These Micron (MU) signals traded as directed would have performed around 233 times better than buy-hold with an ROI of 194,218% for the period 04-Aug-08 to 14-Sep-18
The trading signals for Micron (MU) shown here were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.
Returns for the Micron (MU) signals
For the 528 week (10.1 year) period from Aug 4 2008 to Sep 14 2018, these signals for Micron (MU) traded both long and short would have yielded $19,421,830 in profits from a $10,000 initial investment, an annualized return of 111.6%. Traded long only (no short selling) the signals would have returned $1,846,100, an annualized return of 67.7%. 81.5% of time was spent holding stock long. The return would have been $83,340 (an annualized return of 24.8%) if you had bought and held the stock for the same period.
Signals and Trades
Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 167 buy signals and 150 sell signals for this particular MU strategy. These led to 43 round trip long trades of which 29 were profitable, and 43 short trades of which 36 were profitable. This is a weekly strategy; weekly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per week.
Drawdown and Reward/Risk
Drawdown (the worst case loss for an single entry and exit into the strategy) was 97% for long-short and 48% for long only. This compares to 74% for buy-hold. The reward/risk for the trading long and short was 1.09 compared to 0.31 for buy-hold, a factor of 3.5 improvement. If traded long only, the reward/risk was 1.29. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.
The backtests assume a commission per trade of $7.