Highest High Lowest Low Results

This is an illustration of a Backtest which flips positions based on recent highest high and lowest low. The rules are:

• Enter Long (and close short) at this close when today’s high is higher than 6 month highest high
• Enter Short (and close long) at this close when today’s low is lower than lowest low from last 6 months

Please note that one can see the key figures on the top of the charts, like Sharpe and Max DD.

Results - Single Securties

Currencies

Australian Dollar

British Pound

Canadian Dollar

Euro

Japanese Yen

Swiss Franc

New Zealand

Equities

ES

FCH

FDAX

FFI

HCE

HSI (Hang Seng)

JNI (Nikkei)

JTI (Topix)

MFX (IBEX Spain)

NQ (Nasdaq100)

OMXS30 (Oslo)

SSG (Singapore)

SWI (Swiss Index)

SXE (Stoxx50)

SXF (Canada)

YM (Dow)

### I

Overview of results in equities and eurrencies

Below is a summary of the individal results compared to its benchmarks.

Currencies

## [1] "AD_0@I0R.CSV"
## [1] "BP_0@I0R.CSV"
## [1] "CD_0@I0R.CSV"
## [1] "CU_0@I0R.CSV"
## [1] "JY_0@I0R.CSV"
## [1] "SF_0@I0R.CSV"
## [1] "NE_0@I0R.CSV"

Equities

## [1] "ES_0@I0R.CSV"
## [1] "FCH0@I0R.CSV"
## [1] "FDX0@I0R.CSV"
## [1] "FFI0@I0R.CSV"
## [1] "HCE0@I0R.CSV"
## [1] "HSI0@I0R.CSV"
## [1] "JNI0@I0R.CSV"
## [1] "JTI0@I0R.CSV"
## [1] "MFX0@I0R.CSV"
## [1] "NQ_0@I0R.CSV"
## [1] "O300@I0R.CSV"
## [1] "SSG0@I0R.CSV"
## [1] "SMI0@I0R.CSV"
## [1] "SXE0@I0R.CSV"
## [1] "SXF0@I0R.CSV"
## [1] "YM_0@I0R.CSV"