Double Exponential Moving Average Crossover - Backtesting DAX

Now lets test the american S&P500 index with the exponential moving average double crossover method. Again 3750 days of data, and timewindows of 1 to 1000. In figure 1 you see the 3D results of the yields for each EMA pair, figure 2 shows the 2D topview.


				
					Fig. 1: exponential average Pair Performance for the S&P500

Fig. 1: exponential average Pair Performance for the S&P500


				
					Fig. 2: EMA Pair Performance (Topview)

Fig. 2: EMA Pair Performance (Topview)

It is interesting that this backtest yield map is even smoother than the exponential moving average on the DAX one. There are just a few big waves, and like no turbulences in this backtest. The highest annual yield is 16.23% produced by the pair 125 /120, the buy & hold strategy only delivers 6.5%. The ‘golden triangle’ region with the best results is very clear and homogeneous and good results can even be found in the long combinations. Benchmark with Buy & Hold on trading the S&P500

So how does the yield map look if you take the buy and hold performance as benchmark.


				
					Fig. 3: EMA Pair Performance bigger then Buy & Hold

Fig. 3: EMA Pair Performance bigger then Buy & Hold


				
					Fig. 4: EMA Pair Performance bigger then Buy & Hold (Topview)

Fig. 4: EMA Pair Performance bigger then Buy & Hold (Topview)

You see the clear triangle shape and at the spike the little golden triangle with the highest yields for this backtest. In fig. 5 you see the 3D view of the small triangle, you can clearly see the seperate waves.


				
					Fig. 5: EMA Pair Performance (Topview)

Fig. 5: EMA Pair Performance (Topview)


				
					Fig. 6: EMA Performance and SP500 Performance

Fig. 6: EMA Performance and SP500 Performance

The performance progession in this backtest can be seen in figure 6 together with the buy and hold performance. The exponential average nearly perfectly times the ext at day 2250, and at day 500 and reaches so a good outperformance.


				
					Fig. 7: EMA and SP500 curve

Fig. 7: EMA and SP500 curve

You can see the curves of the two exponential moving averages in fig. 7 together with the S&P500. Optimal exponential moving averages against yield underperformance on trading the S&P500

The daily average underperformance compared to the SP500 performance index is visible in fig. 8 and 9. The under performance very homogeneous in its structure, there is a very strong region at the little timewindowsand one at the little timewindows. The upper part of the golden triangle is nearly affected.


				
					Fig. 8: exponential moving average Pair Performance for the DAX

Fig. 8: exponential moving average Pair Performance for the DAX


				
					Fig. 9: EMA Pair Performance (Topview)

Fig. 9: EMA Pair Performance (Topview)