Let us take a look at a very simple moving average based strategy. This strategy is discussed in Beyond Technical Analysis
STRATEGY RULES :
Rule 1 : Go LONG at next days' open if 3-day SMA crosses over 65-day SMA
Rule 2 : Close LONG position and Go SHORT next days' open if 3-day SMA crosses under 65-day SMA
Rule 3 : Cover SHORT position. Back to Rule 1.
Since moving averages are lagging indicators of trend, rule 1 indicates in the last three days, the short-term price action for the
security is positive and it may be time to jump in.
This strategy is an long/short strategy is always takes a position. There is no "time-out" period. You are either long or
short with the security.
The back test results are shown below. The strategy was back tested on 5 year data with S&P 100 stocks
All Trades | Long Trades | Short Trades | Buy & Hold | ||
---|---|---|---|---|---|
Starting Capital | $10,000.00 | $10,000.00 | $10,000.00 | $10,000.00 | |
Ending Capital | $11,151.13 | $11,326.72 | $9,824.41 | $12,685.16 | |
Net Profit | $1,151.13 | $1,326.72 | ($175.59) | $2,685.16 | |
Net Profit % | 11.51% | 13.27% | -1.76% | 26.85% | |
Annualized Gain % | 2.21% | 2.53% | -0.35% | 4.88% | |
Exposure | 54.66% | 24.41% | 30.89% | 79.77% | |
Total Commission | ($55.50) | ($33.96) | ($21.54) | ($4.90) | |
Return on Cash | $0.00 | $0.00 | $0.00 | $0.00 | |
Margin Interest Paid | $0.00 | $0.00 | $0.00 | $0.00 | |
Dividends Received | $0.00 | $0.00 | $0.00 | $0.00 | |
Number of Trades | 620 | 404 | 216 | 95 | |
Average Profit | $1.86 | $3.28 | ($0.81) | $28.26 | |
Average Profit % | 2.35% | 3.80% | -0.38% | 32.62% | |
Average Bars Held | 127.37 | 86.60 | 203.61 | 1,238.99 | |
Winning Trades | 251 | 162 | 89 | 62 | |
Win Rate | 40.48% | 40.10% | 41.20% | 65.26% | |
Gross Profit | $3,935.18 | $2,500.72 | $1,434.46 | $3,470.93 | |
Average Profit | $15.68 | $15.44 | $16.12 | $55.98 | |
Average Profit % | 19.27% | 18.52% | 20.62% | 65.73% | |
Average Bars Held | 204.39 | 156.62 | 291.35 | 1,229.94 | |
Max Consecutive Winners | 14 | 14 | 12 | 6 | |
Losing Trades | 369 | 242 | 127 | 33 | |
Loss Rate | 59.52% | 59.90% | 58.80% | 34.74% | |
Gross Loss | ($2,784.05) | ($1,174.00) | ($1,610.05) | ($785.77) | |
Average Loss | ($7.54) | ($4.85) | ($12.68) | ($23.81) | |
Average Loss % | -9.16% | -6.06% | -15.09% | -29.57% | |
Average Bars Held | 74.97 | 39.73 | 142.12 | 1,256.00 | |
Max Consecutive Losses | 16 | 19 | 19 | 3 | |
Maximum Drawdown | ($1,846.04) | ($854.87) | ($2,264.80) | ($6,304.03) | |
Maximum Drawdown Date | 10/28/2009 | 7/7/2009 | 4/14/2010 | 3/9/2009 | |
Maximum Drawdown % | -15.20% | -7.87% | -18.73% | -43.94% | |
Maximum Drawdown % Date | 10/28/2009 | 7/7/2009 | 4/14/2010 | 3/9/2009 | |
Wealth-Lab Score | 3.43 | 9.55 | -1.36 | 3.43 | |
Sharpe Ratio | 0.22 | 0.40 | -0.20 | 0.35 | |
Profit Factor | 1.41 | 2.13 | 0.89 | 4.42 | |
Recovery Factor | 0.62 | 1.55 | 0.00 | 0.43 | |
Payoff Ratio | 2.10 | 3.06 | 1.37 | 2.22 |
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