We will try to back-test our simplest trend following strategy in Zorro Trader for two more underlying assets. We selected Apple, Inc. (AAPL) and Microsoft Corp. (MSFT) because both exhibited fairly long and sustained trends in the past, so they should be suitable for any trend following strategy. Our simplest systematic trend following strategy did not perform very well on the SPY ETF, and we want to compare the performance with these stocks. Here is the full code of the strategy again:
by Algo Mike
Experienced algorithmic and quantitative trading professional.