MACD Multitimeframe

My objective is to join the long term price appreciation during the inflation phase of "Merrill Lynch Investment Clock".

One observation from my previous entry is that prices of commodities for the long run tends to reverting to mean, so entry at rational prices (within 1sigma) suffers lower drawdown than entry at irrational prices (within 2sigma). To survive the game for the long run, one has to control the entry to narrow the draw down, so that the investment account could hold on till the cycle of "Inflation rises". Charts below is taken from internet to help illustration Merrill Lynch Clock.

The rough idea is following:

• Day Bar: MACDDEA>0.
• Hour Bar Trend: price is above trend, and trend is up.
• short term filter: MACDDEA>0
• Exit Filter: Price below BASELINE and HISTO<0 (histo is calculated using SMA).
• Entry: it’s not exiting; and price below 1sigma; and macdhisto cross zero line from below to above. Basically, buy as soon as MACDDEA>0 and MACDHISTO>0 conditioning on MACDHISTO only.

Backtest shows that sharpe ratio is above 1.0 for period 2019-2022 for 31 commodities in Chinese market.

Forward test from 2022-2023 gives much narrower drawdown than FeiliuV2.