Recruitment of participants MACD (Histogram) Trading Strategy (SPY, QQQ, XLP, TLT)

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    Strategy 40: MACD (Histogram) Trading Strategy
    (SPY, QQQ, XLP, TLT)


    A short-term trading strategy that is based on the MACD indicator. The strategy works on a wide range of markets.

    Facts and figures (QQQ – Nasdaq 100):

    • No. of trades: 112
    • Average unleveraged gain per trade: 1.4% (2.1% for winners and -1.9% for losers)
    • Win ratio: 81%
    • Profit factor: 5.1
    • CAGR: 6.4% (assuming no leverage)
    • Exposure/time in the market: 6%
    • Risk-adjusted return: 111% (CAGR divided by time spent in the market (0.16))
    • Max. drawdown: -20%
    The equity curve (log scale):

    [​IMG]