MAMACD Moving-Average Crossover Strategy and Historical Tests

Summary

MAMACD combines three moving averages with MACD as a directional filter. Two slower averages use low prices, with periods of 85 and 75, while a five-period average uses closing prices. A trade is opened when the fast average crosses both slower averages; MACD must be above zero for an upward trade or rising. The description also proposes small take-profit and stop-loss distances, with the exact choice depending on currency volatility.

The document reports tests on 20 currency pairs over a stated 2017 sample, using 15-minute and hourly charts. On the shorter timeframe, only USDJPY showed a positive result; on the hourly timeframe, a few pairs were slightly positive while most lost money. These results suggest substantial variation by pair and timeframe, with some reported drawdowns very large. The evidence is limited to this historical period and does not establish performance beyond it. The text gives no detailed assumptions about transaction costs, slippage, position sizing, or out-of-sample validation, so the reported results should not be treated as evidence of robust future profitability.

Key ideas

• The strategy enters when a five-period close-based average crosses two slower low-based averages.
• MACD provides an additional directional condition for entries.
• The approach uses small stated profit targets and stop losses whose sizes depend on currency volatility.
• Historical results vary sharply across pairs and timeframes, and most tested combinations were unprofitable.

Tags

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