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Hull Moving Average Strategy - Multi Time Frame Trading System

by QuantShare, 1257 days ago
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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

This hull moving average trading system was not optimized, which means that you can probably improve it by adding new buy/sell rules, modifying the market rule, optimizing function parameters, updating trading system settings...

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. Make sure you download end-of-day data for that index.

The hull moving average is a smoothing indicator that tries to eliminate the lag (which is the main weakness of moving averages) by using weighted moving averages and the square root of the period. The result is a special moving average that is smoother and more responsive to price movements. The result of this trading system shows you how profitable this function can be if applied correctly.


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Type: Trading System

Object ID: 966


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