Commentary, Methodology

Moving Average Transformation Calculations

I decided to change the moving average calculation to use natural logs instead of the formula: (Weighted Price – Moving Average) / Weighted Price * 100. The returns are identical but the numbers are easier to understand with natural logs.

Once the given moving average is determined, the new formula is: WorksheetFunction.Ln(Arg1:=(WPrice) / Mx(xw) * 100). Where Mx(xw) is the simple moving average array element.

These are aggregated results as usual, so the numbers aren’t convertible to money, but bigger is better. ACC is buy and hold for the period and therefore the par number. LCC is the strategy return. All the non-trend following strategies beat buy and hold.

The trend following results are shown above.

EM13 performance has improved over the past few weeks.

With trend following, long positions are held for 1484 of the 1943 total days for m13m21 and 1462 days for em13. 4096 is the number you get if you double $1 twelve times, so one definitely can’t complain about SOXL over the approximately 8 year period. SOXL is down 0.17 on a natural log basis for September or about 15%. 267.10 was the close on 8/31 and 226.23 was the close on 9/18. The strategies only lost 5% though.

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