A trading system based upon three moving averages (Triple Crossover)

The triple moving average crossover - the 4-9-18-day method was popularized by R. C. Allen in his book How to Build a Fortune in Commodities released in 1972.

Rules:
There are many variations of this basic system; this system goes long when the 9 bar EMA crosses over the 18 bar EMA. The system exits when the 4 bar EMA crosses under the 9 bar EMA.

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#Bring in the EMA columns into variables
#Makes it easier to play with the values when we use the optimizer
my $small   =EMA(Close,4);
my $middle  =EMA(Close,9);
my $large   =EMA(Close,18);

unless (Position) {
  #we have no position, do entry rules
  BuyOpen if Crossover($middle,$large);
}
else {
  #we have a position, do exit rules
  SellOpen if Crossunder($small,$middle);
}