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200 Day Moving Average with the Dow Industrial Average
The 200 day moving average is widely reported on when the Dow Jones Industrial Average crosses above or below this benchmark indicator. As you can see from the data and chart below, this measure of market strength has been right about one time in eight over the last 18 years:
| |
Long + Short |
Long Only |
Short Only |
Buy & Hold |
|
Starting Capital |
$100,000.00 |
$100,000.00 |
$100,000.00 |
$100,000.00 |
|
Ending Capital |
$77,395.58 |
$161,690.12 |
$15,705.46 |
$432,892.00 |
|
Net Profit |
($22,604.42) |
$61,690.12 |
($84,294.54) |
$332,892.00 |
|
Net Profit % |
-22.60% |
61.69% |
-84.29% |
332.89% |
|
Annualized Gain % |
-1.39% |
2.66% |
-9.63% |
8.34% |
|
Exposure |
82.33% |
44.57% |
35.75% |
100.00% |
| |
|
|
|
|
|
Number of Trades |
176 |
87 |
89 |
1 |
|
Avg Profit/Loss |
($128.43) |
$709.08 |
($947.13) |
$332,892.00 |
|
Avg Profit/Loss % |
-0.10% |
0.70% |
-0.88% |
337.97% |
|
Avg Bars Held |
22.78 |
33.76 |
12.06 |
4,610.00 |
| |
|
|
|
|
|
Winning Trades |
22 |
15 |
7 |
1 |
|
Winning % |
12.50% |
17.24% |
7.87% |
100.00% |
|
Gross Profit |
$142,890.57 |
$126,174.89 |
$16,715.67 |
$332,892.00 |
|
Avg Profit |
$6,495.03 |
$8,411.66 |
$2,387.95 |
$332,892.00 |
|
Avg Profit % |
7.12% |
8.83% |
3.46% |
337.97% |
|
Avg Bars Held |
126.59 |
155.93 |
63.71 |
4,610.00 |
|
Max Consecutive |
3 |
3 |
1 |
N/A |
| |
|
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|
|
Losing Trades |
154 |
72 |
82 |
0 |
|
Losing % |
87.50% |
82.76% |
92.13% |
0.00% |
|
Gross Loss |
($165,494.98) |
($64,484.77) |
($101,010.21) |
$0.00 |
|
Avg Loss |
($1,074.64) |
($895.62) |
($1,231.83) |
$0.00 |
|
Avg Loss % |
-1.13% |
-0.99% |
-1.25% |
0.00% |
|
Avg Bars Held |
7.95 |
8.31 |
7.65 |
0 |
|
Max Consecutive |
40 |
34 |
51 |
N/A |
| |
|
|
|
|
|
Max Drawdown |
($95,459.02) |
($58,487.64) |
($92,606.42) |
($155,285.55) |
|
Max Drawdown % |
-58.54% |
-28.90% |
-89.36% |
-37.71% |
|
Max Drawdown Date |
6/5/2002 |
5/1/2003 |
12/24/2007 |
10/9/2002 |
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|
Profit Factor |
0.86 |
1.96 |
0.17 |
INF |
|
Recovery Factor |
0.24 |
1.05 |
0.91 |
2.14 |
|
Payoff Ratio |
6.31 |
8.9 |
2.78 |
INF |
|
Sharpe Ratio |
-0.06 |
0.41 |
-0.42 |
0.68 |
|
Ulcer Index |
34.17 |
15.42 |
54.21 |
10.27 |
|
Luck Coefficient |
5.41 |
4.36 |
3.56 |
1 |
|
Pessimistic Rate of Return |
0.66 |
1.23 |
0.13 |
0 |
|
Equity Drop Ratio |
-4.66 |
2.31 |
-0.79 |
0.6 |
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