McGinely Dynamic indicator devised by John R.McGinley has been stated as the most reliable indicator at Investopedia. This indicator is more responsive to raw data as compared to simple moving average or exponential moving average. McGinely dynamic is supposed to avoid whipsaws when compared with any moving averages. It looks like a moving average line yet it is a smoothing mechanism for prices that turns out to track far better than any moving average. It minimizes price separation, price whipsaws and hugs prices much more closely. In this post we will evaluate McGinley Dynamic Trading System and go through its backtest report.
Below is the mathematical formula for McGinely Dynamic indicator:
MD = MD-1 + (Price– MD-1) / (N * (Price/ MD-1 ) 4
MD-1 Indicator value for the previous candle or bar
Price: Price of the security
N: Smoothing factor
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McGinley Dynamic Trading System: AFL Overview
| Parameter | Value |
| Preferred Timeframe | McGinely Dynamic |
| Indicators Used | 25 period McGinely Dynamic indicator |
| Buy Condition |
|
| Short Condition |
|
| Sell Condition |
|
| Cover Condition |
|
| Stop Loss | 10% |
| Targets | 40% |
| Position Size | 150 (fixed) |
| Initial Equity | 200000 |
| Brokerage | 100 per order |
| Margin | 10% |
AFL Code
This indicator is originally coded by Karthik Marar, we have added backtest conditions and buy/sell signals.
Download AFL code from here.
AFL Screenshot
Below is the screenshot of McGinley Dynamic Trading System for NSE Nifty
McGinley Dynamic Trading System: Backtest Report
This strategy has achieved a decent CAGR in last 12 years. Th drawdown is on a little higher side similar to any trend following strategy.
| Parameter | Value |
| NSE Nifty |
|
| Initial Capital | 200000 |
| Final Capital | 1743095.50 |
| Scrip Name | NSE Nifty |
| Backtest Period | 01-Jan-2004 to 19-Oct-2016 |
| Timeframe | Daily |
| Net Profit % | 771.55% |
| Annual Return % | 18.42% |
| Number of Trades | 128 |
| Winning Trade % | 36.72% |
| Average holding Period | 23.43 periods |
| Max consecutive losses | 9 |
| Max system % drawdown | -17.90% |
| Max Trade % drawdown | -70.97% |
Download the detailed backtest report here.
Equity Curve and Profit Table
Additional Amibroker settings for backtesting
Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 75 and margin requirement of 10% for NSE Nifty:
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Good
I will check this
Sir can you please provide live realtime data for ami broker
Hi Sourabh,
We do not provide real time data service right now.
McGinley Dynamic Trading System- Pl provide us excel sheetlike other excel sheet based on this system.
Hello, I saved this AFL file into my Custom folder, and if I hit Apply, it shows up as a nice price graph for the current symbol along with Buy and Sell markers (quite promising, actually). But a Backtest across that same (or other) time interval shows no trades. I’ve tried a number of tweaks to the code, but nothing yet. Any help?
Never mind, I just got back to Amibroker after a long time away. I’d been using systems that specified the periodicity expressly, and this one didn’t… and my settings were defaulting to Monthly, which didn’t work at all. Daily is working now just fine, looking forward to explore this! Thanks for the resource.
Good to know!
Thanks for sharing this.
I’m having an error 61 and I don’t know how to fix it. If you can help me with it. It would be great. Here’s the line where the error appeared. Cheers!
SetBarsRequired( sbrAll );
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat(“{{NAME}} – {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}”, O, H, L, C ));
Hi Dave,
Please try commenting (add // in the beginning) in the 3rd line that starts with _N
Please change that line with this one;
_N(Title = StrFormat(“{{NAME}} – {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}”, O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
It will clear the error.
The AFL posted is not complete – Code for the buy/sell signal are missing.
Hi Rajen,
Thanks for reporting this. We have updated the post with correct AFL code