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Long only MA8 strategy

Updated: 3 days ago

Trying to explain why certain edges exists and others don't, is in most cases a fruitless activity. Why is it that MA8 seems to have more relevance for the SP500 index compared to any other short MA value like 20? or 10? or 5?


It's human to want to explain why things are the way they are, but trying to explain market behaviour in detail is easier said than tone. Just accept that that is the case and built a strategy out of any edge.


Here's the simple Long only MA8 strategy for SP500


Entry condition

  1. Today's close is below MA8 and above MA200

  2. Of the last 3 days, atleast 2 of the days were negative


Exit condition

  1. Today's close is above MA8


Here's the equity chart from Aug 1990 until today

It's a smooth equity curve with long periods with no major drawdowns


Statistics (Aug 1990 - today)

  • 78.73% winrate

  • 489 trades

  • 3777 points gained

  • 430 points max drawdown

  • 23.04% time in market

  • 2.4 Gain/Loss Ratio

  • Positive returns in 32 of 35 years



I think it's worth nothing that you're getting similar returns with this strategy as a buy & hold strategy, and that is with only 23.04% time in market. Combine this swing strategy with some other strategies to leverage your capital when the strategy is not in market, and you will overachieve the index without doubt.



The ProRealTime™ code

defparam cumulateorders = false

DroppedDaysCounter = 0
FOR i = 1 TO 3 DO
	IF Close[i] < Open[i] THEN
		DroppedDaysCounter = DroppedDaysCounter + 1
	ENDIF
NEXT

IF Close > Average[200](Close) AND Close < Average[8](Close) AND DroppedDaysCounter >= 2 THEN
	BUY 1 CONTRACT AT MARKET
ENDIF

IF Close > Average[8](Close) THEN
	SELL 1 CONTRACT AT MARKET
ENDIF

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