Sample alert: bullish 5-day EMA cross of 10-day EMA

On Friday I posted results of a crossover system using a 5-day exponential moving average (EMA) and a 10-day exponential moving average (EMA). The current test utlises the Zignals historical test feature of stock alerts to study returns over a 30-, 60-, and 90-day period for the same signal crossovers. Two sets of stock lists were used, each of which can be copied as the user wishes:

Active Trader (US): AAPL, BA, C, CAT, CSCO, DIS, GM, HPQ, IBM, INTC, IP, JPM, KO, MSFT, SBUX, T, WMT

FTSE Select (UK): AGA_L, AVE_L, BB_L, BUR_L, COLT_L, CSR_L, DDT_L, DEB_L, DRX_L, FCAM_L, GFS_L, GNS_L, HIK_L, ISAT_L, LAD_L, LSE_L, MCRO_L, MGNS_L, NFDS_L, PFC_L, PFG_L, PNN_L, RGU_L, RRS_L, SCHE_L, TATE_L, TLW_L, UKC_L

When these stocklists were run against the aforementioned moving average crossover strategy the following returns were achieved over 30-days:


The overall figure represents the maximum, minimum and average gain for all of the component stocklist stocks. To get results for individual stocks one only has to click on the [+]. For example in AAPL there were 20 trades, 70% of which were profitable:


It needs to be noted the Max/Min/Close quoted for FTSE traded stocks is in pence, whereas US stock prices are given in dollars. The following two charts show the 30-, 60-, and 90-day return for an upside cross of the 5-day EMA on the 10-day EMA. What is readily apparent is the poor performance of FTSE stocks compared to US listed stocks - although US stocks could hardly be accused of been strong performers; eeking out 2.7% over a 90-day period.

FTSE returns over 30-,60-, and 90-day


Active Trader returns over 30-,60-, and 90-day


Both the win percentage and the time-period returns were lower than buying a 20-day high, but is this the best way forward? Join today and try your stock alerts.

Dr. Declan Fallon, Senior Market Technician, Zignals.com the free stock alerts, market alerts, and stock charts website

Sample alert: 20-day high; timed returns

In my recent strategy lab I looked at the performance of buying a new 20-day high and selling a 20-day low. In this article I will look at the timed return of buying a 20-day high and holding for a fixed period of time.

Zignals alerts has a Historical Test feature which gives a snapshot performance of an alert over a customizable timeframe, with the facility to study each individual occurrence of your alert within that timeframe.

For this historical test, two stock lists were used:

Active Trader (US): AAPL, BA, C, CAT, CSCO, DIS, GM, HPQ, IBM, INTC, IP, JPM, KO, MSFT, SBUX, T, WMT

FTSE Select (UK): AGA_L, AVE_L, BB_L, BUR_L, COLT_L, CSR_L, DDT_L, DEB_L, DRX_L, FCAM_L, GFS_L, GNS_L, HIK_L, ISAT_L, LAD_L, LSE_L, MCRO_L, MGNS_L, NFDS_L, PFC_L, PFG_L, PNN_L, RGU_L, RRS_L, SCHE_L, TATE_L, TLW_L, UKC_L


When creating your own stock lists it is perhaps better to limit your content stocks to fewer than 20; a large number of stocks means a larger number of alert triggers which may become unmanageable.

By selecting the Historical Test tab it is possible to see the overall return over 30, 60, and 90 days and is preconfigured for two years (but can backtest as far back as 2000). The figure below shows the return for our alerts over 30-days:


It should be noted the Maximium, Minimum and Closing value represents an average price for all component stocks of your list. Stocks on the FTSE are priced in pence and those on Active Trader list are priced in dollars, so the corresponding values will reflect this difference.

The Historical Test tool will give you a snapshot as to whether an alert has the potential to be profitable over a given period of time. In order to express this as a percentage return one needs to know the average price of the component stocks in your stock list over the historical test period. In the current case, stocks on the Active Trader list had an average value of $47.72 and those on the FTSE list of 549p (for the period Jan 1st 2006 to June 12th 2008). By expressing the Max / Min / Close price as a percentage of these values one can calculate the % Return. By studying the individual cases of each alert it is also possible to calculate a percentage win.

For the FTSE alert over 30, 60 and 90 days the average return was between 0.7 and 2.0% (including winners and losers):


For the Active Trader list over the same time frame the average return was between 1.6% and 4.1% (including winners and losers):


With a win percentage around 60% this is a reasonably respectable return for a fixed holding period of 60 or 90 days.

Dr. Declan Fallon, Senior Market Technician, Zignals.com the free stock alerts, market alerts, and stock charts website

LSE Alert: Soco International

After enduring a 6-month decline from its highs in November 2007, Soco International (SIA_L) is attempting a new rally. The kick from the April low got an additional boost with the recent upgrade of the stock by Citigroup from 'Neutral' to a 'Buy'. The early Zignals ascending channel was negated on its loss of support and the downward push past the 20-day MA. A fresh channel may emerge from the April-June lows.


Dr. Declan Fallon, Senior Market Technician, Zignals.com the free stock alerts, market alerts, and stock charts website

LSE Alert: DRAX Group

Drax Group (DRX.L) jumped 5%, pushing the stock out of a short term downtrend and maintaining support of the 20-day moving average. At 734p the stock has cleared the bulk of 2007 and 2008 resistance, with 2006 highs at 866p next on the radar. There was no company specific news to account for the breakout.


Dr. Declan Fallon, Senior Market Technician, Zignals.com the free stock alerts, market alerts, and stock charts website