Title: Simple Moving Average Strategy for Bar Analysis
Strategy description:
I am interested in testing a simple moving average strategy using bar analysis. The strategy involves using moving average, to identify buy and sell signals.
Here are the specifics of the strategy:
- The moving average will be calculated over a period of 10 bars.
- If the bar fully closed upper moving average, a buy signal will be generated on the next day. Conversely, if bar fully closed lower moving average, a sell signal will be generated on the next day.
- The strategy will be tested on daily bars of the all NYSE market over a period of 1 year, from January 1, 2022, to December 31, 2022.
- Trading will be executed at the close of the bar on which the signal is generated.
- The position size will be fixed at 1% of the portfolio value.
- Stop-loss orders will be placed at 2% below the entry price for long positions and 2% above the entry price for short positions.
- Take profit is and of the next day. (open_price – close_price)
Report:
I would like you to develop a back testing tool that can simulate trading based on this strategy and provide me with the following metrics:
Title: Back test Report – Simple Moving Average Strategy
- Total net profit
- Profit factor
- Total numbers of trades
- Percent profitable
- Winning trades
- Losing trades
- Avg. Trade net profit
- Max. winning trade
- Max. losing trade
- Max. Consecutiv winning trades
- Max. Consecutiv losing trades
- Max. drawdown
- Value
- Net Profit as % drowdawn
Test Parameters:
- Security: NYSE market
- Test Period: January 1, 2022, to December 31, 2022
- Bar Interval: Daily bars
- Position Size: 1% of portfolio value
- Stop-loss Orders: Placed at 2% below the entry price for long positions and 2% above the entry price for short positions
- Take profit is and of the next day. (open_price – close_price)
Trade Log:
- Table listing all trades executed during the test period, including entry date, exit date, position type, entry price, exit price, profit/loss, and holding period