MATLAB: Backtesting simple moving average trading strategy

Financial Instruments Toolboxtrading

Hi everyone, I have to backtest a trading strategy based on the cross of 3 simple moving average of 4,9 and 18 periods. The script I wrote down is the foloowing:
    % Construction of the 3 SMA for 4,9 and 18 periods.
SMA.sma4 = tsmovavg(EURUSD.price.pt1,'s',20,1); 
SMA.sma9 = tsmovavg(EURUSD.price.pt1,'s',45,1);
SMA.sma18 = tsmovavg(EURUSD.price.pt1,'s',90,1);
% Construction of the buying/selling signals.
if SMA.sma4 >= SMA.sma9 && SMA.sma18 >= SMA.sma9;
   SIGNALS.buy = 1;
else SIGNALS.buy = 0;
end
if SMA.sma4 <= SMA.sma9 && SMA.sma18 <= SMA.sma9; SIGNALS.sell = 1; else SIGNALS.sell = 0; end My problem consists on the fact that the SIGNALS.buy vector is always equal to 0 and I do not get signals for buying/selling assets.
Is there something wrong in the the script or the trading strategy does not work? Thanks for help.

Best Answer

Indeed, your code could be the reason that you don't get any buy signal. Try the following:
SIGNALS.buy = (SMA.sma4 >= SMA.sma9) & (SMA.sma18 >= SMA.sma9);
SIGNALS.sell = (SMA.sma4 <= SMA.sma9) & (SMA.sma18 <= SMA.sma9);
That should do it. If you still do not get any buy signal then you should check your trading strategy.
Related Question