This is the third of a continuing series on my thoughts on trading the STI with CFDs. (See Parts One and Two) In my last post I referred to the fact that we will have to “optimize parameters” for our trading strategy. This is never an easy task, as we have observed strategy decay in previous posts. So here I have done a few things:

1. I will limit my backtesting to the last 10 years of data. While it would be a piece of cake for me to backtest all the way back to the beginning (about 30-40 years of data), it would be irrational to do so because I do not seriously believe that the market now behaves in the same way as it did then, given the overwhelming evidence.
2. “Massively” Backtested Moving Average strategies over the [5; 10; 15; 20; 30; ...