When I did a longer backtest using a simple cross above/below strategy on the EURJPY 5 min (what I'm trading at the moment) the indicator was unprofitable. I've coded in a MessageBox() alert that pops up everytime there is a cross and there have been quite a few whipsaws today.
I've experimented a bit and think it may be useful to use multiple instances. The period parameter does almost nothing but using additional multipliers of 2 and 10 can be good. The instance with a multipler of 10 to act as a filter for the main indicator (14,3) and only trade in the direction of the 10 multiplier indicator and the instance with a multiplier of 2 can be used as an early warning of a trend change.
Using an indicator that indicates trend could also be a good filter for whipsaws. Trend detection is an area I think is lacking for indicators and the only major ones I'm aware of are ADX (too slow) and RAVI (slightly better), but I think filtering with a combination of raw ATR and StdDev could help filter whipsaws with this indicator.
I've got a couple custom trend detecting indicators I've developed but they are still in the early development stage.
Using the ChandesTrendscore could help and there another decent one I have found (Damiani Volatmeter) that I will post in the hopes that someone can convert it...
Overall though, I think this is a VERY good indicator and I plan on testing it extensively for strategy development to see what I can come up with.
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