simple sma s&p system

Discussion in 'Strategy Development' started by razf1, Jun 4, 2005.

  1. razf1

    razf1

    I am testing a simple SMA system using SPY 60 min bars. Backtesting to July of 2004 has resulted in the following results. Any thoughts/feedback would be appreciated.

    Long + Short Long Only Short Only Buy & Hold
    Net Profit $12,305.36 $9,912.79 $2,392.57 $5,372.14

    Number of Trades 95 48 47 1
    Avg Profit/Loss $129.53 $206.52 $50.91 $5,372.14
    Avg Profit/Loss % 0.13% 0.21% 0.05% 5.37%
    Avg Bars Held 16.27 17.54 14.98 1,609.00

    Winning Trades 31 14 17 1
    Winning % 32.63% 29.17% 36.17% 100.00%
    Losing Trades 64 34 30 0
    Losing % 67.37% 70.83% 63.83% 0.00%
    Avg Bars Held 5.61 5.26 6.00 0.00

    Max Drawdown $-5,965.06 $-3,718.25 $-4,498.83 $-8,191.74
    Max Drawdown Date5/17/2005 4/28/2005 3/29/2005 5/26/2005

    Profit Factor 1.51 1.88 1.19 INF
    Recovery Factor 2.06 2.67 0.53 0.66
    Payoff Ratio 3.12 4.56 2.10 INF
     
  2. what's the result from 2000 to now and what's the sharpe?
     
  3. razf1

    razf1

    I forgot to mention...this system uses 100k per trade and is always long or short.

    Here are the results against SPX using same 100k per trade since 1/1/2000:

    Long + Short Long Only Short Only Buy & Hold
    Net Profit $70,602.51 $27,903.68 $42,698.82 $-21,149.84
    Profit per Bar $7.59 $5.90 $9.33 $-2.25

    Number of Trades 583 291 292 1
    Avg Profit/Loss $121.10 $95.89 $146.23 $-21,149.84
    Avg Profit/Loss % 0.12% 0.10% 0.15% -21.22%
    Avg Bars Held 15.96 16.25 15.67 9,392.00

    Winning Trades 165 79 86 0
    Winning % 28.30% 27.15% 29.45% 0.00%

    Losing Trades 418 212 206 1
    Losing % 71.70% 72.85% 70.55% 100.00%

    Max DD $-21,594.68 $-22,882.57 $-22,276.96 $-52,424.61
    Max DD Date 9/19/2001 10/18/2002 6/30/2004 10/9/2002

    Profit Factor 1.30 1.24 1.37 0.00
    Recovery Factor 3.27 1.22 1.92 0.40
    Payoff Ratio 3.30 3.32 3.28 0.00
     
  4. WilliamV

    WilliamV

    In the long run most moving average crossover systems will lean towards a 50% win ratio. The major question is determing trend strength and direction, since when the stock is trending, profit and win % increase.
     
  5. razf1

    razf1

    This is a simple price penetration system.

    Buy when price > SMA. Sell/Short when below SMA.
     
  6. Freightening DD's in relation to profits! :eek:
     
  7. razf1

    razf1


    Can you please explain why you think so? I dont feel 5% of equity is a frightening drawdown.
     
  8. mogul

    mogul

    you'd get a good feeling for a system by looking at the equity curve

    also you need more trades to be able to tell what's going on
     
  9. razf1

    razf1

    In case anyone is interested I am attaching the distribution and equity curves for SPY since 7/9/2004.
     
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  10. razf1

    razf1

    Here is the equity curve and distribution on SPX since 8/20/1997 ( which the oldest data I have available for hourly).
     
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    #10     Jun 4, 2005