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SPX and 10yr Treasury System

Posted: Thu Aug 09, 2012 4:51 am
by adamant
Disclaimer: I am an amateur in the systematic trading world. As such, the contents of this post may seem ridiculous to the professional.


This is a simple system consisting of Levi F's DeMark fader and a Dual Moving average combination. The system components trade bonds and spx futures only. It uses large position sizes for both systems.

The two markets are chosen because of their low correlation (at least in recent history).

The DeMark fader is long/short with a fairly tight stop, while the dual moving average system is long only with a very wide stop.

The results look decent enough. Nothing spectacular, but realistic perhaps.

Any feedback is appreciated.

2 x leverage improves the results markedly and takes the results to a CAGR of 21,85%, Max DD of 32,3% and and a MAR of 0,68.