| Strategy | Go Long if | Go short if | ||||
| Exponential MA | Close above EMA | Close below EMA | ||||
| RSI | RSI crosses above 30 from below | RSI crosses below 70 from above | ||||
| MA Envelopes (3,3) | Close below lower Band of Moving Average Envelope | Close above upper Band of Moving Average Envelope | ||||
| Weighted MA | Close above WMA | Close below WMA | ||||
| Variable MA | Close above VMA | Close below VMA | ||||
| Simple MA | Close above SMA | Close below SMA | ||||
| Accumulation-Distribution Oscillator | ADO line crosses above Signal line | ADO line crosses below Signal line | ||||
| Triangular MA | Close above TMA | Close below TMA | ||||
| Fear&Greed | F&G 'Radar 1' oscillator crosses above 0 | F&G 'Radar 1' oscillator crosses below 0 | ||||
| Rate of Change | ROC crosses above 0 | ROC crosses below 0 | ||||
| MACD | MACD output line crosses above Signal line | MACD output line crosses below Signal line | ||||
| Stochastics | %K line crosses above 30 from below | %K line crosses below 70 from above | ||||
| DMI | Plus DMI line crosses above Minus DMI | Plus DMI line crosses below Minus DMI | ||||
| Parabolic | Close above Parabolic Price level | Close below Parabolic Price level | ||||
| REX Oscillator | REX line crosses above Signal line | REX line crosses below Signal line | ||||
| Commodity Channel Index | CMCI crosses above -100 from below | CMCI crosses below 100 from above | ||||
| William's % R | William's %R crosses above -80 | William's %R crosses below -20 | ||||
| MA Oscillator | Osc line of MAO crosses above Signal line | Osc line of MAO crosses below Signal line | ||||
| KBands | Close below lower Keltner Band | Close above upper Keltner Band | ||||
| Bollinger Bands | Close below lower Band | Close above upper Band | ||||
| Ichimoku | Conversion line crosses above Base line | Conversion line crosses below Base line | ||||
| Trading Envelopes | Close below lower Band | Close above upper Band | ||||
Tests on EUR/GBP proved what no one expected last March, but what many believed in post June 24 – just short the Pound and wait patiently. Buy and Hold was the most profitable strategy for the cross and set the bar for future dips along the Brexit negotiation period, bringing in 10% on traders' money. Zero shorts on EUR/GBP was the way to go on the daily time-frame and many speculate it might still be the case. October 2016 was the time to harvest the investment for maximum profit at the six-year high of 0.9121. Bollinger Bands and Trading Envelopes set a tie with identical results, meaning that the same signals for both longs and shorts were sent for the two strategies at once. Lagging indicators, such as various MAs, showed negative returns and dipped beneath the average score, which added up to a 1% loss due to unprofitable short trades. The MA Oscillator as well as the MACD contrarily proved to be profitable strategies over the period, scoring around 4.5% and 4.0% respectively, suggesting that interactions in between the MAs have been more reliable than those between currency movements and moving averages.
Statistics on year-long back-tests for the daily time-frame:
| Strategy | Last trade P&L | Long Trades | Short Trades | Total Trades | Total Return | Long Return | Short Return | |||||
| Maximum | 10,024,063.82 | 69 | 70 | 139 | 10.02% | 10.02% | 0.00% | |||||
| Buy & Hold | 10,024,063.82 | 1 | 0 | 1 | 10.02% | 10.02% | 0.00% | |||||
| Bollinger Bands (Boll) | 640,474.55 | 3 | 4 | 7 | 6.50% | 7.51% | -1.01% | |||||
| Trading Envelopes (TE) | 640,474.55 | 3 | 4 | 7 | 6.50% | 7.51% | -1.01% | |||||
| Stochastics (TAS) | -963,103.68 | 5 | 6 | 11 | 6.44% | 8.02% | -1.58% | |||||
| Parabolic (PTPS) | 342,854.51 | 9 | 10 | 19 | 6.12% | 7.18% | -1.06% | |||||
| Ichimoku (GOC) | -245,518.16 | 5 | 5 | 10 | 6.08% | 8.40% | -2.32% | |||||
| MA Oscillator (MAO) | 815,077.18 | 14 | 15 | 29 | 4.45% | 7.48% | -3.03% | |||||
| MACD | 79,302.62 | 7 | 8 | 15 | 3.99% | 6.26% | -2.27% | |||||
| Fear & Greed | -338,971.20 | 11 | 12 | 23 | 0.68% | 4.64% | -3.96% | |||||
| Average | 681,577.97 | 14 | 15 | 29 | -1.01% | 3.93% | -4.94% | |||||
| KBand | 330,082.95 | 8 | 8 | 16 | -1.30% | 3.59% | -4.89% | |||||
| Variable MA (VMAvg) | -331,475.31 | 17 | 18 | 35 | -1.55% | 3.44% | -4.99% | |||||
| Median | 330,082.95 | 9 | 9 | 18 | -1.60% | 3.21% | -4.99% | |||||
| Simple MA (SMAvg) | -331,307.56 | 13 | 14 | 27 | -1.60% | 3.21% | -4.81% | |||||
| DMI | 693,087.52 | 9 | 9 | 18 | -3.86% | 2.53% | -6.39% | |||||
| Exponential MA (EMAvg) | 689,303.59 | 9 | 9 | 18 | -4.39% | 2.86% | -7.25% | |||||
| Weighted MA (WMAvg) | 686,492.17 | 13 | 13 | 26 | -4.78% | 2.01% | -6.79% | |||||
| MA Envelopes (MAE) | 440,060.39 | 1 | 1 | 2 | -5.17% | 0.44% | -5.61% | |||||
| Accum/Distrib Osc (ADOsc) | 235,489.28 | 69 | 70 | 139 | -5.32% | 2.39% | -7.71% | |||||
| RSI | 278,759.34 | 1 | 2 | 3 | -5.35% | 0.83% | -6.18% | |||||
| Cmdty Channel Index (CMCI) | 902,366.59 | 5 | 6 | 11 | -5.48% | 1.35% | -6.82% | |||||
| Rate of Change (ROC) | 234,619.50 | 66 | 67 | 133 | -5.67% | 2.22% | -7.88% | |||||
| William's %R (Wm) | 728,493.67 | 6 | 7 | 13 | -6.64% | 1.81% | -8.45% | |||||
| Triangular MA (TMAvg) | 59,796.58 | 13 | 13 | 26 | -9.35% | 0.20% | -9.54% | |||||
| Minimum | -963,103.68 | 1 | 0 | 1 | -13.62% | -3.58% | -10.04% | |||||
| Rex Oscillator | 65,870.40 | 44 | 45 | 89 | -13.62% | -3.58% | -10.04% | |||||
The Rex Oscillator missed on both long and short trades, pointing out that the strategy of determining strength or weakness based on the low-close and high-close relationship was ineffective in over the last year. This might be subjectively explained by the high level of uncertainty and confusion in markets which might have led to some chaos in terms of trading expectations and thus reflecting in candlestick signals.
Statistics for month-long back-tests of the hourly time-frame:
| Strategy | Long Trades | Short Trades | Total Trades | Total Return | Long Return | Short Return | |||||
| Maximum | 130.00 | 129 | 259 | 3.43% | 2.67% | 0.76% | |||||
| Accum/Distrib Osc (ADOsc) | 130.00 | 129 | 259 | 3.43% | 2.67% | 0.76% | |||||
| Bollinger Bands (Boll) | 7.00 | 8 | 15 | 2.90% | 2.23% | 0.67% | |||||
| Trading Envelopes (TE) | 7.00 | 8 | 15 | 2.90% | 2.23% | 0.67% | |||||
| MA Oscillator (MAO) | 23.00 | 23 | 46 | 2.28% | 1.92% | 0.36% | |||||
| William's %R (Wm) | 14.00 | 15 | 29 | 2.25% | 1.94% | 0.31% | |||||
| Buy & Hold | 1.00 | 0 | 1 | 1.91% | 1.91% | 0.00% | |||||
| Rate of Change (ROC) | 127.00 | 126 | 253 | 1.68% | 1.79% | -0.11% | |||||
| Cmdty Channel Index (CMCI) | 13.00 | 14 | 27 | 1.31% | 1.48% | -0.17% | |||||
| MACD | 14.00 | 15 | 29 | 1.27% | 1.39% | -0.12% | |||||
| Rex Oscillator | 94.00 | 95 | 189 | 1.21% | 1.38% | -0.17% | |||||
| Parabolic (PTPS) | 20.00 | 20 | 40 | 1.07% | 1.30% | -0.23% | |||||
| Average | 26.39 | 27 | 53 | 0.51% | 0.01 | 0 | |||||
| Median | 14.00 | 15 | 29 | 0.33% | 0.88% | -0.23% | |||||
| Exponential MA (EMAvg) | 11.00 | 11 | 22 | 0.33% | 0.88% | -0.55% | |||||
| Stochastics (TAS) | 12.00 | 13 | 25 | 0.15% | 0.84% | -0.69% | |||||
| MA Envelopes (MAE) | 0.00 | 0 | 0 | 0.00% | 0.00% | 0.00% | |||||
| KBand | 9.00 | 10 | 19 | -0.39% | 0.60% | -0.99% | |||||
| Weighted MA (WMAvg) | 15.00 | 15 | 30 | -0.62% | 0.40% | -1.02% | |||||
| Variable MA (VMAvg) | 22.00 | 22 | 44 | -0.67% | 0.42% | -1.10% | |||||
| Simple MA (SMAvg) | 23.00 | 23 | 46 | -1.15% | 0.18% | -1.34% | |||||
| Fear & Greed | 21.00 | 22 | 43 | -1.16% | 0.19% | -1.36% | |||||
| RSI | 2.00 | 3 | 5 | -1.32% | 0.18% | -1.50% | |||||
| Triangular MA (TMAvg) | 10.00 | 10 | 20 | -1.53% | -0.05% | -1.48% | |||||
| DMI | 18.00 | 18 | 36 | -1.65% | -0.20% | -1.45% | |||||
| Minimum | 0.00 | 0 | 0 | -2.52% | -0.50% | -2.02% | |||||
| Ichimoku (GOC) | 14.00 | 14 | 28 | -2.52% | -0.50% | -2.02% | |||||
The hourly time-frame (table above), however, shows the Accumulation Distribution Oscillator taking the lead in terms of profitability with a 3.43% total return over the period of one month. While Buy & Hold is still fairly above average, it is surpassed by several other indicators, and some of them have made their way up from distinct losses on the previously covered time-frame. MA-based indicators, however, show the same trend and lie at the bottom of the list. Meanwhile, one of the best daily performers, the Ichimoku indicator, has disappointed traders the most, showing a -2.52% return. The failure might stem from the strong reversal kicked off by a double top, which might have led the trend-following indicator off track. The chart shows how the cloud has been switching between green and red on the downfall, instead of displaying a solid bearish signal. The worst performer of the daily time-frame, the Rex Oscillator, has, however, managed to pull out a gain of 1.21%, being one of the closest gauges to the average which has been positive at 0.51%.