Wednesday, October 22, 2008

816 Update - Keep it Simple

Back in August I profiled a really simple trading system that bought (or shorted) crossovers of the 8 and 16 bar moving averages. Impressed with the results, I subsequently adjusted my previous 10/20 MA platform settings to 8/16.
Here's a quick thumbnail performance update of the 816 and my 4 ETF basket.
Per my usual backtesting, I use Elder's 1:6 fractal time ratio of 10 minute, 60 minute and daily bars. Backtest period is 500 bars, which is the upper limit that Schwab's strategy tester will allow.
For short term gains and maximum risk management this little study makes a good case for the 10 minute bars. Rather dismal win/ lose ratios, but the system is completely mechanical, no stops, no discretion, and it makes money. And . . . in every single case the system worked better than a buy and hold approach . . . which is pretty much a no-brainer in today's markets.
Sometimes keeping it REALLY simple ain't such a bad idea.

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