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DMA over longer period. Not so subpar after all!

This is the equivalent algorithm as described here. The performance is actually not that bad after all; much more stable than the benchmark with similar rates of return.

It does seem that the dual moving average requires a long 'burn-in' period until it gets going. I could definitely see trading increase after 5 years.

Any ideas on how to make it warm up quicker?

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
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4 responses

Hm, why would there be a warm up that is more than the long moving average?

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

fawce: Beats me! I wondered if the length of the moving average might play a role and tried really short windows. As you can see there, it still does hardly anything early on.

I think it might either has to do with the market at that time or maybe the traded stock prices were lower back then (since it's buying a fixed amount of shares). I think more analysis and experiments would be required.

not sure what you mean by a "long burn-in" - this isn't MCMC! Your "burn-in" period corresponds to the maximum amount of time you need to first calculate your MA.

@Vishal: Yes, that's where I borrowed the term from :).

What I find surprising is that solid returns are achieved only way after we can calculate the MA's (although it starts trading before that which could be considered to be a bug).

However, looking more closely it seems as if periods during which the returns are not really increasing are not only in the beginning but are reoccurring (e.g. 2002-2005, 2006-2008, 2010-2012). Wonder which market conditions are most beneficial to the DMA strategy. I think I remember to have read that it mostly works during bull markets and might be some correlation here that when the benchmark goes up quickly the DMA increases returns (of course I don't know how correlated my portfolio is with the benchmark).

Other ideas what might cause this or how to test this hypothesis?