Moving Median: a better indicator than Moving Average? Robustness in trading is a tough beast to tame and understand. Could it be that a moving median is actually a better indicator than the moving average? The experiment To find macd histogram formula amibroker forex I used a basic and simple mechanical trading strategy: the Moving Average Crossover.
This trading systems is always in the market, buys when the fast moving average crosses over the slow moving average and sells short when the fast average crosses under the slow average. The second system would be a Moving Median Crossover. You guessed it: the same system, but replacing the average by the median. All commissions or slippage are ignored.
The main interest of the experiment is the robustness of each indicator. A measure of the robustness of the indicator is the uniformity of the results over the 9 combinations. At first glance, it appears that the Moving Median indicator significantly under-performs the standard Moving Average indicator for these crossover systems. The calculation confirms the under-performance of the Moving Median Crossover system.