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.