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The Classic Moving Average Crossover
Trading System
The Moving
Average Crossover Trading System enters a long position when prices
cross over above the 20-day moving average and exits the long position
when prices cross over below the 20-day moving average.
Security
Tested: The Phisix
Initial
Equity: P100,000.00
Commissions: 0.25% on entries and exits
Dates
Tested:
July 1999 to Dec 2001 (Bear Market)
January 1994 to December 1996 (Sideways Market)
January 2003 to December 2005 (Bull Market)
January 1994 to December 2005 (All)
Metastock
Entry Formula:
C >
Mov(C,opt1,S) AND Ref(C,-1) <= Ref( Mov(C,opt1,S), -1)
Metastock
Exit Formula: C < Mov(C,opt1,S)
Bear Market Results
Sideways Market Results
Bull Market Results
From 1994 to 2005 Results
Discussion:
The Classic Moving Average Crossover Trading System is one of crudest
and most popular trading systems of all. It is actually one of the basic
building blocks for other more sophisticated trading systems out in the
market today. While the trading system did not made as much profits as a
buy and hold strategy on a bull market, it did make money on a sideways
market and its losses were significantly lower when used in a bear
market. While one can already be profitable using this trading system
alone, the returns may not be as great as one would expect. Take note
that I did not account for slippages in the back-testing, which means
that the actual returns may even be less. Curiously, when optimizing the
parameters between a range of 5 and 50, the most profitable moving
averages in any kind of market were between 5 and 15.
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