The strategy selects stocks from the Nasdaq 100 Index based on volume to invest in an uptrend, which is confirmed by the 200-day SMA of SPY and Gold Futures (GC). This suggests that capital is flowing into the market when volume increases, and such large volume tends to attract even more capital.
It works too with other stocks from other indexes too (e.g. S&P 100 Current & Past).
10 years backtests:
APR: +44,38%
Drawdown: -33,76%
Win-Rate: 71% per month
I believe that if SPY and the Gold Futures are above the 200-SMA line, the U.S. dollar money supply is increasing. More money in the system would lead to rising stock prices.
It works too with other stocks from other indexes too (e.g. S&P 100 Current & Past).
10 years backtests:
APR: +44,38%
Drawdown: -33,76%
Win-Rate: 71% per month
I believe that if SPY and the Gold Futures are above the 200-SMA line, the U.S. dollar money supply is increasing. More money in the system would lead to rising stock prices.
Rename
Of course using symbol SPY should be enabled:
Tried your strategy but for some reason it didn't make any trades. Tried with several datasets. Can you see anything wrong here?
Edit: Tried to change bad quality pictures but I am unable to edit and add better ones. I will try again soon
Edit2: Problem partially solved. I seem to have problems with symbol &GD, and I don't get that data. I will have to look into it..
Edit: Tried to change bad quality pictures but I am unable to edit and add better ones. I will try again soon
Edit2: Problem partially solved. I seem to have problems with symbol &GD, and I don't get that data. I will have to look into it..
Ok, so here are my pictures
Hi,
replace the gold future &GC by the ETF "GLD".
GLD should work and you should get the same results.
Best regards,
Stephan
replace the gold future &GC by the ETF "GLD".
GLD should work and you should get the same results.
Best regards,
Stephan
Try it so, you would get similar results:
Hi,
That helped a bit. With "GLD" I now get 36.35% APR and 1630.85 % total profit. There is still difference to your results but very good results anyway.
Edit:
Noticed I had tested SP500. Did new backtest with Nasdaq100, and now my results look more like yours with 42.78 % APR and 2545 % total.
Edit2:
By changing both SMA values in entry blocks (SPY and GLD) from 200 to 50 it improves results even more.
Now 46.86 % APR and 3327 % total
That helped a bit. With "GLD" I now get 36.35% APR and 1630.85 % total profit. There is still difference to your results but very good results anyway.
Edit:
Noticed I had tested SP500. Did new backtest with Nasdaq100, and now my results look more like yours with 42.78 % APR and 2545 % total.
Edit2:
By changing both SMA values in entry blocks (SPY and GLD) from 200 to 50 it improves results even more.
Now 46.86 % APR and 3327 % total
I choosed the SMA-200 line, because many institutional investors have compliance rules, that they are not allowed to invest money into assets, if they are below the 200 days line.
Could you please check the following 4 settings?:
Could you please check the following 4 settings?:
Could you please check in Preferences -> Backtest the following settings?:
Unable to take screenshot now or check for sure, but as I remember:
Margin yield: 6.33%
Slippage: adjust entry/exit price unchecked, 0.1% slippage on limit orders checked
Collect dividends: propably unchecked
Commissions: mimimum $0.35, and $0.0035 per share
We have clear differences here. Have been thinking to turn on the dividend collection, slippage "adjust entry/exit price" and maybe change slippage to at least 0.2% on limit orders be more on the safe side.
Margin yield: 6.33%
Slippage: adjust entry/exit price unchecked, 0.1% slippage on limit orders checked
Collect dividends: propably unchecked
Commissions: mimimum $0.35, and $0.0035 per share
We have clear differences here. Have been thinking to turn on the dividend collection, slippage "adjust entry/exit price" and maybe change slippage to at least 0.2% on limit orders be more on the safe side.
To optimize the risk/reward ratio, try the following setup:
- Buy SPY(50) so that you catch strong countertrends in bear markets (with the risk of false signals)
- Buy GLD(120) as gold moves in half-year cycles
- Sell SPY(150) to reduce drawdowns and to take profits ahead of the broad mass
- Buy SPY(50) so that you catch strong countertrends in bear markets (with the risk of false signals)
- Buy GLD(120) as gold moves in half-year cycles
- Sell SPY(150) to reduce drawdowns and to take profits ahead of the broad mass
QUOTE:
- Buy SPY(50) so that you catch strong countertrends in bear markets (with the risk of false signals)
- Buy GLD(120) as gold moves in half-year cycles
- Sell SPY(150) to reduce drawdowns and to take profits ahead of the broad mass
The SMA values sound good and plausible, but how do you handle the entry? In some cases, you enter below the SMA(200), but then the exit would happen the very next day if you're still below the SMA(200). This means you would execute a trade every day?
There are two ways to prevent the exit the very next day, if the price is still below the SPY(150):
- The use of a fast moving average like SPY(10). As long as SPY(10) is in rising mode or the SPY Price closes above the SPY(10), the trade remains active.
- The use of a ATR trailing stop on the stock itself.
Personally, I would probably prefer the first option.
- The use of a fast moving average like SPY(10). As long as SPY(10) is in rising mode or the SPY Price closes above the SPY(10), the trade remains active.
- The use of a ATR trailing stop on the stock itself.
Personally, I would probably prefer the first option.
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