Here are three interesting long term moving average backtests of the tech sector ETF $XLK from January 2000 to March 2017. These are examples of long term trend following system for one asset inside the system. Traditional trend following systems are meant to have positions in multiple positions in widely correlated assets. Position sizing in each position must be set based on the expectation of maximum drawdowns in that asset.
While the internet bubble caused buy and hold investors to wait 15 years to get back to even in the tech sector as a whole, trend followers with simple moving average systems were able to double their money with much smaller drawdowns.
These results and backtests were created on ETFreplay.com and shared here with their permission.
$XLK Long Term Moving Average Backtests:
50 day/100 day SMA crossover as an end of day entry and exit signal:
January 3, 2000 – March 1, 2017: System Return +101.5% . Maximum drawdown 37%
ETF Return from the date of the first MA strategy buy: Return +22.2% Maximum drawdown 82%
200 day SMA as an end of day entry and exit signal:
January 3, 2000 – March 1, 2017: System Return +106.7% . Maximum drawdown 35.6%
ETF Return from the date of the first MA strategy buy: Return +31.1% Maximum drawdown 82%
250 day SMA as an end of day entry and exit signal:
January 3, 2000 – March 1, 2017: System Return +257.2% . Maximum drawdown 20.9%
ETF Return from the date of the first MA strategy buy: Return +35.7% Maximum drawdown 82%
