We have a number of trading strategies available on Marwood Research and we have been tracking their performance throughout the year.

Following you will find year-to-date performance of a selection of our trading strategies. Please note that these areĀ all end-of-day, low maintenance strategies. They require very little work and investment of time and can be used as part of a diversified portfolio.

Also note that the results shown are backtested returns (not live trades) out of sample and we have applied transaction costs of $0.01 per share.

Simple MA Crossover

This is one of our oldest and simplest strategies but it continues to perform well. No margin is used here. MAR = 3.10.

ma crossover result

simple ma crossover equity simple ma crossover profit table

Unusual Volume

Unusual Volume holds trades for one week. Fair to say it is a bit temperamental and can be vastly improved with human discretion but it remains profitable. MAR = 2.66.

unusual volume result

Unusual volume equity curve Unusual volume profit table

Follow The Money

Follow The Money looks for trending, low volatile, small cap stocks. MAR = 7.27.

follow the money result

Follow the money system equity Follow the money system profit table

Bar Strength

Bar Strength has been one of our most consistent performers. Performance can be greatly enhanced through use of margin. MAR = 4.43.

bar strength system result

bar strength equity bar strength table

ETF Pullbacks

This is a classic system. It typically keeps up with buy and hold during bull markets with much tighter drawdowns in bad periods. MAR = 10.44.

ETF Pullbacks result

etf pullbacks equity curve etf pullbacks table

Flexible Strategies

It should be said that our strategies are flexible and can be implemented in different ways such as:

  • Combining the systems together to increase returns and reduce drawdowns
  • Including human discretion into the selection process ( i.e. using the system as a profitable start point)
  • Incorporating the systems into a more traditional buy-hold portfolio
  • Using our systems on different markets (for example, Simple MA Crossover shows backtest returns of 638% this year trading bitcoin).

Also note that our program includes the original source code and general tutorials on system design. To learn more please go to Marwood Research – Access All Areas.


Simulations in this article produced in Amibroker with historical data from Norgate Premium.

Disclaimer.

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