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 it's trigger line (9 day Moving Average of MACD) (Daily)
* Enter on the next mornings open
Sell Signal
* Cross of the MACD Below It's Trigger Line (9 Day Moving Average of MACD) (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 5000
Maximum # Of Positions 5
TEST MACD Cross of Trigger Line (Basket Test)
1000 Periods
Trade Statistics
Trades Processed: 6604
Trades Taken: 2257
Trades Rejected: 4347
Winning Trades: 1011 (44.79%)
Losing Trades: 1246 (55.21%)
Largest Winning Trade: $6,543.11
Largest Losing Trade: -$2,984.05
Average Winning Trade: $416.25
Average Losing Trade: -$177.41
Average Win/Average Loss: 2.3463
TEST MACD Cross Trigger Line – No Stop.
(Simulation Result – Results Varied Greatly)
1000 Periods
Trade Summary
Earliest Entry Date: 15-09-00
Latest Exit Date: 24-09-04
Total Trading duration: 1470 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $55,443.66
Total Net Profit: $5,443.66 (10.89%)
Total Transaction Cost: $14,683.20
Annualized Comp Interest: 2.5992%
Trade Statistics
Trades Processed: 6604
Trades Taken: 368
Trades Rejected: 0
Winning Trades: 147(39.95%)
Losing Trades: 221(60.05%)
Largest Winning Trade: $1,740.87
Largest Losing Trade: -$1,297.05
Average Winning Trade: $283.21
Average Losing Trade: -$163.75
Average Win/Average Loss: 1.7296
Trade Duration Statistics
Average Days in All Trades: 18
Average Days in Winning Trades: 28
Average Days in Losing Trades: 11
Consecutive Trade Statistics
Maximum consecutive winning trades: 6
Maximum consecutive losing trades: 21
Relative Drawdown
Maximum Dollar Drawdown: $3,2998.51
Maximum Percentage Drawdown: 6.12%
Example Of Profit Line With This Signal.
Note Large Variations in profit.
