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Last week I did my first backtest using Ninja Trader on SPY and QQQQ. I began with a backtest of a system detailed in Mebane Faber's The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets
, which showed promising results in my limited test when compared to buy and hold.
This second test will be a test of a 200 day moving average system using daily indicators. A long entry is triggered on the open the day after SPY's closing price is above the 200 day simple moving average. The position is exited on the open the day after SPY's closing price is below the 2oo day SMA. The system is monitored daily.
All data is split adjusted but not adjusted for dividends. I hope to have dividend adjustments integrated at some point, but for now the data is not adjusted for dividends. All tests exclude slippage and commissions, which can be significant depending on the frequency a system has you trading, and do not account for any taxes. Both taxes and commissions could be avoided if the strategy was traded in an IRA and trades were made commission-free using a broker like Zecco.com which is now offering 10 free trades per month by simply having a $25,000 balance in a brokerage account. I used 1 share as the default quantity simply because I am interested in percentage returns and returns relative to buy and hold. So in short these results are not necessarily indicative of what you may experience in the real world but can act as a starting point for the validity of a system.
The conclusion from this limited test? Using daily indicators on the SPY has created more trades, is prone to whipsaws, and has not improved returns versus Faber's 10 month SMA system. However, having said that, it has outperformed buy and holding SPY which showed a cumulative profit of 138.28% vs. 164.49% using the 200 day moving average. Keep in mind that dividends are excluded in both performance numbers, and the cash return % when the 200 day moving average system is in cash (not long) is assumed to be 0%. I will run this same test with different securities in the coming days and publish the results on Scott's Investments.
| Performance | All Trades | Long Trades |
| Total Net Profit | 77.11 | 77.11 |
| Gross Profit | 144.88 | 144.88 |
| Gross Loss | -67.77 | -67.77 |
| Commission | 0 | 0 |
| Profit Factor | 2.14 | 2.14 |
| Cumulated Profit | 164.49% | 164.49% |
| Max. Drawdown | -21.09% | -21.09% |
| Sharpe Ratio | 0.04 | 0.04 |
| | | |
| Start Date | 1/1/1993 | |
| End Date | 9/13/2009 | |
| | | |
| Total # of Trades | 69 | 69 |
| Percent Profitable | 33.33% | 33.33% |
| # of Winning Trades | 23 | 23 |
| # of Losing Trades | 46 | 46 |
| | | |
| Average Trade | 1.79% | 1.79% |
| Average Winning Trade | 8.06% | 8.06% |
| Average Losing Trade | -1.34% | -1.34% |
| Ratio avg. Win / avg. Loss | 6.02 | 6.02 |
| | | |
| Max. conseq. Winners | 3 | 3 |
| Max. conseq. Losers | 9 | 9 |
| Largest Winning Trade | 64.87% | 64.87% |
| Largest Losing Trade | -5.22% | -5.22% |
| | | |
| # of Trades per Day | 0.01 | 0.01 |
| Avg. Time in Market | 59.01 days | 59.01 days |
| Avg. Bars in Trade | 40.7 | 40.7 |
| Profit per Month | 0.49% | 0.49% |
| Max. Time to Recover | 2516 days | 2516 days |
| Trade-# | Entry price | Exit price | Entry time | Exit time | Profit | Cum. profit | Bars |
| 1 | 43.97 | 44.47 | 2/1/1993 | 2/16/93 | 1.14% | 1.14% | 11 |
| 2 | 44.44 | 44.44 | 2/26/1993 | 4/5/93 | 0.00% | 1.14% | 27 |
| 3 | 44.88 | 44.63 | 4/13/1993 | 4/21/93 | -0.56% | 0.57% | 7 |
| 4 | 44.44 | 44.38 | 5/12/1993 | 5/13/93 | -0.14% | 0.44% | 2 |
| 5 | 45.03 | 44.63 | 5/20/1993 | 6/21/93 | -0.89% | -0.45% | 22 |
| 6 | 44.78 | 44.63 | 6/25/1993 | 7/6/93 | -0.33% | -0.79% | 7 |
| 7 | 44.84 | 44.59 | 7/9/1993 | 7/23/93 | -0.56% | -1.34% | 11 |
| 8 | 44.84 | 46 | 7/26/1993 | 3/28/94 | 2.59% | 1.21% | 172 |
| 9 | 46.55 | 45.55 | 6/15/1994 | 6/20/94 | -2.15% | -0.96% | 4 |
| 10 | 46.17 | 45.7 | 8/3/1994 | 8/5/94 | -1.02% | -1.97% | 3 |
| 11 | 46.03 | 46.05 | 8/11/1994 | 8/12/94 | 0.04% | -1.93% | 2 |
| 12 | 46.38 | 46.31 | 8/15/1994 | 9/21/94 | -0.15% | -2.08% | 27 |
| 13 | 46.47 | 46.2 | 9/29/1994 | 10/3/94 | -0.58% | -2.65% | 3 |
| 14 | 46.69 | 45.83 | 10/12/1994 | 11/22/94 | -1.84% | -4.44% | 30 |
| 15 | 46.16 | 45.7 | 12/22/1994 | 1/3/95 | -1.00% | -5.39% | 7 |
| 16 | 46.03 | 62.84 | 1/5/1995 | 7/16/96 | 36.52% | 29.16% | 387 |
| 17 | 63.75 | 61.94 | 7/18/1996 | 7/24/96 | -2.84% | 25.49% | 5 |
| 18 | 63.63 | 63.44 | 7/29/1996 | 7/30/96 | -0.30% | 25.12% | 2 |
| 19 | 63.67 | 104.97 | 7/31/1996 | 8/28/98 | 64.87% | 106.28% | 526 |
| 20 | 106.31 | 103.12 | 9/24/1998 | 9/25/98 | -3.00% | 100.09% | 2 |
| 21 | 107.97 | 107.72 | 10/23/1998 | 10/26/98 | -0.23% | 99.62% | 2 |
| 22 | 108.44 | 106.56 | 10/27/1998 | 10/28/98 | -1.73% | 96.16% | 2 |
| 23 | 110.12 | 127.75 | 10/30/1998 | 9/24/99 | 16.01% | 127.57% | 227 |
| 24 | 132.86 | 128.48 | 10/7/1999 | 10/14/99 | -3.30% | 120.07% | 6 |
| 25 | 135.84 | 135.81 | 10/29/1999 | 1/31/00 | -0.02% | 120.02% | 64 |
| 26 | 139.75 | 135.19 | 2/1/2000 | 2/22/00 | -3.26% | 112.84% | 15 |
| 27 | 136.69 | 135.19 | 2/24/2000 | 2/25/00 | -1.10% | 110.50% | 2 |
| 28 | 137.63 | 136.88 | 3/1/2000 | 3/15/00 | -0.54% | 109.36% | 11 |
| 29 | 141.63 | 135.19 | 3/16/2000 | 4/17/00 | -4.55% | 99.84% | 23 |
| 30 | 140.56 | 140.13 | 4/18/2000 | 5/11/00 | -0.31% | 99.23% | 17 |
| 31 | 141.81 | 138 | 5/12/2000 | 5/24/00 | -2.69% | 93.87% | 9 |
| 32 | 140.69 | 138.81 | 5/25/2000 | 5/26/00 | -1.34% | 91.28% | 2 |
| 33 | 142.56 | 142.94 | 5/31/2000 | 7/31/00 | 0.27% | 91.79% | 43 |
| 34 | 143.63 | 145.13 | 8/1/2000 | 9/19/00 | 1.04% | 93.79% | 35 |
| 35 | 145.69 | 144.47 | 9/20/2000 | 9/21/00 | -0.84% | 92.17% | 2 |
| 36 | 145.94 | 144.38 | 9/25/2000 | 9/26/00 | -1.07% | 90.12% | 2 |
| 37 | 145.47 | 144.28 | 9/29/2000 | 10/2/00 | -0.82% | 88.56% | 2 |
| 38 | 117.7 | 116.79 | 1/7/2002 | 1/8/02 | -0.77% | 87.10% | 2 |
| 39 | 115.33 | 115.1 | 3/5/2002 | 3/6/02 | -0.20% | 86.73% | 2 |
| 40 | 117.36 | 113.52 | 3/7/2002 | 3/26/02 | -3.27% | 80.62% | 14 |
| 41 | 113.98 | 114.01 | 4/2/2002 | 4/3/02 | 0.03% | 80.67% | 2 |
| 42 | 88.84 | 88.3 | 4/15/2003 | 4/17/03 | -0.61% | 79.57% | 3 |
| 43 | 89.86 | 110.75 | 4/21/2003 | 7/19/04 | 23.25% | 121.32% | 314 |
| 44 | 111.82 | 109.36 | 7/21/2004 | 7/22/04 | -2.20% | 116.45% | 2 |
| 45 | 112.33 | 111.6 | 9/3/2004 | 9/23/04 | -0.65% | 115.04% | 14 |
| 46 | 114.1 | 111.68 | 10/4/2004 | 10/14/04 | -2.12% | 110.48% | 9 |
| 47 | 112.78 | 114.12 | 10/28/2004 | 4/18/05 | 1.19% | 112.98% | 118 |
| 48 | 115.74 | 115.86 | 4/22/2005 | 4/25/05 | 0.10% | 113.20% | 2 |
| 49 | 115.96 | 114.86 | 4/26/2005 | 4/27/05 | -0.95% | 111.18% | 2 |
| 50 | 116.07 | 116.3 | 5/3/2005 | 5/13/05 | 0.20% | 111.60% | 9 |
| 51 | 116.41 | 119.78 | 5/17/2005 | 10/6/05 | 2.89% | 117.72% | 100 |
| 52 | 120.58 | 125.68 | 11/1/2005 | 5/24/06 | 4.23% | 126.93% | 141 |
| 53 | 126.92 | 125.58 | 5/25/2006 | 6/8/06 | -1.06% | 124.54% | 10 |
| 54 | 127.54 | 125.45 | 6/30/2006 | 7/13/06 | -1.64% | 120.86% | 9 |
| 55 | 126.59 | 126.58 | 7/26/2006 | 8/10/06 | -0.01% | 120.84% | 12 |
| 56 | 127.17 | 127.63 | 8/11/2006 | 8/14/06 | 0.36% | 121.64% | 2 |
| 57 | 129.32 | 144.21 | 8/16/2006 | 8/6/07 | 11.51% | 147.16% | 244 |
| 58 | 145.94 | 146.5 | 8/7/2007 | 8/13/07 | 0.38% | 148.11% | 5 |
| 59 | 147.34 | 144.37 | 8/23/2007 | 8/29/07 | -2.02% | 143.10% | 5 |
| 60 | 145.45 | 146.52 | 8/30/2007 | 9/10/07 | 0.74% | 144.89% | 7 |
| 61 | 147.29 | 147.99 | 9/12/2007 | 11/8/07 | 0.48% | 146.06% | 42 |
| 62 | 148.19 | 146.66 | 12/3/2007 | 12/4/07 | -1.03% | 143.52% | 2 |
| 63 | 148.63 | 151.06 | 12/6/2007 | 12/12/07 | 1.63% | 147.50% | 5 |
| 64 | 148.32 | 146.61 | 12/13/2007 | 12/17/07 | -1.15% | 144.64% | 3 |
| 65 | 148.65 | 148.54 | 12/26/2007 | 12/28/07 | -0.07% | 144.46% | 3 |
| 66 | 142.27 | 141.81 | 5/20/2008 | 5/21/08 | -0.32% | 143.67% | 2 |
| 67 | 94.4 | 89.47 | 6/2/2009 | 6/23/09 | -5.22% | 130.95% | 16 |
| 68 | 89.67 | 88.59 | 6/25/2009 | 7/8/09 | -1.20% | 128.17% | 9 |
| 69 | 90.38 | 104.77 | 7/14/2009 | 9/11/09 | 15.92% | 164.49% | 43 |
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