The initial simulation counts subsequent price increases after sequences of down closes without placing trades.
• The example trading system combines moving-average crossovers with MACD position relative to zero.
• The weekday filter restricts buys to Friday and sells to Monday.
• In the reported 2010 EUR/USD H1 test, the filter reduced trade count and improved win rate and profit per trade while lowering net profit.
• A weekday pattern observed in one test period may not persist, and filtering can exclude profitable trades.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.