muscleriot

200DMA last DOM - ajh

muscleriot Mis à jour   
Implements and backtests a simple 200 day moving average trend following rules based on last day of month to limits trades to 12 per year.
From the book : 5 BEST Moving Average Strategies (That beat buy and hold) by Steve Burns and Holly Burns

Click on the cog to set the input date range eg; 2000-01-01 to 2016-12-31

The book back tested SP500 returns from 2000-2016 317% using this method vs 125% buy and hold only with less drawdown.

Simple 200 day moving average test and trading on last day of month.
(you may find it trades on next available day close to end of month as not all dates can be traded weekends etc..)
Rules are ;
1. if last day of month and stock over 200 day moving average, then go long 100%
2. if last day of month and stock under 200 day moving average, then close long 100% and goto cash.

Aims to miss market declines and keep you long for upside.

Note: Have found doesn't work well in choppy markets moving sideways like the FTSE100 for same period 2000-2016 and causes losses. Also for many stocks.
Notes de version: BCBA:SPY
Notes de version: Please use the ADJ swtich on the chart to get a TOTAL RETURN chart. TOTAL RETURN works better with this as the chart is biased upwards so keeps above the 200 DMA longer and get you out on larger swings down. The original 200 DMA method by Steve Burns used a TOTAL RETURN graph of SPX
Notes de version: Cleaned up the code, very easy to read now, but Major longstanding problem is trading at end of month. For some reason it skips whole months!
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