August 28, 2009
*First in a series of posts exploring the the Golden Cross
System Rules:
Rules for both systems are the same except for the length of the SMA's being used
- Enter position at the open if the previous day's faster SMA(10,50) crosses the slower SMA(50,200)
- Long Entry = 10(50) SMA > 50(200) SMA
- Short Entry = 10(50) SMA < 50(200) SMA
- Exit position at the open if the previous day's faster SMA(10,50) crosses the slower SMA(50,200) in the opposite direction
- Long Exit = 10(50) SMA < 50(200) SMA
- Short Exit = 10(50) SMA > 50(200) SMA
- Risk 1% of Equity on each Trade
- Position Size = ((Account Equity * 1%)/2 ATR)
- Transaction Slippage = 2 ticks
- Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF
Results:
10/50 SMA
50/200 SMA
Start Date
19840103
19840103
End Data
20090818
20090818
Trade Days
6449
6449
Years
25.59
25.59
Winning Months
167
186
Losing Months
140
121
Best Month
42%
27%
Worst Month
-20%
-16%
CAGR
14.27%
16.63%
Max DrawDown
-63.86%
-45.44%
MAR
.22
.37
Lake Ratio
43.39%
17.36%
R-Squared
.61
.77
Sharpe Ratio
.61
.83
Total Return
3024%
5190%
Starting Equity
$ 1,000,000
$ 1,000,000
Ending Equity
$ 31,239,488
$ 52,902,806
The 50/200 SMA Crossover Strategy resulted in much more robust results, with the 10/50 having an extended drawdown of 10+ years.
The trade distributions exhibit the classic fat tails of trend following strategies. Without any stops in place there were a large number of trades that resulted in a loss greater than the 1% used to calculate positions size. Possible follow-up with stops added.
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