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S&P 500 Trend Following System

by QuantShare, 1804 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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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.