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December 2010 Stocks and Commodities Traders Tips


Trading Indexes With the Hull Moving Average

Original article by Max Gardner
AIQ Code by Richard Denning

AIQ Version:

The AIQ code for Max Gardner’s article, “Trading Indexes with the Hull Moving Average”, is shown below. Only the indicators that are used in his system are coded as the weighted moving averages must be coded long hand.

In Figure 1, I show the results of a back test on all trades for 71 ETFs that have 10 years or more of history. The test period is from 9/29/00 to 10/13/10. On the summary report, Figure 1, the average trade is 1.58% with an 81 bar average holding period. Assuming you would trade all signals from all 71 markets, the average annual return is 7.12% compared to a loss of -1.97% per year on the S&P 500 index over this 10 year test period.

Captions:

Figure 1: Summary EDS report for the author’s system as applied to 71 ETF portfolio over the period 9/29/00 to 10/13/10.

AIQ EDS Code for Hull Moving Average:
HMA Sys1.EDS
AIQ List of ETFs:
ETF-10YR.lis
(RIGHT CLICK AND CHOOSE "SAVE AS." DO NOT LEFT CLICK OR YOUR BROWSER WILL TRY TO OPEN THE FILE.)


Traders Studio Version:

Original article by Max Gardner
Traders Studio Code by Richard Denning

The TradersStudio code for Max Gardner’s article, “Trading Indexes with the Hull Moving Average”, is shown below. The coded version that I have supplied also includes the system that was supplied by the author. I tested this system with the parameters supplied by the author on a four index futures portfolio consisting of the full-sized contracts for the Dow Jones Industrials (DJ), NASDAQ 100 (ND), S&P 500 (SP), and S&P Midcap 400 (MD) index. The resulting equity curve is shown in Figure 1. In addition, Table 1 shows the summary results by market.

Captions:

Figure 1: Consolidated equity curve for the period 12/28/2000 to 10/12/2010.

Table 1 : Summary results by market for the full-sized futures contract portfolio.

Traders Studio Code for Hull Moving Average :
Trading Hull MA Dec 2010.zip
(RIGHT CLICK AND CHOOSE "SAVE AS.")

 

 

 

 

 

 

 

 

 

 

 

 

 

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