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Single Moving Average
Test Results - Test 3


Testing Results
I have tested many different single moving averages and methods to use them. The following test is not designed to be traded - it is a system designed to help give us an insight in to the moving average. I have found that most moving averages tend to show similar results in testing and as such have chosen the thirty day moving average as it is commonly used and discussed..

Testing Results - Cross of A Rising Single Moving Average
This test is designed in an attempt to test the moving average in more of a trending situation, that is the moving average had risen to the point of the crossover. This means that there is more likelihood of trading in the direction of the major trend. Again this is not designed to be traded. NO ATR Stop was used on this first test

Test - Cross of Rising Moving Average 

Buy Signal
*	Cross of the price above the 30 period moving average (Daily)
*	Yesterdays high less than the 30 Period Average
*	30 Day Average Higher than it was 15 days ago
*	Enter on the next mornings open if the open is above the moving average


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:			951
Trades Taken:			951
Trades Rejected:			0
Winning Trades:			302 (31.76%)
Losing Trades:			649 (68.24%)

Largest Winning Trade:		$8,709.61 
Largest Losing Trade:		-$1,542.24
Average Winning Trade:		$381.96
Average Losing Trade:		-$144.81
Average Win/Average Loss:		2.6376


TEST Cross Close & Rising 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: 			$59,924.05
Total Net Profit: 			$9,924.05 (19.85%)
Total Transaction Cost: 		$17,196.90
Annualized Comp. Interest: 		4.8265%


Trade Statistics
Trades Processed:			2872
Trades Taken:			431
Trades Rejected:			520
Winning Trades: 			125 (29.00%)
Losing Trades:			306	(71.00%)

Largest Winning Trade:		$4,704.18 (28-11-03)
Largest Losing Trade:		-$1,243.97 (11-04-03)
Average Winning Trade:		$414.11
Average Losing Trade:		-$136.73
Average Win/Average Loss:		3.0286


Trade Duration Statistics
Average Days in All Trades: 	24
Average Days in Winning Trades: 	39
Average Days in Losing Trades: 	18


Consecutive Trade Statistics
Maximum consecutive winning trades:	5
Maximum consecutive losing trades: 	11

Relative Drawdown
Maximum Dollar Drawdown:	$3,188.04 
Maximum Percentage Drawdown:	7.03%

Example Of Profit Line With This Signal. Note The Huge Variation in Success