Month: June 2009

After running a single backtest on the 50/200 cross for ES futures going back 25 years, we found that the maximum drawdown for the system was $81,425. This is an intraday drawdown that the historical simulation experienced. But what if by some wild chance, history does not repeat itself and the trade sequence in the …

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If someone were to buy and sell ES futures over the last 25 years based on the 50-day simple moving average crossing over the 200-day moving average, what kind of results would they get? Below is a table that represents the statistics of this simple trade: Now if we were to optimize the parameter set …

Continue reading “50/200 cross in SP Futures”