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Recruitment of participants 200-Day Moving Average Trading Strategy (But Slightly Better)

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 58: 200-Day Moving Average Trading Strategy (But Slightly Better)

    We made a small twist to the 200-day moving average strategy that improves (slightly) the trend-following strategy.

    Performance metrics (S&P 500):
    • No. of trades: 81
    • Average unleveraged gain per trade: 5.9% (14% for winners and -2.7% for losers)
    • Win ratio: 50%
    • Profit factor: 2.9
    • CAGR: 6.67% (assuming no leverage and no dividends – same return as Buy & Hold)
    • Exposure/time in the market: 69%
    • Risk-adjusted return: 19.6% (CAGR divided by time spent in the market (0.7))
    • Max. drawdown: -22% (Buy & Hold 55%)
    The equity curve (log scale):

    [​IMG]
     
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