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Moving Average based strategy, looking for insight!

Hello Community,

I have been working on this site for a little while but haven't posted! So here's to the first! I have been a benefactor of many of your ideas, solutions, and even some of your code. I wanted to offer this post as a platform to help someone else if they would like to create a similar idea.

In short, this algo is based off of one that used three moving averages (thanks to the developer of the original, I completely forget who you are)

I simplified that one and made this. It uses two moving averages, the eight and the twenty. Based on these, it examines if the 8 > 20, and goes long. Pretty simple. It sucked with regular ETFs so I used leveraged ones. I hope someone can use this to benefit themselves!

MY REQUEST: If anyone can help me bring down the draw down number, without sacrificing the returns too much, that would be awesome.

Enjoy,
Nico

P.S. My background is strictly financial, and this website has offered me a great platform to learn how to automate simple strategies. If anyone would like to partner up, please feel free to reach out to me!

P.S.S. Ignore the ema labels on the bottom of the backtest, those correspond with the 8 and 20 MAs, not the 5 and 10.

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: 576c1cdd7710e40f94937211
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3 responses

Nico,

Here is a blog post with some ideas on how to improve a MA crossover system http://systemtradersuccess.com/improving-the-moving-average-crossover-system/ . Not sure if they are viable but found this post awhile back when I was looking at similar issues. Notice the author also highlights one of the disadvantages is the large drawdowns. Good luck!

Dan

Thanks Dan,

Cool article!

Nico

Dan, you plug that site often. It is a click bait site for naive traders. There is nothing of value there, ust curve-fitting and data snooping.