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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