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 and run permutations, would the results improve with different parameter sets?
I ran 112 permutations with the fast average ranging from 30 to 100 in steps of 10 and the slow moving average ranging from 120 to 250 in steps of 10.
Next I plotted the slow average against the fast average and then used Net Profit as the third axis. This yielded an optimization space that is depicted below:
Below is the optimization space based on the Pessimistic Return on Margin objective function. Notice that the 50/200 cross stands atop a lonely hill that represents a local maxima, but not the global maxima.