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A Conservative Long Only Strategy

March 23, 2010

Friday will be our official release day for DV Indicators for Amibroker. Expect different packages covering filters as well as oscillators and other categories to follow.  Next week on Thursday or Friday will be the official release of the DVixL Excel platform (with real-time) as well as DV Indicators Excel Plug-In (with real-time).

In the test below, we used two DV Indicators that were longer-term: the DVI which is an intermediate smooth momentum oscillator and the DVDS or Super-Smoothed Double-Stochastic as it is otherwise known. The goal was to create a simple and fairly low-risk/low maintenance long only strategy. We used a rising/falling 200sma as a trend filter. We bought when the DVDS was less than 20 indicating a near cycle bottom, and DVI was below .5 –indicating intermediate oversold conditions. The position was sold when DVI rose above .5 or if the 200sma started to fall to protect against having to be stuck in a long trade. The results below are pretty good and exposure is very low and do not include the yield on T-bills (which would improve the results). The maximum drawdown is very acceptable, and the percentage of winners are high enough to stick with the strategy. There are many ways to increase the gains per trade as well as returns without increasing risk–but I will leave that up to creative researchers to figure out.

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9 Comments leave one →
  1. Aristotle permalink
    March 23, 2010 8:26 am

    Interesting system, David. What is the percentage of time in the market vs in cash?

    Thanks

  2. March 23, 2010 9:13 am

    David, Congrats on the indicator announcements.
    One question: where will the XL ones source their real-tim data?

    • david varadi permalink*
      March 23, 2010 10:07 pm

      Hi Jez, thank you very much—and very good work on your blog. I will let you know on that answer as I will have to ask the developer.

      best
      david

  3. eber terandst permalink
    March 23, 2010 2:13 pm

    David: could you please clarify what do you mean by a falling SMA200 ? A specific comparison against X days before ? Slope ?
    Thanks
    eb

    • david varadi permalink*
      March 23, 2010 10:06 pm

      hi eber, very good question–thank you. a falling sma200 means that today’s sma value is lower than yesterday’s value. a rising sma200 means that today’s sma value is higher than yesterday’s value.

      best
      david

  4. Nick permalink
    March 24, 2010 12:15 pm

    David: did you use any position sizing in this test? or do you buy a fixed number of shares for all trades?
    Thanks!

    • david varadi permalink*
      March 24, 2010 12:22 pm

      hi nick, this is 100% all in when the setup is triggered–certainly a more variable/dynamic approach would make it better!

      cheers
      dv

  5. March 24, 2010 3:02 pm

    How many trades over the backtested period?

    • david varadi permalink*
      March 25, 2010 10:46 pm

      hi gecko, i didn’t run the test personally but i believe that are roughly 65 -80 trades or so in the backtest.

      cheers
      dv

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