A simple Moving Average Based Strategy

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