someone backtest this long-only strategy
- Thread starter 1a2b3cppp
- Start date
On which instrument may I ask.
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.
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.