401k Market Timing SPX Strategy for ThinkorSwim

C

conceptcar3

New member
Hey everyone, I made a strategy that times the SPX market, it has outperformed the SPX since 1928 and with less drawdown (risk) than buy and hold. Here is the strategy for you to check out. hope you enjoy. The method is rather simple, merely buy the SPX approximately 60 trading days (approximately 3 months, exact numbers can be seen in the source code below) after the 1 period moving average crosses over the 200 period EMA. the same goes for shorting it, this is a long short strategy.

Any feedback or thoughts appreciated! The code is very sloppy but it was the only way I could figure out how to do it. Make sure you are on a daily SPX chart. Also, very importantly, I use the strategies stoplosslx and stoplosssx to implement stop losses on each trade of the strategy, 6 percent on stoplosssx and 12 percent on stoplosslx. Enjoy!


Here is the code

Code:
#longtermspxstrategy

input price = close;
input fastLength = 1;
input slowLength = 200;
input averageType = AverageType.EXPONENTIAL;

plot FastMA = MovingAverage(averageType, price, fastLength);
plot SlowMA = MovingAverage(averageType, price, slowLength);
FastMA.SetDefaultColor(GetColor(1));
SlowMA.SetDefaultColor(GetColor(2));
def bullishsignal = fastma > slowma and fastma[1] > slowma[1] and fastma[2] > slowma[2] and fastma[3] > slowma[3] and fastma[4] > slowma[4] and fastma[5] > slowma[5] and fastma[6] > slowma[6] and fastma[7] > slowma[7] and fastma[8] > slowma[8] and fastma[9] > slowma[9] and fastma[10] > slowma[10] and fastma[11] > slowma[11] and fastma[12] > slowma[12] and fastma[13] > slowma[13] and fastma[14] > slowma[14] and fastma[15] > slowma[15] and fastma[16] > slowma[16] and fastma[17] > slowma[17] and fastma[18] > slowma[18] and fastma[19] > slowma[19] and fastma[20] > slowma[20] and fastma[21] > slowma[21] and fastma[22] > slowma[22] and fastma[23] > slowma[23] and fastma[24] > slowma[24] and fastma[25] > slowma[25] and fastma[26] > slowma[26] and fastma[27] > slowma[27] and fastma[28] > slowma[28] and fastma[29] > slowma[29] and fastma[30] > slowma[30] and fastma[31] > slowma[31] and fastma[32] > slowma[32] and fastma[33] > slowma[33] and fastma[34] > slowma[34] and fastma[35] > slowma[35] and fastma[36] > slowma[36] and fastma[37] > slowma[37] and fastma[38] > slowma[38] and fastma[39] > slowma[39] and fastma[40] > slowma[40] and fastma[41] > slowma[41] and fastma[42] > slowma[42] and fastma[43] > slowma[43] and fastma[44] > slowma[44] and fastma[45] > slowma[45] and fastma[46] > slowma[46] and fastma[47] > slowma[47] and fastma[48] > slowma[48] and fastma[49] > slowma[49] and fastma[50] > slowma[50] and fastma[51] > slowma[51] and fastma[52] > slowma[52] and fastma[53] > slowma[53] and fastma[54] > slowma[54] and fastma[55] > slowma[55] and fastma[56] > slowma[56] and fastma[57] < slowma[57];
def bearishsignal = fastma < slowma and fastma[1] < slowma[1] and fastma[2] < slowma[2] and fastma[3] < slowma[3] and fastma[4] < slowma[4] and fastma[5] < slowma[5] and fastma[6] < slowma[6] and fastma[7] < slowma[7] and fastma[8] < slowma[8] and fastma[9] < slowma[9] and fastma[10] < slowma[10] and fastma[11] < slowma[11] and fastma[12] < slowma[12] and fastma[13] < slowma[13] and fastma[14] < slowma[14] and fastma[15] < slowma[15] and fastma[16] < slowma[16] and fastma[17] < slowma[17] and fastma[18] < slowma[18] and fastma[19] < slowma[19] and fastma[20] < slowma[20] and fastma[21] < slowma[21] and fastma[22] < slowma[22] and fastma[23] < slowma[23] and fastma[24] < slowma[24] and fastma[25] < slowma[25] and fastma[26] < slowma[26] and fastma[27] < slowma[27] and fastma[28] < slowma[28] and fastma[29] < slowma[29] and fastma[30] < slowma[30] and fastma[31] < slowma[31] and fastma[32] < slowma[32] and fastma[33] < slowma[33] and fastma[34] < slowma[34] and fastma[35] < slowma[35] and fastma[36] < slowma[36] and fastma[37] < slowma[37] and fastma[38] < slowma[38] and fastma[39] < slowma[39] and fastma[40] < slowma[40] and fastma[41] < slowma[41] and fastma[42] < slowma[42] and fastma[43] < slowma[43] and fastma[44] < slowma[44] and fastma[45] < slowma[45] and fastma[46] < slowma[46] and fastma[47] < slowma[47] and fastma[48] < slowma[48] and fastma[49] < slowma[49] and fastma[50] < slowma[50] and fastma[51] < slowma[51] and fastma[52] < slowma[52] and fastma[53] < slowma[53] and fastma[54] < slowma[54] and fastma[55] < slowma[55] and fastma[56] < slowma[56] and fastma[57] < slowma[57] and fastma[58] < slowma[58] and fastma[59] < slowma[59] and fastma[60] < slowma[60] and fastma[61] < slowma[61] and fastma[62] < slowma[62] and fastma[63] > slowma[63];
def buy = bullishsignal;
def sell = bearishsignal;
AddOrder(OrderType.buy_auto, buy, open[-1], 1, Color.ORANGE, Color.ORANGE, "buy" + open[-1]);

AddOrder(OrderType.sell_auto, sell, open[-1], 1, Color.ORANGE, Color.ORANGE, "sell" + open[-1]);
 
BenTen

BenTen

Administrative
Staff
VIP
I took a glance at the code. The way it was written, I don't think it is showing the right backtesting results. I will spend a bit more time on it before confirming for sure.
 
C

conceptcar3

New member
I took a glance at the code. The way it was written, I don't think it is showing the right backtesting results. I will spend a bit more time on it before confirming for sure.
I am not 100% sure, but I believe it is showing accurately. I checked this system manually before developing the code, and the code seems to line up with my manual backtest results, at least for the most part. Could be wrong though... but I think the code is correct! Let me know if you find some errors. Thanks for your help!
 
C

conceptcar3

New member
I noticed that with the above settings (buy waiting 57 days after moving avg cross, sell waiting 63 days) that it produced the best results, but the equity curve from 1928-1949 was not so good. Tweaking the settings so that it is 63 days after the cross for both long and short reduces net profit, but improves the 1928-1949 equity curve. In case anyone wants it, here is the code for 63 days after moving average cross in both directions with the smoother equity curve and slightly reduced returns.

Code:
input price = close;
input fastLength = 1;
input slowLength = 200;
input averageType = AverageType.EXPONENTIAL;

plot FastMA = MovingAverage(averageType, price, fastLength);
plot SlowMA = MovingAverage(averageType, price, slowLength);
FastMA.SetDefaultColor(GetColor(1));
SlowMA.SetDefaultColor(GetColor(2));
def bullishsignal = fastma > slowma and fastma[1] > slowma[1] and fastma[2] > slowma[2] and fastma[3] > slowma[3] and fastma[4] > slowma[4] and fastma[5] > slowma[5] and fastma[6] > slowma[6] and fastma[7] > slowma[7] and fastma[8] > slowma[8] and fastma[9] > slowma[9] and fastma[10] > slowma[10] and fastma[11] > slowma[11] and fastma[12] > slowma[12] and fastma[13] > slowma[13] and fastma[14] > slowma[14] and fastma[15] > slowma[15] and fastma[16] > slowma[16] and fastma[17] > slowma[17] and fastma[18] > slowma[18] and fastma[19] > slowma[19] and fastma[20] > slowma[20] and fastma[21] > slowma[21] and fastma[22] > slowma[22] and fastma[23] > slowma[23] and fastma[24] > slowma[24] and fastma[25] > slowma[25] and fastma[26] > slowma[26] and fastma[27] > slowma[27] and fastma[28] > slowma[28] and fastma[29] > slowma[29] and fastma[30] > slowma[30] and fastma[31] > slowma[31] and fastma[32] > slowma[32] and fastma[33] > slowma[33] and fastma[34] > slowma[34] and fastma[35] > slowma[35] and fastma[36] > slowma[36] and fastma[37] > slowma[37] and fastma[38] > slowma[38] and fastma[39] > slowma[39] and fastma[40] > slowma[40] and fastma[41] > slowma[41] and fastma[42] > slowma[42] and fastma[43] > slowma[43] and fastma[44] > slowma[44] and fastma[45] > slowma[45] and fastma[46] > slowma[46] and fastma[47] > slowma[47] and fastma[48] > slowma[48] and fastma[49] > slowma[49] and fastma[50] > slowma[50] and fastma[51] > slowma[51] and fastma[52] > slowma[52] and fastma[53] > slowma[53] and fastma[54] > slowma[54] and fastma[55] > slowma[55] and fastma[56] > slowma[56] and fastma[57] > slowma[57] and fastma[58] > slowma[58] and fastma[59] > slowma[59] and fastma[60] > slowma[60] and fastma[61] > slowma[61] and fastma[62] > slowma[62] and fastma[63] < slowma[63];
def bearishsignal = fastma < slowma and fastma[1] < slowma[1] and fastma[2] < slowma[2] and fastma[3] < slowma[3] and fastma[4] < slowma[4] and fastma[5] < slowma[5] and fastma[6] < slowma[6] and fastma[7] < slowma[7] and fastma[8] < slowma[8] and fastma[9] < slowma[9] and fastma[10] < slowma[10] and fastma[11] < slowma[11] and fastma[12] < slowma[12] and fastma[13] < slowma[13] and fastma[14] < slowma[14] and fastma[15] < slowma[15] and fastma[16] < slowma[16] and fastma[17] < slowma[17] and fastma[18] < slowma[18] and fastma[19] < slowma[19] and fastma[20] < slowma[20] and fastma[21] < slowma[21] and fastma[22] < slowma[22] and fastma[23] < slowma[23] and fastma[24] < slowma[24] and fastma[25] < slowma[25] and fastma[26] < slowma[26] and fastma[27] < slowma[27] and fastma[28] < slowma[28] and fastma[29] < slowma[29] and fastma[30] < slowma[30] and fastma[31] < slowma[31] and fastma[32] < slowma[32] and fastma[33] < slowma[33] and fastma[34] < slowma[34] and fastma[35] < slowma[35] and fastma[36] < slowma[36] and fastma[37] < slowma[37] and fastma[38] < slowma[38] and fastma[39] < slowma[39] and fastma[40] < slowma[40] and fastma[41] < slowma[41] and fastma[42] < slowma[42] and fastma[43] < slowma[43] and fastma[44] < slowma[44] and fastma[45] < slowma[45] and fastma[46] < slowma[46] and fastma[47] < slowma[47] and fastma[48] < slowma[48] and fastma[49] < slowma[49] and fastma[50] < slowma[50] and fastma[51] < slowma[51] and fastma[52] < slowma[52] and fastma[53] < slowma[53] and fastma[54] < slowma[54] and fastma[55] < slowma[55] and fastma[56] < slowma[56] and fastma[57] < slowma[57] and fastma[58] < slowma[58] and fastma[59] < slowma[59] and fastma[60] < slowma[60] and fastma[61] < slowma[61] and fastma[62] < slowma[62] and fastma[63] > slowma[63];
def buy = bullishsignal;
def sell = bearishsignal;
AddOrder(OrderType.buy_auto, buy, open[-1], 1, Color.ORANGE, Color.ORANGE, "buy" + open[-1]);

AddOrder(OrderType.sell_auto, sell, open[-1], 1, Color.ORANGE, Color.ORANGE, "sell" + open[-1]);
 

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