simple sma s&p system

R

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
 
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
 
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.
 
Quote from 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
More...
Freightening DD's in relation to profits! :eek:
 
Quote from nononsense:

Freightening DD's in relation to profits! :eek:
More...


Can you please explain why you think so? I dont feel 5% of equity is a frightening drawdown.
 
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
 
In case anyone is interested I am attaching the distribution and equity curves for SPY since 7/9/2004.
 

Attachments

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

Attachments

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