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S&P 500 Trend Following System

by QuantShare, 2014 days ago
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This is a trend following trading strategy that trades S&P 500 stocks.

The S&P 500 trend following system uses the following rules:

- Daily data for S&P 500 stocks
- 8 stocks traded at the same time
- Enter long if a stock crosses two moving averages on the same bar (a short and a medium one)
- Exit if the stock moves below one of these moving averages
- Halt trading in case the market is bearish

Backtested on 11 years, the trading system shows 10 profitable years (with the exception of 2008, which shows a return of -1.3%).

Here are some statistics for this trading system:

Annual Return: 19.75%
Average Bars Held: 17
Maximum Drawdown: -14.22%
Number of Trades: 964
Percent of Winners: 34.75% (normal for a trend following system)
Percent Positive Years: 90.91%
Percent Positive Months: 59.85%
Average Monthly Return: 1.59%
Standard Deviation: 14.55%
Downside Standard Deviation: 10.25%
Sharpe Ratio: 1.01
Sortino Ratio: 1.44
Profit Factor: 2.33
Payoff Ratio: 4.38

This is a very simple trading system and by updating it you can easily come up with better results.
Please share your findings in the sharing server.

Note: Only one moving average was optimized. During the optimization the medium-term moving average period was always equal to 2 * short-term moving average period.


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Type: Trading System

Object ID: 1549


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