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Dual Moving Average with much shorter time window: more volatility
Thomas Wiecki
posted

Out of curiosity I tried the original DMA with a short window of 2 days and and a long window of 10 days.

My hope was that this might be able to exploit shorter market fluctuations and generate profits earlier on (the previous one took several years until it generated profit), at the cost of higher volitatility.

As you can see, the volatility (and the max drawdown -- ouch) certainly were increased. However, the performance is pretty poor overall.

In the future it will be possible to define a range of parameters that will automatically get tested but for now those values have to be tuned by hand.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.