50 day EMA tests

[survivor]

Here are the test results for the 50 day EMA:

Stock             :KLIFpts
System           :EMA 50: Todays close included
                        {Buy when price > ema and similar sell: always in the market: No stops}
Entry Type     :100% at Signal + 0 days CLOSE
Exit Type        :Max Duration = Signal + 0 Days CLOSE
Sub-Head        :LONG + SHORT Only WITH system exits
From               :11 Sep 01
To                   :09 Sep 05
Nos trades     :53

ALL TRADES:
                             Pts               Std                Norm
Average    =         4.2              0.57 %             0.61 %
MAD         =        20.0              2.80 %             2.74 %
StDev         =        26.7              3.87 %             3.65 %
Maximum   =        90.8             14.60 %            12.90 %
Minimum    =       -29.5             -4.39 %            -4.01 %
Std Err.      =         3.7              0.53 %             0.50 %
t                   =         1.1              1.08                1.22  

Total     =       221.5
Buy&Hold  =       251.8

Winners   =         16
Avg Win   =        37.3             5.21 %             5.13 %
SDev Win  =        26.3             4.09 %             3.58 %
Max Cons. =          3

Losers    =         37
Avg Loss  =       -10.1           -1.43 %           -1.35 %
SDev Loss =        6.9           0.97 %             0.92 %
Max Cons. =         9
Max DD    =      -121.0

Conclusion:

1. more or less the same results as a Simple MA.
2. the order of the profits are similar to the brokerage and slip fees which will be paid.
3. Since the comm.+slip etc is such a large factor,use of  limit orders can be highly benificial
4. Must  test the system with limit order , the above results are for market orders.
5. Same story....Make the broker rich!
6. Who can take 9 losses in a row and not be fazed?
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Here are the results for the un-adjusted series:

Stock            : KLIFSP***UNADJUSTED***
System           : EMA 50: Todays close included - ***UNADJUSTED***
Entry Type      : 100% at Signal + 0 days CLOSE
Exit Type        : Max Duration = Signal + 0 Days CLOSE
Sub-Head        : LONG + SHORT Only WITH system exits
From             : 13 Sep 01
To                  : 12 Sep 05
Nos trades       : 65

Comm + Slip      : 2.5

Stock            :KLIFSP
System           :EMA 50: Todays close included
Entry Type       :100% at Signal + 0 days CLOSE
Exit Type        :Max Duration = Signal + 0 Days CLOSE
Sub-Head         :LONG + SHORT Only WITH system exits
From             :11 Sep 01
To               :09 Sep 05
Nos trades       :65

ALL TRADES:
                    Pts               Std                Norm
Average   =         1.4              0.24 %             0.14 %
MAD       =        18.7              2.55 %             2.48 %
StDev     =        31.5              4.60 %             4.24 %
Maximum   =       139.5             21.97 %            21.31 %
Minimum   =       -39.0             -5.09 %            -5.97 %
Std Err.  =         3.9              0.57 %             0.53 %
t         =         0.3              0.42                0.27  

Total     =        88.9
Buy&Hold  =       251.4

Winners   =         16
Avg Win   =        39.3             5.43 %             5.17 %
SDev Win  =        44.6             6.93 %             6.00 %
Max Cons. =          3

Losers    =         49
Avg Loss  =       -11.0           -1.45 %           -1.50 %
SDev Loss =         8.3           1.12 %             1.22 %
Max Cons. =        11
Max DD    =      -105.5

[Teepo]

Survivor,
Your slippage + commission cost at 2.5pt is for every single trade?  Ie, you have a 0.5pt commission and 2.0pt slippage for every buy, every sell, every short-sell and every short covering?

Is this right?

[survivor]

Hi Teepo,

The estimates for the commision and slip etc are for a round trip:

0.5 pt commision  for entry ( I have assumed the whoever trades like this is a pro and he certainly will be able to negotiate at least a RM 25 commision rate = 0.5 pt)
0.5 pt for Exit commision.
0.5 for market order at entry. (assuming the last order was a buy for long entry)
0.5 Pt for market order at the exit. (assuming the last order was a sell for long exit )
0.5 for roll overs, on average with this kind of long term trading you will be rolling over,say 1 in four trades maybe before the end of the Contract)

Total = 2.5 Pts... say

Regards