Re: Evaluating parameters for EMA crossover trading: A rigorous approach (kind of)
Love the depth of the OP 
I backtested Bitstamp data for 1 and 6 hours candles, didn't change the fee assumption even if there is a lot smaller fee to pay (0.4% vs 0.6%) but a bit more slippage that may compensate that. One thing I noticed, the "strange beast" EMA5/1 gives me negative results for 6 hours...
EMA 20/6 is still quite good even for 6 hours candles, while hourly candles are weak in general, as I would expect. Would like to test 2h intervals at some point.
I backtested Bitstamp data for 1 and 6 hours candles, didn't change the fee assumption even if there is a lot smaller fee to pay (0.4% vs 0.6%) but a bit more slippage that may compensate that. One thing I noticed, the "strange beast" EMA5/1 gives me negative results for 6 hours...
EMA 20/6 is still quite good even for 6 hours candles, while hourly candles are weak in general, as I would expect. Would like to test 2h intervals at some point.
Thanks
One thing: I wouldn't use the exact same parameters across different time intervals, that almost never gives good results in my experience. If at all, I would try if a rough "normalization" to the new interval size gives better results, e.g. 1d 5+1 becomes 6h 20+4, and then test values near that. I got some good results (in backtesting) like that. The reason is probably that the underlying trend following function is still the same, but the sensitivity is different (i.e. in the case of 1d --> 6h, it is increased somewhat). /2cents