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| === The Buy and Hold Problem under Scrutinity === | |
| Buy and Hold Performance: 922.16% | |
| Annualized Buy and Hold Performance: 236.70% | |
| MACD strategies have a better than buy and hold annualized performance in the 99.75th percentile. | |
| it is not supported by the Efficient Market Hypothesis (EMH) that the MACD strategy outperforms the buy and hold strategy so consistently. | |
| === The Statistical Summary of the Results === | |
| Short Period Long Period Signal Period Max Drawdown Annualized Performance Calmar Ratio Annualized Performance Ratio | |
| count 62320.000000 62320.000000 62320.000000 62320.000000 62320.000000 62320.000000 62320.000000 | |
| mean 34.010270 121.472401 5.500000 0.390046 5.687208 16.023788 2.402712 | |
| std 14.286517 45.188049 2.291306 0.092928 1.476447 7.211544 0.623764 | |
| min 10.000000 40.000000 2.000000 0.205762 1.347864 2.498674 0.569441 | |
| 25% 22.000000 83.000000 3.750000 0.312647 4.739824 10.460717 2.002464 | |
| 50% 34.000000 122.000000 5.500000 0.389577 5.437782 14.079130 2.297335 | |
| 75% 46.000000 161.000000 7.250000 0.462368 6.390630 20.340150 2.699891 | |
| max 59.000000 199.000000 9.000000 0.625360 12.755202 45.607827 5.388773 | |
| === The Top 10 Results === | |
| Short Period Long Period Signal Period Max Drawdown Annualized Performance Calmar Ratio Annualized Performance Ratio | |
| 13712 20 154 2 0.319785 12.755202 39.886787 5.388773 | |
| 13688 20 151 2 0.319785 12.755202 39.886787 5.388773 | |
| 13696 20 152 2 0.319785 12.755202 39.886787 5.388773 | |
| 13704 20 153 2 0.319785 12.755202 39.886787 5.388773 | |
| 13680 20 150 2 0.319785 12.702339 39.721479 5.366440 | |
| 13672 20 149 2 0.319785 12.702339 39.721479 5.366440 | |
| 14124 21 45 6 0.390505 12.488078 31.979322 5.275920 | |
| 18456 24 107 2 0.272719 12.438118 45.607827 5.254813 | |
| 13728 20 156 2 0.319785 12.391340 38.748955 5.235050 | |
| 13720 20 155 2 0.319785 12.313579 38.505786 5.202198 | |
| === The Bottom 10 Results === | |
| Short Period Long Period Signal Period Max Drawdown Annualized Performance Calmar Ratio Annualized Performance Ratio | |
| 6400 15 40 2 0.539356 1.532099 2.840608 0.647276 | |
| 6416 15 42 2 0.539356 1.508122 2.796154 0.637146 | |
| 6424 15 43 2 0.539356 1.500024 2.781140 0.633725 | |
| 5144 14 43 2 0.539356 1.495101 2.772011 0.631645 | |
| 3872 13 44 2 0.545003 1.471760 2.700460 0.621784 | |
| 3904 13 48 2 0.554552 1.457401 2.628067 0.615718 | |
| 5136 14 42 2 0.539356 1.453142 2.694217 0.613918 | |
| 3896 13 47 2 0.554552 1.437719 2.592575 0.607402 | |
| 3880 13 45 2 0.554552 1.433686 2.585302 0.605699 | |
| 2560 12 40 2 0.539432 1.347864 2.498674 0.569441 | |
| === Correlation between the === MACD parameters and the Annualized Performance Ratio === | |
| Short Period Long Period Signal Period Max Drawdown Annualized Performance Calmar Ratio Annualized Performance Ratio | |
| Short Period 1.000000e+00 5.651580e-02 -9.287578e-15 0.578432 -0.371073 -0.517992 -0.371073 | |
| Long Period 5.651580e-02 1.000000e+00 -3.355252e-15 0.229713 -0.163754 -0.183171 -0.163754 | |
| Signal Period -9.287578e-15 -3.355252e-15 1.000000e+00 -0.163682 -0.190587 -0.060029 -0.190587 | |
| Max Drawdown 5.784323e-01 2.297130e-01 -1.636824e-01 1.000000 -0.535165 -0.839822 -0.535165 | |
| Annualized Performance -3.710726e-01 -1.637541e-01 -1.905871e-01 -0.535165 1.000000 0.863119 1.000000 | |
| Calmar Ratio -5.179917e-01 -1.831711e-01 -6.002950e-02 -0.839822 0.863119 1.000000 0.863119 | |
| Annualized Performance Ratio -3.710726e-01 -1.637541e-01 -1.905871e-01 -0.535165 1.000000 0.863119 1.000000 |
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