simple sma s&p system

Looks a little too good for an SMA system on an index. Everybody and their brother has beat them to death.

Make sure your buys and sells happen on a future Bar (Bar + 1) and you properly account for friction like commission and slippage.

And a greater than 70% losing rate means you have to really make some money on the few winners. A choppy market that lasts for a while may be hard to overcome, at least psychologically, even if your account withstands it.

I'd trade it and find out if your projections from the bt are real. Trade the Spy with a very small position size. No need to rush in with big size. There is plenty of time..

Good luck.

C
 
Quote from 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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I hope you are not developing a system/approach to trade the SPX (a non tradable index) and then apply the same to trade an actual related financial instrument (ES, SPY, SP).

You could be in for some serious rudeness if you do.
 
I was using this system to trade underlying options on SPY. However, I have stopped for now due to other strategies being pursued.

The hardest thing about this strategy is pyschological. Its very tough to sit through 100 trades and have only a 4% gain to show for it (2004 results). I might come back to it, but for now I have given up on indicators and am using more breadth related indicators to scale in/out of trades.
 
All you ned is one confirming filter....


Quote from razf1:

I was using this system to trade underlying options on SPY. However, I have stopped for now due to other strategies being pursued.

The hardest thing about this strategy is pyschological. Its very tough to sit through 100 trades and have only a 4% gain to show for it (2004 results). I might come back to it, but for now I have given up on indicators and am using more breadth related indicators to scale in/out of trades.
More...
 
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