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The 14-73 EMA Crossover system

This is a moving average crossover  strategy which works tremendously well in trends and gives small losses during trading ranges. We have tested this in Daily timeframe on highly liquid indices like Nifty and BankNifty.

AFL Overview

Paramter	Value
Preferred Timeframe	Daily
Indicators Used	14 period EMA, 73 period EMA
Buy Condition	14 period EMA crosses above 73 period EMA (Buy at next day Open)
Sell Condition	14 period EMA crosses below 73 period EMA (Sell at next day Open)
Stop Loss	No fixed stoploss, Stop and reverse when AFL gives opposite signal
Targets	No fixed target, Stop and reverse when AFL gives opposite signal
Position Size	150 (fixed)
Initial Equity	200000
Brokerage	50 per order
Margin	10%

AFL Code

//------------------------------------------------------
//
//  Formula Name:    14-73 Crossover Trading System
//  Author/Uploader: Trading Tuitions
//  E-mail:          support@tradingtuitions.com
//  Website:         www.tradingtuitions.com
//------------------------------------------------------

_SECTION_BEGIN("14-73 Crossover Trading System");

SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} – {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));


//Initial Parameters

SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 200000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",50);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize(150,spsShares);
SetOption( "AllowPositionShrinking", True );
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;

//Parameters

MALength1 = 14;
MALength2 = 73;

//Buy-Sell Logic

Buy = Cross(ema( C, MALength1 ),ema( C, MALength2 ));
Sell =Cross( ema( C, MALength2 ), ema( C, MALength1 )) ;

Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short = Sell;
Cover = Buy;


Plot( Close, "Price", colorWhite, styleCandle );
Plot(ema( C, MALength1 ),"FastEMA",colorWhite);
Plot(ema( C, MALength2 ),"SlowEMA",colorBlue);

/* Plot Buy and Sell Signal Arrows */
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);


_SECTION_END();

AFL Screenshot

Backtest Report

Paramter	Value
	Nifty	Bank Nifty
Initial Capital	200000	200000
Final Capital	708740	1727157.50
Backtest Period	02-Jan-2007 to 09-02-2016	02-Jan-2007 to 09-02-2016
Net Profit %	254.37%	763.58%
Annual Return %	14.90%	26.70%
Number of Trades	36	36
Winning Trade %	22.22%	38.89%
Average holding Period	61.28 periods	60.92 periods
Max consecutive losses	9	4
Max system % drawdown	-59.29%	-59.40%
Max Trade % drawdown	-22.08%	-97.77%

Download the detailed backtest report here.

Equity Curve

Nifty:

Bank Nifty:

Additional Amibroker settings for backtesting

Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 30 and margin requirement of 10% for Bank Nifty:

Disclaimer:

All the AFL’s posted in this section are for learning purpose. Trading Tuitions does not necessarily own these AFL’s and we don’t have any intellectual property rights on them. We might copy useful AFL’s from public forums and post it in this section in a presentable format. The intent is not to copy anybody’s work but to share knowledge. If you find any misleading or non-reproducible content then please inform us at support@tradingtuitions.com