Hello everyone,

and thanks jcl and all involved for your very interesting system.

To find out a bit more about the programming side of things, I have tried to replicate the Luxor system described in the book by Jaekle and Tomasini and mentioned in the literature list on this forum. It seems very simple and yet I am unable to replicate equity curves that look even remotely as good as the book's basic case without exit, time filter or transaction costs. Here is my script:

Code:
function run()
{
	StartDate = 20021021;
	EndDate = 20080704;
	set(LOGFILE|PLOTNOW); // log all trades
	//Try and replicate best given graph
	Slippage = 0;
	Spread = 0;
	BarPeriod = 30;
	
	var longPeriod = 30;
	var shortPeriod = 10;	
	vars Price = series(priceClose());
	vars slowMA = series(SMA(Price, longPeriod));
	vars fastMA = series(SMA(Price, shortPeriod));	
	var buyStopLevel = 0;
	var sellStopLevel = 0;	
	bool goLong = false;
	bool goShort = false;	
	
	if (fastMA[0] > slowMA[0])
	{
		goLong = true;
	}
	if (fastMA[0] < slowMA[0])
	{	
		goShort = true;
	}

	if(crossOver(fastMA, slowMA) == true) 
	{
		//Just reset stop level of trade suggested by MA distance sign
		buyStopLevel = priceHigh(0) + PIP;		
	} 
	else if(crossUnder(fastMA, slowMA) == true) 
	{
		sellStopLevel = priceLow(0) - PIP;		
	}

	if ((goLong == true) && (NumOpenLong == 0))
	{
		enterLong(0, buyStopLevel);		
	}
	else if ((goShort == true) && (NumOpenShort == 0))
	{
		enterShort(0, sellStopLevel);		
	}
	
	plot("FastMA",fastMA[0],0,RED);
	plot("SlowMA",slowMA[0],0,GREEN);
	PlotWidth = 800;
	PlotHeight1 = 320;
}


So this is a basic MA crossover system except that entries use a stop order for filtering. The book's results are given in the curve on page 44 and the table on page 45. The results I have obtained are miles away! This seems odd for such a simple strategy and so I wonder a) whether there is some stupid coding error in the above or b) if not, whether differences of the order of magnitude seen (e.g. their # of trades - 1913, mine - 2675) are to be expected between different data feeds at this TF.

I am aware the book also prints '3' for the short MA period but I believe that is a typo - when I use 3 I get better performance but, plausibly, a lot more trades still (3691).

Thanks for any input!