System Rules:

Rules for all systems are the same except for the type (SMA,EMA) and length(10/50,50/200) of the MA's being used

1. Enter position at the open if the previous day's faster MA(10,50) crosses the slower MA(50,200)
• Long Entry = 10(50) MA > 50(200) MA
• Short Entry = 10(50) MA < 50(200) MA
2. Exit position at the open if the previous day's faster MA(10,50) crosses the slower MA(50,200) in the opposite direction
• Long Exit = 10(50) MA < 50(200) MA
• Short Exit = 10(50) MA > 50(200) MA

• Risk 1% of Equity on each Trade
• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

10/50 SMA

Full Report

10/50 EMA

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50/200 SMA

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50/200 EMA

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Without digging deeper into the trade data and looking at the periods of divergence between the SMA and EMA strategies, I find it interesting how quickly the outperformance of the 10/50 SMA vs the 10/50 EMA was reversed, then how much the two tracked each other.

The 50/200 cross strategies are long term strategies which makes less trade data available (even going back 25yrs). I'm cautious not to put too much weight on the outperformance of the 50/200 SMA over the 50/200 EMA strategy, in light of what was seen in the 10/50 cross strategies.