A test of MACD trading strategy

From in-the-sample test, we found that by increasing flexibility of the parameter settings for standard MACDR2 trading strategy, we can create a very powerful tool that outperforms, or at least equal to, the performance of standard long or short MACD trading strategy. Out-of-sample tests enable us to measure the effectiveness of momentum trading strategy in a setting more close to real world. We confirmed that MACD trading can outperform buy-and-hold on NASDAQ, TSX, HSI, KOSPI, and TWSE if trading cost has been ignored. When we scrutinize MACD trading returns over ten indices and DJIA stocks with paired comparison test, we found no evidence that MACD trading can outperform buy-and-hold with the presence of trading cost.