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Hull Moving Average Strategy - Multi Time Frame Trading System
Using the Hull moving average, a market rule, two time frames and an N-Bar stop, this strategy generates an annual return of 30.91%, a high Sharpe ratio of 2.13 and a very low drawdown (-16.21%). The strategy beta is equal to 0.29 and the correlation between daily returns and S&P 500 index returns is 0.43%.
The trading system is based on the crossover of the low price and the Hull moving average in a daily time frame and the crossover of the close price and the Hull MA in a weekly time frame. Another trading rule that has greatly improved the system performance is a market rule that prevents the strategy from entering new long positions/trades when the 20-Bar return of the S&P 500 Index is in a negative territory. The unique exit rule consists of a simple 3-Bar Stop. (Exit a position after 3 days).
More info about this Hull moving average strategy:
- Enter & Exit at next bar open price
- Maximum number of positions in the portfolio: 20
- System Type: Long Only
- Simulation period: 2001-2011
- All U.S. Stocks were used during the backtest
The trading system was not optimized, which means that you can probably improve it by adding new buy/sell rules, modifying the market rule...
The trading system uses a custom technical analysis indicator that can be downloaded here: Hull Moving Average. It also references an external symbol (^GSPC), which is the ticker symbol of the S&P 500 Index.
