Yang on Moving Averages

[man]

1970 52.3%
1971 32.0%
1972 30.6%
1973 34.5%
1974 70.2%
1975 31.9%
1976 26.2%
1977 26.5%
1978 33.8%
1979 14.8%
1980 43.2%
1981 16.5%
1982 25.0%
1983 1.0%
1984 14.5%
1985 10.1%
1986 5.5%
1987 42.7%
1988 -18.1%
1989 5.7%
1990 6.5%
1991 -6.2%
1992 0.8%
1993 3.9%
1994 16.7%
1995 10.2%
1996 34.2%
1997 9.2%
1998 16.0%
1999 29.4%
2000 23.4%
2001 20.7%
2002 -19.0%
2003 -2.1%

first strategy for one day period MA
slightly above 20% annual return
27% annualised vola
thus: ~0.75 modified sharpe ratio


peace

 

[man]

this was done on the index itself before fees. future since 1984 seems to yield significantly less.


peace

 

[FishSauce]

Anyone perplexed at the wide range of return? Wouldnt we expect consistent return?

Does the data factor in slippage or transaction costs?

 

[man]

I am more perplex that the thing makes money at all. But, as I said, it is the index as such (which is not tradeabel) and the whole thing made most of the return in the seventies.


peace

 

[NYSEtradinglog]

man thanks for your work on this....

I was using SP Future Data 82 - 99 not the best years as I've seen in your results.

Just one question: is the S&P Future after slippage and commission making money????
A lot of trades with this strategy...
I've done a lot of tests yesterday using indivdual stocks but can't come up with tradeable result after commission....

thx.

 

[man]

I quickly took the data from Bloomberg and I doubt about their quality in futures time series. No slippage. No fees. I would not go for this thing as it is.


peace

 

[OddTrader]

Quote from man:

1970 52.3%
1971 32.0%
1972 30.6%
1973 34.5%
1974 70.2%
1975 31.9%
1976 26.2%
1977 26.5%
1978 33.8%
1979 14.8%
1980 43.2%
1981 16.5%
1982 25.0%
1983 1.0%
1984 14.5%
1985 10.1%
1986 5.5%
1987 42.7%
1988 -18.1%
1989 5.7%
1990 6.5%
1991 -6.2%
1992 0.8%
1993 3.9%
1994 16.7%
1995 10.2%
1996 34.2%
1997 9.2%
1998 16.0%
1999 29.4%
2000 23.4%
2001 20.7%
2002 -19.0%
2003 -2.1%

first strategy for one day period MA
slightly above 20% annual return
27% annualised vola
thus: ~0.75 modified sharpe ratio


peace

Should we evaluate the above figures against the growth percentages of SP500 in those years? It would be nicer to have the growth percentages listed as well.

 

[Walther]

Quote from man:

. I would not go for this thing as it is.


peace [/B]

Try it on Dow 5 min intraday. With add ons it is a decent performer.
Walter

 

[EliteThink]

Interesting study. As usual the cash performs much better than the futures. The equity curve looks strikingly like the market itself as it has trouble with the speed on the short side.

I have short term trend following system that makes 1 mil on the cash from '96-'01 but only makes 300k in the futures for the same amount of time.

Interesting stats, thanks for posting them.

 

[murray t turtle]

Numbers oriented people, as opposed to visual personalities ,may not like any trendlines.

Commercial pilots use trendlines in a written flight plan, to help keep on the right side of the peaks and valleys flying over the Andes mountains.

-------
Bruce Kovner 's, net performance, compounded average annual return=29.02%

That was from 1985-2000;rare book collecting is also a passion.
Louis Peltz is the source.