A buy signal is generated when EMA20 crosses above EMA50. A sell is signalled when EMA20 crosses below EMA50.
I intentionally included only the start of the bear market Oct 2007 since that is when I first got interested in the markets. I have a longer term result set (2000 onwards) but admittedly I don't have data since the 80s.
Individual backtesting results on selected stocks:
10/1/2007 - 10/31/2008 - bear market
Average profit: -9.63%
Average holding period: 25 trading days
Best Profit: 6%
Worst profit: -22%
11/1/2008 - 3/31/2009 - sideways market
Average profit: 2.51% (near breakeven if we include commissions)
Average holding period: 19 trading days
Best Profit: 50%
Worst Profit: -23%
4/1/2009 - 11/12/2010 - bull
Average profit: 38%
Average holding: 81 trading days
Best performers and current open positions based on system:
For AP's sake :)
AP 2/6/2009 entry, now up 641%.
Great in a bull market. Very stressful in a ranging market.