Tuesday, August 2, 2011

Some improvements with MD2 and S&P500

Seems, the MD2 trading strategy can SOMETIMES work with S&P500, too:

Fig. MD2 strategy (2 variants) for S&P500, 1000 sessions, no commission
blue line - market
black line - strategy
important assumption: perfect asset divisibility

The results as measured by returns are still unstable, but after some modifications, they improve :)

Results for the first variant:

market   =  1345.02   -6.143497 %
strategy =  2041.307   42.44396 %


Results for the second variant:

market   =  1345.02   -6.143497 %
strategy =  2301.505   60.60075 %

Still, both the lack of stability and returns are not satisfactory.

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