Trend Trading: Nasdaq 100
February 17th, 2010 | 
Author: Methodolgy
- Stocks Traded
- Only the stocks that make up the current Nasdaq 100 were used in these tests, so there is definitely some survivorship bias in the results. Split and dividend adjusted data from Yahoo Finance was used.
- Buy and Hold ^NDX used for comparisons
- Date Range of Testing
- March 12, 1998 to February 11, 2010 [ 3000 Trade Days ]
- Position Sizing
- Each stock is given 1% allocation of Equity at time of entry
- Trading
- All trading is done at close using the signal for that day
- Trading Frictions
- Commission of .025% per trade
- Slippage of .05% per trade
Total round trip friction of .15% of share price
Simple Moving Average Strategies
SMA = Simple Moving Average
- SMA200 = Long [ Enter if Close > 200 Day SMA / Exit if Close < 200 Day SMA ]
- SMA100 = Long [ Enter if Close > 100 Day SMA / Exit if Close < 100 Day SMA ]
- SMA50 = Long [ Enter if Close > 50 Day SMA / Exit if Close < 50 Day SMA ]
- SMA20 = Long [ Enter if Close > 20 Day SMA / Exit if Close < 20 Day SMA ]
Comparisons of Equity Curves
Donchian Channel Strategies
Donchain Channels = Price Channels
- D200/100 = Long [ Enter if Close >= 200 Day High / Exit if Close =< 100 Day Low ]
- D100/50 = Long [ Enter if Close >= 100 Day High / Exit if Close =< 50 Day Low ]
- D50/25 = Long [ Enter if Close >= 50 Day High / Exit if Close =< 25 Day Low ]
- D20/10 = Long [ Enter if Close >= 20 Day High / Exit if Close =< 10 Day Low ]
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Nice work. Just to confirm, this uses no stop unlike your earlier Donchian channel 100/20 study?
Thanks Meyer. Correct, no stops where used in these tests, trades only taken at the breakout points.
I like the simple straight forward manner in which you present your results.
Simple quesitons: what is DVR and MAR??
What charting software did you use? Looks similar to the charts in Google Finance.
Thank you Stephen,
The DVR is the Sharpe Ratio * the R-Squared of the equity curve and MAR = CAGR/Max Drawdown.
The column charts are just excel charts and I used the Google Chart API for the others:
http://code.google.com/apis/visualization/documentation/gallery.html
Just thought i would comment and say neat theme, did you code it yourself? Looks great.
Thanks Jesusa, I created it using Artisteer, with a few modifications.
Hi Corey,
Great blog and very interesting studies. I have a more practical question though, which is what software/data are you using to develop all these backtests ?
Many Thanks, keep it the same way !
Hi Phil,
Thank you! I do all of my testing using systems I’ve built with VB in Excel. For futures data I use Norgate, I like the way they handle back-adjusting their continuous contracts. For stocks I use Yahoo Finance’s data with some VB code to adjust and align the data.
Corey
Many Thanks !