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 are 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.
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.
Follow The Money
Follow The Money looks for trending, low volatile, small cap stocks. MAR = 7.27.
Bar Strength has been one of our most consistent performers. Performance can be greatly enhanced through use of margin. MAR = 4.43.
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.
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.