Catallactic Analysis

Posts Tagged ‘trend’

Trend Trading: Nasdaq 100

February 17th, 2010 |

Author: Corey Rittenhouse

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 ]

view Motion Chart on separate page

Posted in Strategy Tests |

Tags: donchian channels, moving averages, nasdaq 100, trend |

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