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Recruitment of participants Golden Cross Trading Strategy

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 62: Golden Cross Trading Strategy

    The Golden Cross indicator is a trend-following that has worked (historically) on many assets.

    Performance metrics (S&P 500):
    • No. of trades: 33
    • Average unleveraged gain per trade: 14.9% (21.2% for winners and -4.8% for losers)
    • Win ratio: 75%
    • Profit factor: 8
    • CAGR: 6.5% (assuming no leverage and no dividends)
    • Exposure/time in the market: 69%
    • Risk-adjusted return: 9.5% (CAGR divided by time spent in the market (0.69))
    • Max. drawdown: -33%
    The equity curve (log scale):

    [​IMG]
     
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