No. of Recommendations: 6
RayVt has mentioned using a different ratio of current price to moving average for the buy and sell rules to reduce whipsaws. Using GTR1, you can code a different buy and sell signal. It is discussed in GTR for Dummies. Search for "sglvne"
GTR1 has psuedo symbols for SPY (S5T) and NAS100 (N1T). I used parametrization to check varying buy and sell signals. There are two parameters, the left column is the buy value, the right column is the sell value. N!T goes back to 1972. S5T goes back to 1925 but I used 1972 as a comparison against N1T.
Using parameters in GTR1, to get the CAGR, GSD and AT (annual turnover). To see the full results, click on the variant number which will take you to a blend page and then click run backtest.
For S5T, Selling at 0.9 and buying at 1 gives CAGR = 11.2%, SAWR=7.4 and MDD -32% Base case is CAGR=11, SAWR=-54% and MDD=-54%
For N1T, selling at 0.89 and buying at 0.95 gives CAGR=14.3%, SAWR=8.4% and MDD=-50. MDD can be reduced to -38% with a reduction in CAGR to 13.4% and SAWR= 7.5% The base for N1T is CAGR=13.6,SAWR=6.2 and MDD -81%
S5T link
https://gtr1.net/2013/?s19721214h1f0.10000::Cash:n...N1T link
https://gtr1.net/2013/?s19721214h1f0.10000::Cash:n...Aussi
