{"id":40890401,"date":"2024-01-08T11:16:56","date_gmt":"2024-01-08T05:46:56","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890401"},"modified":"2024-01-08T11:16:56","modified_gmt":"2024-01-08T05:46:56","slug":"rolling-mads","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/01\/08\/rolling-mads\/","title":{"rendered":"Rolling MADs"},"content":{"rendered":"\n<p>Our previous posts introduced portfolios based on Moving Average Distance (<a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2023\/12\/20\/mad-moving-average-distance\/\" target=\"_blank\">Part 1<\/a>, <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2023\/12\/31\/multiple-mads\/\" target=\"_blank\">Part 2<\/a>). To answer questions regarding the stability of the moving average lookbacks, we ran a rolling window, picked the &#8220;best&#8221; MA lookbacks and walked the portfolio forward by a month. We expanded the window through 12 to 60 months in 12 month increments. <\/p>\n\n\n\n<p>Turns out, most of them fall within the 20\/200 region.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/technical\/MAD-trend\/mad-rolling.lb-fmt.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>The data-mined parameters create portfolios that perform on par with the 21\/200 used in the paper. While we are always skeptical about magical parameters that make the research work, at least in this case, the magic is not too far fetched.<\/p>\n\n\n\n<p>You can follow along the live version of the original strategy here:\u00a0<a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/theme-eq\/3BD48C76-BE52-4158-84FA-2C22355AEC22\" target=\"_blank\">MAD 21\/200<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Our previous posts introduced portfolios based on Moving Average Distance (Part 1, Part 2). To answer questions regarding the stability of the moving average lookbacks, we ran a rolling window, picked the &#8220;best&#8221; MA lookbacks and walked the portfolio forward by a month. We expanded the window through 12 to 60 months in 12 month &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491,3793],"class_list":["post-40890401","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-momentum","tag-trend-following","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890401","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=40890401"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890401\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890401"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890401"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890401"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}