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200 Day Moving Average with the NASDAQ composite Index
The 200 day moving average is not a good indicator of the strength of the NASDAQ composite index. As you can see in the chart and table below, contrary to the talking heads you see on business channels, when the NASDAQ composite crosses the 200 day moving average, the indicator lags price action by so much, that it's buy and sell signals are nearly useless:
| |
Long + Short |
Long Only |
Short Only |
Buy & Hold |
|
Starting Capital |
$100,000.00 |
$100,000.00 |
$100,000.00 |
$100,000.00 |
|
Ending Capital |
$227,852.21 |
$257,767.70 |
$70,084.51 |
$1,660,988.75 |
|
Net Profit |
$127,852.21 |
$157,767.70 |
($29,915.49) |
$1,560,988.75 |
|
Net Profit % |
127.85% |
157.77% |
-29.92% |
1560.99% |
|
Annualized Gain % |
2.98% |
3.43% |
-1.26% |
10.52% |
|
Exposure |
59.73% |
26.66% |
66.02% |
100.00% |
| |
|
|
|
|
|
Number of Trades |
106 |
40 |
66 |
1 |
|
Avg Profit/Loss |
$1,206.15 |
$3,944.19 |
($453.26) |
$1,560,988.75 |
|
Avg Profit/Loss % |
1.14% |
2.93% |
0.06% |
1571.56% |
|
Avg Bars Held |
37.98 |
45.13 |
33.65 |
7,082.00 |
| |
|
|
|
|
|
Winning Trades |
28 |
16 |
12 |
1 |
|
Winning % |
26.42% |
40.00% |
18.18% |
100.00% |
|
Gross Profit |
$417,789.85 |
$221,548.35 |
$196,241.50 |
$1,560,988.75 |
|
Avg Profit |
$14,921.07 |
$13,846.77 |
$16,353.46 |
$1,560,988.75 |
|
Avg Profit % |
9.71% |
9.24% |
10.33% |
1571.56% |
|
Avg Bars Held |
111.43 |
108.38 |
115.5 |
7,082.00 |
|
Max Consecutive |
5 |
3 |
3 |
N/A |
| |
|
|
|
|
|
Losing Trades |
78 |
24 |
54 |
0 |
|
Losing % |
73.58% |
60.00% |
81.82% |
0.00% |
|
Gross Loss |
($289,937.64) |
($63,780.65) |
($226,156.99) |
$0.00 |
|
Avg Loss |
($3,717.15) |
($2,657.53) |
($4,188.09) |
$0.00 |
|
Avg Loss % |
-1.93% |
-1.28% |
-2.22% |
0.00% |
|
Avg Bars Held |
11.62 |
2.96 |
15.46 |
0 |
|
Max Consecutive |
12 |
5 |
21 |
N/A |
| |
|
|
|
|
|
Max Drawdown |
($149,923.42) |
($77,957.17) |
($154,241.03) |
($2,813,174.75) |
|
Max Drawdown % |
-51.66% |
-25.47% |
-108.24% |
-77.92% |
|
Max Drawdown Date |
8/24/2000 |
4/14/2005 |
8/24/2000 |
10/9/2002 |
| |
|
|
|
|
|
Profit Factor |
1.44 |
3.47 |
0.87 |
INF |
|
Recovery Factor |
0.85 |
2.02 |
0.19 |
0.55 |
|
Payoff Ratio |
5.02 |
7.24 |
4.64 |
INF |
|
Sharpe Ratio |
0.28 |
0.47 |
-0.16 |
0.57 |
|
Ulcer Index |
21.11 |
15.71 |
42.08 |
32.44 |
|
Wealth-Lab Error Term |
9.44 |
9.21 |
39.94 |
15.29 |
|
Wealth-Lab Reward Ratio |
0.32 |
0.37 |
-0.03 |
0.69 |
|
Luck Coefficient |
5.64 |
5.92 |
4.84 |
1 |
|
Pessimistic Rate of Return |
1.31 |
3.01 |
0.65 |
0 |
|
Equity Drop Ratio |
2.02 |
1.03 |
0 |
0.53 |
|
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