Interesting part is these two systems operate on same market (S&P500), same time frame (i.e., daily), in same direction (i.e., only bull markets), only long trades, with same entry setup but different exits. Results are similar on other two indexes as well.
The test basically consists of two systems. These systems were applied on SP-500 index. I chose the index instead of ETF as that allows to run the test on more data (i.e., 32 years). Rules for each are given below.
- ST System - (Entry) Today's close is above 200 day Simple average AND RSI(5) < 25. Buy next day. (Exit) Today RSI(5) > 60 . Sell next day.
- LT System - (Entry) Same as above. (Exit) Today last 5 day's simple average crossed below 200 day simple average. Sell next day.
The results are friction less i.e., no commission and no slippage. The parameter values are not optimized as my interest was more on time diversification concept. Time for some numbers.
There are several salient and practically useful points one can draw from this study. This post is already big. So I will cover that in a future post. In the mean while, I am curious to hear your thoughts/suggestions on how one can improve this further? or what problems you see with this study? etc. The more our views differ, the more we benefit. So feel free to share.
Note: This post (or for that matter any information on this blog) is not an advice. In trading, one can lose more than they think. So please do your own due diligence.
Note: This post (or for that matter any information on this blog) is not an advice. In trading, one can lose more than they think. So please do your own due diligence.
0 comments:
Post a Comment