SMA 10/50 On S&P 500 Index Futures

As promised, I've backtested the S&P 500 index futures from Jan 1996 until Sep 2009 (continuous front-month daily data) using the simple SMA 10/50 crossover that performed quite well on our FKLI.  It is a stop-and-reverse system trading 1 contract. 

Here's the performance summary:

and here's the equity curve (before cost) chart:

Ouch!  Losing money again!  Although not as bad as the RSI 55/45 or MACD with SMA 20/50 filter that we have tested, but still not good.  From here we can also see how fast the best of the world smell opportunity and how quickly they take advantage of it. 

As more and more people compete against each other to grab the money, the opportunity disappear quickly.  Therefore, a good trading system will eventually degrade and breaks overtime!  If you want to trade in those market and hope to make money long term, you must at least have a strategy to constantly monitor and detect any leaks in your trading rules.  And of course if possible, deploy a self-adaptive system that has some form of artificial intelligence (AI).  If that is too much for you, don't be afraid, I'll show you a more simple way of doing the detection in my future postings.

I hope by now you would at least start to appreciate if you or someone you hire could make a return of 8% annually instead of constantly looking for 100% or even 500% compound annual return over a long period of time that is highly unlikely.  You should have a certain amount of skepticism when someone is trying to sell you a system that has a very high level of return consistantly.

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.