MACD With SMA Filter

I've shown in previous post that a simple trend-following system using RSI(14) that perform quite well in FKLI and FCPO but perform miserably on Light Sweet Crude Oil futures and even worst on S&P 500 index futures which represent a more mature market.

To show you how difficult it is to trade in these market especially S&P 500 using a simple trading system that uses common indicators as strategies, I've backtested S&P 500 using our earlier MACD with SMA 20/50 as filter that has performed quite well on FKLI.

That means the system will go Long when the MACD(12,26,9) line crosses above signal line AND the closing price is above SMA 20 (closed). It will turn Short only when the MACD(12,26,9) line crosses below the signal line AND the closing price is below SMA 50(closed).  Backtested period Jan 1996 - Sep 2009 (continuous front-month back-adjusted) daily data with basic 1 contract (stop-and-reverse).

Here's the performance summary:

and the equity curve (before cost) chart:

The system that perform quite well on FKLI done badly on S&P 500 index futures from Jan 1996 - Sep 2009 !  That again shows how tough it is to compete with the best of the world. 

In my next post, I'll backtest one of the best (so far) performer on FKLI which is SMA 10/50 and see if

it can successfully exploit inefficiencies in S&P 500 index futures, if there is any and if it is that easy.  We shall see.


Disclaimer: Taken from CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER OR OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.


AND

WHATEVER YOU READ HERE SHOULD BE USED AS LEARNING AIDS ONLY AND SHOULD NOT BE CONSTRUED AS INVESTMENT ADVICE. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS ARE YOUR OWN RESPONSIBILITY.