The first set of tests use the cross of the close
and the moving average to generate a buy signal, and a cross of the close below the moving average as a sell signal.
I have chosen to test the 30 period Moving Average as it is one of the most commonly discussed. I have found that the testing results
only varied slightly by changing the number of periods in the average. The common theme seemed to be that the longer the moving average
the better the results (to a point). This was mos apparent when I changed to a weekly test with the 30 period moving average as you will
see. Please read "How To Understand The System Testing On This Site" so that you can understand how the information is presented. The following
is a list of he tests in the first group.
Test 1(a)
Buy Signal
* Cross of the price above the 30 period moving average (Daily)
* Yesterdays high less than the 30 Period Average
* Enter on the next mornings open if the open is above the moving average
* No Position sizing or stop loss method
Sell Signal
* Cross of the close below the 30 period moving average (Daily)
* Yesterdays Close Higher than the 30 Period Average
* Exit on the next mornings open
Stop Loss / Position Size
* None Used
System Parameters
Start Capital $50,000
Max Risk (if applicable) 2%
Periods Tested 1000
Maximum Position Size 20%
Maximum # Of Positions 5
Single Moving Average Test with ATR Initial Stop
TEST Cross Close & 30 Day Average (Basket Test)
1000 Periods
Trade Statistics
Trades Processed: 2612
Trades Taken: 2257
Trades Rejected: 355
Winning Trades: 738 (32.70%)
Losing Trades: 1519 (67.30%)
Breakeven Trades: 0
Largest Winning Trade: $8,709.61
Largest Losing Trade: -$2,940.06
Average Winning Trade: $400.17
Average Losing Trade: -$181.71
Average Win/Average Loss: 2.2022
TEST Cross Close & 30 Day Average – No Initial Stop.
(Simulation Result – Results Varied Greatly)
1000 Periods
Trade Summary
Earliest Entry Date: 19-09-00
Latest Exit Date: 24-09-04
Total Trading duration: 1466 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $52,715.32
Total Net Profit: $2,715.32 (5.43%)
Average Profit per Trade: $13.12
Total Transaction Cost: $8,259.30
Annualized Comp Interest: 1.3254%
Trade Statistics
Trades Processed: 2612
Trades Taken: 207
Trades Rejected: 2033
Winning Trades: 78(37.68%)
Losing Trades: 129(62.32%)
Breakeven Trades: 0
Largest Winning Trade: $13,958.98
Largest Losing Trade: -$5,841.81
Average Winning Trade: $667.63
Average Losing Trade: -$382.63
Average Win/Average Loss: 1.7448
Trade Duration Statistics
Average Days in All Trades: 26
Average Days in Winning Trades: 29
Average Days in Losing Trades: 24
Consecutive Trade Statistics
Maximum consecutive winning trades: 5
Maximum consecutive losing trades: 10
Relative Drawdown
Maximum Dollar Drawdown: $7,749.43
Maximum Percentage Drawdown: 18.51%
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $15,881.18 (31.8%)
Capital Peak: $50,000.00
Capital Valley: $34,118.82
Example Of Profit Line With This Signal. Note The Huge Variation in Success
