Backtesting simple moving average trading strategy

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Quantopic on 8 Sep 2014
Commented: Josh Perry on 18 Jul 2015
Hi everyone, I have to backtest a trading strategy based on the cross of 3 simple moving average of 4,9 and 18 periods. The script I wrote down is the foloowing:
% Construction of the 3 SMA for 4,9 and 18 periods.
SMA.sma4 = tsmovavg(EURUSD.price.pt1,'s',20,1);
SMA.sma9 = tsmovavg(EURUSD.price.pt1,'s',45,1);
SMA.sma18 = tsmovavg(EURUSD.price.pt1,'s',90,1);
% Construction of the buying/selling signals.
if SMA.sma4 >= SMA.sma9 && SMA.sma18 >= SMA.sma9; = 1;
else = 0;
if SMA.sma4 <= SMA.sma9 && SMA.sma18 <= SMA.sma9; SIGNALS.sell = 1; else SIGNALS.sell = 0; end My problem consists on the fact that the vector is always equal to 0 and I do not get signals for buying/selling assets.
Is there something wrong in the the script or the trading strategy does not work? Thanks for help.

Accepted Answer

Roger Wohlwend
Roger Wohlwend on 9 Sep 2014
Edited: Roger Wohlwend on 9 Sep 2014
Indeed, your code could be the reason that you don't get any buy signal. Try the following: = (SMA.sma4 >= SMA.sma9) & (SMA.sma18 >= SMA.sma9);
SIGNALS.sell = (SMA.sma4 <= SMA.sma9) & (SMA.sma18 <= SMA.sma9);
That should do it. If you still do not get any buy signal then you should check your trading strategy.
Josh Perry
Josh Perry on 18 Jul 2015
yes but how do you back test this???? I am so lost on the backtesting of something like this in matlab

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