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EMA 20-50 Crossover System

Hey guys, I wrote this system in Amibroker earlier. It's the EMA20 to EMA50 crossover system. The system is basically a trend following system and can still be optimized by integrating money management rules. It's inspired by Ed Seykota and Donchian's MA Crossover systems.

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.

2 comments:

abitrade said...

An EMA20/50 system should work. I'm a bit surprised it didn't seem to do well in the bear market. Bear markets should be easy for trend systems to avoid.

How much of the portfolio is risked per bet? % of portfolio lost per stoploss hit?

URC, AP, AEV, MEG were very trend-friendly the past two years. :)

Harley Wong said...

Hi Abi. You are right. The problem is that the system is long biased same as our market. :)

I used an individual stock backtesting and not a portfolio-wide testing and it did not include a stoploss rule. It will sell only when EMA20 crosses below EMA50. So, the result should improve if we add money management algorithms.

yeah .. plus the Consunjis!

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