Long term MA Trailing Stop strategy 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.
Purpose: beat Buy&Hold strategy with around 10 trades. 100% capitalize sold trade into new trade.
My buy strategy is triggered by the (blue) crossing over the curve(orange).
My sell strategy is triggered by another (lime) of the close value crossing the trailing stop(green) value.
The trailing stop value(green) is set to a multiple of the ATR(15) value.
ATR(15) is the (15) value of the difference between high and low values.
Every stock has it's own "DNA", so first thing to do is find the right parameters to get the best strategy values voor , and Trailing Stop.
Then keep using these parameter for future buy/sell signals only for that particular stock.
Do the same for other stocks.
Here are the parameters:
- Exponential MA: buy trigger when crossing over the value (use values between 11-50)
- Simple MA: buy trigger when crosses over the value (use values between 20 and 200)
- Stop EMA: sell trigger when Stop of close value crosses under the trailing stop value (use values between 8 and 16)
- Trailing Stop #ATR: defines the trailing stop value as a multiple of the ATR(15) value
Example parameters for different stocks (Start capital: 1000, Order=100% of equity, Period 1/1/2005 to now):
BAR(Barco): EMA=11, SMA=82, StopEMA=12, Stop#ATR=9
Buy&HoldProfit: 45.82%, NetProfit: 294.7%, #Trades:8, %Profit:62.5%, ProfitFactor: 12.539
AAPL ( Apple ): EMA=12, SMA=45, StopEMA=12, Stop#ATR=6
Buy&HoldProfit: 2925.86%, NetProfit: 4035.92%, #Trades:10, %Profit:60%, ProfitFactor: 6.36
BEKB(Bekaert): EMA=12, SMA=42, StopEMA=12, Stop#ATR=7
Buy&HoldProfit: 81.11%, NetProfit: 521.37%, #Trades:10, %Profit:60%, ProfitFactor: 2.617
SOLB(Solvay): EMA=12, SMA=63, StopEMA=11, Stop#ATR=8
Buy&HoldProfit: 43.61%, NetProfit: 151.4%, #Trades:8, %Profit:75%, ProfitFactor: 3.794
PHIA ( Philips ): EMA=11, SMA=80, StopEMA=8, Stop#ATR=10
Buy&HoldProfit: 56.79%, NetProfit: 198.46%, #Trades:6, %Profit:83.33%, ProfitFactor: 23.07
I am very curious to see the parameters for your stocks and please make suggestions to improve this strategy.