Test Results of the Profitability of New Trading Model
Test results of trading systems are analyzed to choose the model with the largest profit and least drawdown. After selecting the most profitable security, simulation tests for MA20, MA(3,20), MA(20,1%), BBZ, AMA′ and N-CAMA′ are conducted. From 2000 to 2014, the net profit after transaction costs for N-CAMA′ is very profitable at an average of $7.94 per annum. The large number of profitable trades makes N-CAMA′ look attractive. However, N-CAMA’s average gain is smaller (0.98) to average loss (−1.58). The maximum consecutive losses show that N-CAMA′ experienced the highest maximum consecutive losses of $38.10 for 16 consecutive trades from 23 December 2008 to 5 March 2009. N-CAMA′, thus requires further optimization and tuning especially in cutting losses during and after the evaluation period.
KeywordsNeural network enhanced Close and Adjustable Moving Average′ (N-CAMA′) Simulation tests Profitability Hits Maximum consecutive drawdowns
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