{"id":2099513,"date":"2019-02-11T10:21:31","date_gmt":"2019-02-11T04:51:31","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2099513"},"modified":"2019-02-12T10:57:05","modified_gmt":"2019-02-12T05:27:05","slug":"sma-strategies-part-ii","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2019\/02\/11\/sma-strategies-part-ii\/","title":{"rendered":"SMA Strategies, Part II"},"content":{"rendered":"

In Part I<\/a> we saw how a simple tactical strategy that can be implemented by ETfs out-performs an actively managed mutual fund even after transaction costs. However, there are more than a million ways to implement an SMA strategy. Everything from picking the lookback period, cross-overs and enveloping are all open questions. There is no single “best” way to do it. Here, we add a simple check that makes sure that the SMA is trending higher<\/em> before going long.<\/p>\n

Quite simply, for an N-day SMA, we compare Nth<\/sup>-day to N\/2th<\/sup>-day. If it is higher, then we go long. <\/p>\n

Cumulative returns<\/h3>\n

NIFTY 50<\/h4>\n

\"NIFTY%2050\"<\/a><\/p>\n

NIFTY MIDCAP 100<\/h4>\n

\"NIFTY%20MIDCAP%20100\"<\/a><\/p>\n

NIFTY SMLCAP 100<\/h4>\n

\"NIFTY%20SMLCAP%20100\"<\/a><\/p>\n

Take-away<\/h3>\n

The gross returns are lower than the “raw” strategy that we saw in Part I<\/a>. However, the drawdowns for the 10-day SMA are a lot shallower. Shallower drawdowns allow a bit of leverage to be employed. This could be a good starting point for a NIFTY futures trading strategy.<\/p>\n

In Part III<\/a>, we look at how cross-over strategies perform.<\/p>\n

Code and charts are on github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

In Part I we saw how a simple tactical strategy that can be implemented by ETfs out-performs an actively managed mutual fund even after transaction costs. However, there are more than a million ways to implement an SMA strategy. Everything from picking the lookback period, cross-overs and enveloping are all open questions. There is no … <\/p>\n","protected":false},"author":2,"featured_media":2091073,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3963],"class_list":["post-2099513","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-sma","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2099513","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2099513"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2099513\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091073"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2099513"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2099513"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2099513"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}