MACD With Triple Screen

I’ve done backtest on a model that references to ideas from both Elder’s triple screen and MTS’ MACD.

Daily Bar Dimension:

• DEA>0 (there’re ideas for daily bar trend filter, e.g. DEA+HISTOROC, DEA+HISTO)

Hourly Bar Dimension:

• price closes above trend
• trend moves up
• dea>0

Exit Filter:

• dea<0 and histo<0
• or, price hits recent lows.
• or, price breaks under trend.

Entry Signal:

histo turns from negative to position to BUY.

Backtest period from Mar2019 to Mar2023, with result as following:

Three types (deav1, deav2, dearc) of Daily Bar Dimension filters are tested, and performance measured based on Max Drawdown (MDD), Calmar, Sharpe ratio and winning ratio.

Two observations below:

1. Trend filter at daily dimension does not impact the performance much and the winning ratio is about the same.

2. Entry with 1sigma/2sigma at execution dimension matters a lot. Intuitively, entry signals at 2sigma will be much more than entry at 1sigma. However, overall winning ratio does not change much.

The following 2 charts compares the same model but one entries only at 1sigma and the other at 2sigma.