TRADING ART HILL 1

[TREND1]

6/17/16

10 50 CROSS
Bottom Line: Short positions do not add any value for this moving average crossover system.
This short-term moving average system worked better with small and mid cap indexes than large-cap indexes.


Bottom Line: The 13-34 EMA system performed quite well for the Russell 2000 and Nasdaq 100 as Risk-adjusted Returns exceeded 10% per annum. The Nasdaq 100 and Russell 2000 have higher risk profiles than the S&P 500 and this suggests that the 13-34 system favors more volatile stocks.



Bottom Line: Then trend filter does not always help.
These results were a bit surprising to me because I expected a trend filter to improve returns.
I will be putting the PPO Strategy to the test soon.

Final Thoughts

Short-term moving average systems generate lots of trades with more losers than winners.
Even though these trading systems did not always beat buy-and-hold, they had a positive expectancy because the profits from the winners exceeded the profits from the losers.

Keep in mind that these results are based on every trade from January 1991 to May 2016. In other words, chartists would have to take every trade to expect similar results.

We never know which trade will turn out to be the big winner and it is usually the outsized winners that make a trading system look good.




http://stockcharts.com/members/articles/arthurhill/2016/06/testing-two-short-term-moving-average-systems---do-trend-filters-add-value-.html