The MACD is one of the most well know momentum indicators; however, the results of this textbook implementation disappoint. Over the past ten years, this trading strategy would have returned a whopping 87% less than its benchmark. I realize the algo is not perfect, and it doesn't incorporate shorting, but I just would have expected better out of such a widely used indicator. Your "polite" thoughts are more than welcome...
BTW - Here's another MACD backtest, but instead of trading SPY, this one trades XOM. The results are much worse! This MACD trading strategy returned 163% less than its benchmark!!!
Technical analysis is mostly garbage, in my humble opinion. I've found it more helpful to focus on genuine situations where people are acting against their own self-interest, and find out how you can turn that into a trading signal/system.
i have read several post now about how so many indicators disappoint. maybe it is the creative mind that is lacking to find a way to use these technical indicators. i know of many successful independently audited track record money managers who use stupid disappointing moving averages to make millions for their clients. so i really think it's more up to the individual programming to succeed than the indicator chosen, just a thought.
Simon & Mark - Thanks for your feedback! Just to let you know, I have found that some technical indicators work much better than others. Although this standard implementation of the MACD algo was disappointing, I haven't tried tweaking its parameters.
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