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@yadudoc
Created December 23, 2013 20:00
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2-EMA vs 3-EMA comparison. I use a 3-EMA Ruby cross instead of a simple 2-EMA cross. Here's some simple stats which show performance difference on Bitcoin/USD on MtGox.
I ran a parameter sweep backtest with 2 EMA crosses, with EMAs in range 0,70 on
$5000 USD on MtGox.
Starting date : 2012-12-31 16:00:00
Ending date : 2013-12-16 05:00:00
Simulation on 1 hour candles from MtGox.
Here's the results from running simple 2 EMA crosses, sorted by final USD balance
EMA1, EMA2, FINAL_USD
9, 29, 840301.79202999303
10, 29, 804076.54585023969
9, 31, 787425.3005569001
9, 33, 760055.62747322221
9, 32, 756677.08874431625
19, 33, 752223.56637418119
13, 23, 707142.71903429297
9, 30, 707126.33584128285
9, 34, 690735.78672113759
12, 27, 678506.12357716134
Ruby Strategy at 60min candles
Buy threshold : 1%
Sell threshold : 3%
Same duration and starting parameters:
EMA1, EMA2, EMA3, FINAL_USD
10, 27, 29, 1095964.1741853813
4, 6, 10, 1038221.2753517051
9, 27, 29, 1007524.4618898276
9, 28, 29, 978802.05582687503
1, 2, 3, 963086.42278712604
9, 26, 29, 959511.73509285843
10, 25, 32, 950532.6488902343
10, 26, 32, 949953.92246836261
9, 25, 29, 948698.65668256988
10, 24, 32, 943597.0524466671
Clearly, the 3 EMA ruby style cross performs much better.
To rule out over-optimisation/curve fitting, I'll run these on data on a different time scale later.
I'm also concerned that the 10-30 EMA bots at cryptotrader might be influencing the 10-27-29 EMA combination.
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