Hello everyone and thanks for the great post!
Goomboo, I would appreciate if you could answer a couple of questions
I have noticed that when comparing results of different EMA pairs and building heatcharts the main thing that matters is when the sell signal is generated. The pairs which generate sell signal at the bottom of the panic sell pit make less profit then the pairs which generate a sell signal later when the price bounces back up a little, or even when the price stabilizes after the fall.
The point where the sell signal is generated, while the bubble collapse, seems to be the most influencing factor on the result of an EMA-cross systems comparison.
As an example during the april crash in 2013 the 21-10 EMA system sold at about $70
http://bitcoincharts.com/charts/bitstampUSD#rg180zczsg2013-03-05zeg2013-05-01ztgSza1gEMAzm1g10za2gEMAzm2g21 while a 17-22 system sold at about $100 and outperformed the 21-10 system on my backtests on the period 20.05.2012 - 20.09.2013
http://bitcoincharts.com/charts/bitstampUSD#rg180zczsg2013-03-05zeg2013-05-15ztgSza1gEMAzm1g17za2gEMAzm2g22http://i.imgur.com/9M527n3.png?1Adding some common sense while closing long positions during the bubble crash can increase the profit greatly. I think that somewhere on this thread you told that if you see a flashcrash you shouldn't sit around waiting fir the lines to cross. But doing this means ruining the whole method as you can no longer expect that the system used in a way it was not optimised for will bring you to the point of it's statistical expectation.
I mean that optimising the system by 2 parameters and then making decigions upon the change of some third parameter or a gut feeling makes no sense.
I can see three ways out of this situation:
First is that you choose the best backtest performing system and stick to it no matter what. You will get what you expect from your system but you will also leave some extra profit aside.
Second is that you choose the best system by taking into account only the quality of the buy signals, assuming that you will close long positions manually.
And the third is adding a third parameter for optimisation like a trailing stop loss which can imitate a manual position closing.
So here goes the question: have you ever considered the last two options and what do you think of them?
And the second question is about re-optimising the system. Somewhere on this thread you said that the 21-10 system is not the best one according to backtesting any more, but as far as I could understand you are against re-optimising it and choosing another EMA pair due to overfitting. Did I get it correctly?