Post #840 by mi4me on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Craig,

Unfortunately, those results are based on computing the ema at close and trading at close on the same day, so probably not very realistic (the results for monthly trading might be a little more realistic).

I also used the NHNL data, using the same dates and approach:

1x leverage (the CAGR is no better than B&H (11%), though the DD is better (78%)):
CAGR: 10%
Max DD: 54%

2x (given that B&H has 78% DD, this appears to be a reasonable alternative to that):
CAGR: 20%
Max DD: 82%

Maybe I'll examine the results using opening prices, but I'm not sure these results are enticing enough to warrant the time.

-Jim

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