someone backtest this long-only strategy

Discussion in 'Strategy Development' started by 1a2b3cppp, Sep 2, 2018.

  1. Create a chart with 200, 100, and 50 moving averages. If price is above the 200, buy one contract. If price is above the 100 and the 200, buy 2 contracts. If price is above the 50, 100 and 200, buy 3 contracts.
     
  2. So when price is above all 3 you have 3 open, if price drops below the 50 you sell one and proceed with 2 open.
     
  3. dozu888

    dozu888

    It’s garbage
     
    fan27 likes this.
  4. treeman

    treeman

    I could use a ride to the airport on tuesday. Please arrange that for me.
     
    dysrupt likes this.
  5. carrer

    carrer

    On which instrument may I ask.
     
  6. For giggles I ran your plan on the S&P 500 since 31st August 2017 - at that point the index was over all three MA's and hence we started 3 long. At the end of the year today you are up 14.54% against a buy and hold the S&P500 of 17.5%. The activity breaks down as:

    • 9 trades of which 6 ended in profit and 3 in a loss
    • max. win was 95.83 and max. loss was 113.31
    • Average result 49.09 win and 50.20 loss
    • Total result 294.55 win and 150.39 loss
    • One unrealised trade with a profit (the S&P stayed over the 200 based on closing prices all year and as of today the index is also above both other MAs) with a positive result of 445.31 thereby accounting for the majority of the profits.



    The dicking around with the MA 50/100 only lost the portfolio income. Of course we should take into account that this was a roaring bull market and therefore a positive result is only to be expected, it then becomes a question about whether you would have done better in less trending market and my view is: no. What your 'strategy' does do is limit market exposure and so it looks more like risk limitation than a trading strategy.
     
    VPhantom and tommcginnis like this.
  7. Will you do it on an intraday chart for the last 80 days?
     
  8. For 80 days the result is +6% against SPXBuynHold +8%. There is one trade only - not sure why intra-day makes a difference I took EOD data.
     
  9. Intraday 1 minute. There are greater quantity of trades than 1.