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Dual Moving Average with much shorter time window: more volatility

Out of curiosity I tried the original DMA with a short window of 2 days and and a long window of 10 days.

My hope was that this might be able to exploit shorter market fluctuations and generate profits earlier on (the previous one took several years until it generated profit), at the cost of higher volitatility.

As you can see, the volatility (and the max drawdown -- ouch) certainly were increased. However, the performance is pretty poor overall.

In the future it will be possible to define a range of parameters that will automatically get tested but for now those values have to be tuned by hand.

Clone Algorithm
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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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Volatility
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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
# Backtest ID: 5034f2b20fe4cb43e40001bb
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
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