http://catallacticanalysis.com Thu, 18 Feb 2010 13:03:12 +0000 en hourly 1 http://wordpress.org/?v=3.0.1 http://feedproxy.google.com/~r/CatallacticAnalysis/~3/LyPIDXh1s5E/ http://catallacticanalysis.com/strategytests/trend-trading-nasdaq-100/#comments Wed, 17 Feb 2010 18:26:12 +0000 Corey Rittenhouse http://catallacticanalysis.com/?p=150 <h5>Methodolgy</h5> <ul><b>Stocks Traded</b> <li>Only the stocks that make up the <a href="http://finance.yahoo.com/q/cp?s=^NDX">current Nasdaq 100</a> were used in these tests, so there is definitely some survivorship bias in the results. Split and dividend adjusted data from Yahoo Finance was used.</li> <li>Buy and Hold <a href="http://finance.yahoo.com/echarts?s=^NDX#chart1:symbol=^ndx;range=my;indicator=volume;charttype=line;crosshair=on;ohlcvalues=0;logscale=on;source=undefined">^NDX</a> used for comparisons</li> </ul> <ul><b>Date Range of Testing</b> <li>March 12, 1998 to February 11, 2010 [ 3000 Trade Days ]</li> </ul> <ul><b>Position Sizing</b> <li>Each stock is given 1% allocation of Equity at time of entry</li> </ul> <ul><b>Trading</b> <li>All trading is done at close using the signal for that day</li> </ul> <ul><b>Trading Frictions</b> <li>Commission of .025% per trade</li> <li>Slippage of .05% per trade<p><i>Total round trip friction of .15% of share price</i></p></li> </ul> <h3>Simple Moving Average Strategies</h3> <div style="padding-left:50px;"><b>SMA</b> = <a href="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages">Simple Moving Average</a></div> <ul style="padding-left:50px;" > <li><b>SMA200 </b> = Long [ Enter if Close > 200 Day SMA / Exit if Close < 200 Day SMA ]</li> <li><b>SMA100 </b> = Long [ Enter if Close > 100 Day SMA / Exit if Close < 100 Day SMA ]</li> <li><b>SMA50 </b> = Long [ Enter if Close > 50 Day SMA / Exit if Close < 50 Day SMA ]</li> <li><b>SMA20 </b> = Long [ Enter if Close > 20 Day SMA / Exit if Close < 20 Day SMA ]</li> </ul> <div style="text-align:center;"><img src="http://www.catallacticanalysis.com/charts/Nasdaq100_TrendMA_1.png" /></div> <h3><a href="http://catallacticanalysis.com/charts/Nasdaq100_TrendComp_1.html">view Motion Chart on separate page</a></h3> <a href="http://catallacticanalysis.com/strategytests/trend-trading-nasdaq-100/">read the rest....</a><img src="http://feeds.feedburner.com/~r/CatallacticAnalysis/~4/LyPIDXh1s5E" height="1" width="1"/> http://catallacticanalysis.com/strategytests/trend-trading-nasdaq-100/feed/ 9 http://catallacticanalysis.com/strategytests/trend-trading-nasdaq-100/