Finally finished crunching the numbers for the SMA Crossover Pullback system! How did this mechanical system fare in the last three months?
Q3 2020 SMA Crossover Pullback System Performance
|Week||P/L in Pips||P/L in %|
|June 30 – July 7||-66||-0.43|
|July 14 – 21||-30||-0.20|
|July 21 – 28||+150||+1.00|
|July 28 – Aug. 4||+300||+2.00|
|Aug. 4 – 11||0||0|
|Aug. 11 – 18||-82||-0.55|
|Aug. 18 – 25||-269||-1.79|
|Aug. 25 – Sept. 1||-338||-2.25|
|Sept. 8 – 15||+91||+0.60|
|Sept. 15 – 22||-202||-1.35|
|Sept. 23 – 29||-150||-1.00|
|Sept. 29 – Oct. 6||+51||+0.34|
As you can see from the table above, the mech system was off to a rocky start as it snagged back-to-back losing weeks during the first half of July.It was able to make up for these losses and then some in the weeks that followed, as it scored a full win on Cable by the end of the month.
From there, it was another losing streak for the strategy throughout August, and the comeback in early September wasn’t that strong. A couple more weeks in the red followed before it managed to pull up with a tiny gain last week.
So did the winning weeks make up for those consecutive losses?
Unlike in the previous quarter, this mech system racked up more losses in total during Q3. The system wound up with 545 pips in losses for Q3 2020 or a 2.67% dent. Ouch!The equity curve for the quarter gives a better illustration of how the system’s returns tumbled from the high watermark in early August and failed to recover in the later weeks.
Think the strategy can still pull off a recovery in the last stretch of 2020?