This test is designed to give
an idea of the MACD and it's reliabilty as a sole indicator. This is not the way the indicator is designed to
be used, but helps put it in to context with other indicators and theire reliabilty.
Test 1
Buy Signal
* Cross of the MACD above Zero(Daily)
* Enter on the next mornings open
Sell Signal
* Cross of the MACD Below Zero (Daily)
* Exit on the next mornings open
Stop Loss / Position Size
* None
System Parameters
Start Capital $50,000
Max Risk (if applicable) 2%
Periods Tested 1000
Maximum Position Size 20%
Maximum # Of Positions 5
TEST MACD Cross of Zero Line (Basket Test)
1000 Periods
Trade Statistics
Trades Processed: 2875
Trades Taken: 2257
Trades Rejected: 618
Winning Trades: 814 (36.07%)
Losing Trades: 1443 (63.93%)
Breakeven Trades: 0
Largest Winning Trade: $16,127.67
Largest Losing Trade: -$3,157.98
Average Winning Trade: $799.10
Average Losing Trade: -$213.90
Average Win/Average Loss: 3.7359
TEST MACD Cross Zero – ATR Stop.
(Simulation Result – Results Varied Greatly)
1000 Periods
Trade Summary
Earliest Entry Date: 21-09-00
Latest Exit Date: 24-09-04
Total Trading duration: 1464 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $63,647.32
Total Net Profit: $13,647.32 (27.29%)
Total Transaction Cost: $10,932.60
Annualized Comp Interest: 6.2016%
Trade Statistics
Trades Processed: 2875
Trades Taken: 274
Trades Rejected: 2601
Winning Trades: 99(36.13%)
Losing Trades: 175(63.87%)
Largest Winning Trade: $2,4201.20
Largest Losing Trade: -$1,208.60
Average Winning Trade: $484.80
Average Losing Trade: -$196.27
Average Win/Average Loss: 2.47
Trade Duration Statistics
Average Days in All Trades: 44
Average Days in Winning Trades: 85
Average Days in Losing Trades: 21
Consecutive Trade Statistics
Maximum consecutive winning trades: 8
Maximum consecutive losing trades: 11
Relative Drawdown
Maximum Dollar Drawdown: $2,706.41
Maximum Percentage Drawdown: 5.4130%
Example Of Profit Line With This Signal.
Note Most Trades Take Capital Down and only a Few Bring It Up
