This tests the 30 period moving average in order to show the difference between
using moving averages as signals on weekly and daily data. I have chosen to test entering on a rising Moving Average (ie. Moving Average
Higher than it was 15 periods ago) with an ATR Exit.
Cross of Rising Moving Average. ATR Stop. Weekly Data
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
* 3 x 21 Day ATR Exit used
System Parameters
Start Capital $50,000
Max Risk (if applicable) 2%
Periods Tested 1000
Maximum Position Size 20%
Maximum # Of Positions 5
Cross Rising Moving Average Test with ATR Stop
TEST Cross Close & 30 Day Average (Basket Test) Weekly Data
1000 Periods
Trade Statistics
Trades Processed: 431
Trades Taken: 431
Trades Rejected: 0
Winning Trades: 188 (43.62%)
Losing Trades: 243 (56.38%)
Largest Winning Trade: $161,692.81
Largest Losing Trade: -$2,045.10
Average Winning Trade: $2267.19
Average Losing Trade: -$459.90
Average Win/Average Loss: 4.9297
TEST Cross Close & Rising 30 Period Average – ATR Stop. Weekly Data
(Simulation Result – Results Varied Greatly)
1000 Periods
Trade Summary
Earliest Entry Date: 08-12-89
Latest Exit Date: 24-09-04
Total Trading duration: 5404 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $158,401.61
Total Net Profit: $108,401.61 (216.80%)
Total Transaction Cost: $6,822.90
Annualized Comp. Interest: 8.1%
Trade Statistics
Trades Processed: 431
Trades Taken: 171
Trades Rejected: 4
Winning Trades: 82 (47.95%)
Losing Trades: 89 (52.05%)
Largest Winning Trade: $55,474.53
Largest Losing Trade: -$1,563.65
Average Winning Trade: $1886.73
Average Losing Trade: -$520.34
Average Win/Average Loss: 3.6260
Trade Duration Statistics
Average Days in All Trades: 112
Average Days in Winning Trades: 154
Average Days in Losing Trades: 73
Consecutive Trade Statistics
Maximum consecutive winning trades: 6
Maximum consecutive losing trades: 6
Relative Drawdown
Maximum Dollar Drawdown: $3,789.41
Maximum Percentage Drawdown: 4.8920%
Example Of Profit Line With This Signal. Note The Huge Variation in Success
