Random Walk Theory Proved, once and for all.

Long only. Buy 1000 QQQQ (Nas100) on WMA25 upward cross. Close position on downward. Weekly trades on next bar only, starting capitol $100k, starting date 12/3/1990:
<code>

var Bar: integer;

for Bar := 25 to BarCount - 1 do
begin
if not LastPositionActive then
begin
if CrossOver(Bar, #Close, WMASeries(#Close, 25)) then
BuyAtMarket(Bar + 1, 'WMA Buy Signal');
end
else
begin
if CrossUnder(Bar, #Close, WMASeries(#Close, 25)) then
SellAtMarket(Bar + 1, LastPosition, 'WMA Sell Signal');
end;
end;



Ending Capitol: $149,863.
Annualized Gain: 2.25%
Number of Trades: 49
Winning Trades: 23
Max Drawdown: -$53,242.
PF: 2.56
Sharp: 0.37
</code>

 

Thanks Wayne
The 25 WMA cross
needed the 32 years. Thats for sure.
I had not run the returns in several years
in a shorter time frame.
I would guess the price cross of the 20 DMA
faired better in the shorter time since 1990 period.
I don't use either for trading.
Just interesting to me.
If I remember correctly, the 20 DMA faired
well in the 1987 Bear market.

Jeff

 

i don't play by others rules and i don't play others games.

that's why i am mark brown.

mb