XPloRR MA-Trailing-Stop Strategy on Apple(AAPL) beats Buy&Hold
Long term MA-Trailing-Stop strategy with Adjustable Signal Strength to beat Buy&Hold strategy
None of the strategies that I tested can beat the long term Buy&Hold strategy. That's the reason why I wrote this strategy (link see below).
Purpose: beat Buy&Hold strategy with around 10 trades over a period of 10 years (average of 1 trade/year). 100% capitalize sold trade into new trade.
My buy strategy is triggered by the fast buy EMA (blue) crossing over the slow buy SMA curve (orange) and the fast buy EMA has a certain up strength.
My sell strategy is triggered by either one of these conditions:
The trailing stop value (green) is set to a multiple of the ATR(15) value.
ATR(15) is the SMA(15) value of the difference between the high and low values.
The script shows a lot of graphical information:
How to use this strategy?
Every stock has it's own "DNA", so first thing to do is tune the right parameters to get the best strategy values voor EMA , SMA, Strength for both buy and sell and the Trailing Stop (#ATR).
Look in the strategy tester overview to optimize the values Percent Profitable and Net Profit (using the strategy settings icon, you can increase/decrease the parameters)
Then keep using these parameters for future buy/sell signals only for that particular stock.
Do the same for other stocks.
Important: optimizing these parameters is no guarantee for future winning trades!
Here are the parameters:
Example for Apple (AAPL) (Start capital: 1000, Order=100% of equity, Period 1/1/2005 to now) compared to the Buy&Hold Strategy(=do nothing):
Result: 2.3 times better than Buy&Hold strategy
None of the strategies that I tested can beat the long term Buy&Hold strategy. That's the reason why I wrote this strategy (link see below).
Purpose: beat Buy&Hold strategy with around 10 trades over a period of 10 years (average of 1 trade/year). 100% capitalize sold trade into new trade.
My buy strategy is triggered by the fast buy EMA (blue) crossing over the slow buy SMA curve (orange) and the fast buy EMA has a certain up strength.
My sell strategy is triggered by either one of these conditions:
- the EMA(6) of the close value is crossing under the trailing stop value (green) or
- the fast sell EMA (navy) is crossing under the slow sell SMA curve (red) and the fast sell EMA has a certain down strength.
The trailing stop value (green) is set to a multiple of the ATR(15) value.
ATR(15) is the SMA(15) value of the difference between the high and low values.
The script shows a lot of graphical information:
- One green area represents one trade
- The close value is shown in light-green. When the close value is lower then the buy value, the close value is shown in light-red. This way it is possible to evaluate the virtual losses during the trade.
- the trailing stop value is shown in dark-green. When the sell value at the end of the trade is lower then the buy value, the last color of the trade will be red (best viewed when zoomed)
- the EMA and SMA values for both buy and sell signals are shown as a line
- the buy and sell(close) signals are labeled in blue
How to use this strategy?
Every stock has it's own "DNA", so first thing to do is tune the right parameters to get the best strategy values voor EMA , SMA, Strength for both buy and sell and the Trailing Stop (#ATR).
Look in the strategy tester overview to optimize the values Percent Profitable and Net Profit (using the strategy settings icon, you can increase/decrease the parameters)
Then keep using these parameters for future buy/sell signals only for that particular stock.
Do the same for other stocks.
Important: optimizing these parameters is no guarantee for future winning trades!
Here are the parameters:
- Fast EMA Buy: buy trigger when Fast EMA Buy crosses over the Slow SMA Buy value (use values between 10-20)
- Slow SMA Buy: buy trigger when Fast EMA Buy crosses over the Slow SMA Buy value (use values between 30-100)
- Minimum Buy Strength: minimum upward trend value of the Fast SMA Buy value (directional coefficient)(use values between 0-120)
- Fast EMA Sell: sell trigger when Fast EMA Sell crosses under the Slow SMA Sell value (use values between 10-20)
- Slow SMA Sell: sell trigger when Fast EMA Sell crosses under the Slow SMA Sell value (use values between 30-100)
- Minimum Sell Strength: minimum downward trend value of the Fast SMA Sell value (directional coefficient)(use values between 0-120)
- Trailing Stop (#ATR): the trailing stop value as a multiple of the ATR(15) value (use values between 2-20)
Example for Apple (AAPL) (Start capital: 1000, Order=100% of equity, Period 1/1/2005 to now) compared to the Buy&Hold Strategy(=do nothing):
- Fast EMA Buy=12
- Slow SMA Buy=45
- Minimum Buy Strength=40
- Fast EMA Sell=19
- Slow SMA Sell=45
- Minimum Sell Strength=106
- Trailing Stop (#ATR)=8
Result: 2.3 times better than Buy&Hold strategy
- NetProfit: 6900%
- #Trades: 7
- %Profitable: 71%
- Buy&HoldProfit: 2938%
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