Moving Average Price Crossing Trading Strategy: ES Shorter Term Swing Trade

Applying the Moving Average Price Crossing strategy on the ES with 60 Minute Candles

Moving Average Price Crossover System: Market Index (ES)

Trade Entry/Exit Rules

Stop Settings:
No Stop Used

Limit Settings:
No Limit (target) Used

Buy Trigger(s):
New Close Above Moving Average

Sell Trigger(s):
New Close Below Moving Average

LONG Entry Results: Swing Trade (shorter term)


Simulation Setting
Asset Type Futures
Symbol @ES
Start Date 11/11/1997
End Date 08/01/2017
Trading Session Time 930EST to 1610EST
Trading Application Swing Trade (shorter term)
Candle Size 60.00 Minutes
Direction Long
Moving Average Type EMA
Moving Average Length 110
Performance Metric
Profit Factor 1.34
Net Profit ($) $63635.00
Gross Profit ($) $251000.00
Gross Loss ($) $-187365.00
Total Trades 793
Average Gain/Trade $80.25 Per Trade
Percent Profitable 27.11%
Maximum Drawdown $-15202.50

Trading Strategy Analysis


This application shows much more promise than some of the others analyzed using the Moving Average Price Crossover strategy. A few metrics stick out as positives. First, there are a larger number of trades. Second, the profit factor is good enough. Third, the average gain per trade is better. The only issue on a first pass with this strategy is that the Maximum Drawdown is still fairly large. It should be noted however, that it is still better than the Buy & Hold version of this strategy – meaning this setup outperforms the market.

Of all the combinations examined using this strategy – the Shorter Term Swing Trade (market index: ES) is the best case.