This strategy applies 5-days, 10-days and 20-days simple moving averages in order to buy stocks when it breaks above the moving averages with a bullish candlestick pattern in daily resolution.

The objective of this project is to test if this moving average breakout strategy can be proved to be effective and consistent.

A buy signal is generated when the price breaks above the 5-days, 10-days and 20-days simple moving averages with a bullish candlestick patterns. Noted that the 5-days SMA should be above 10-days SMA which is also above the 20-days SMA.

The performance is captured by only calculating its successful rate. The strategy is regarded as successful if its price does not fall under its buying price within 5 days.

First of all, the program takes the top 50 stocks in terms of trading volume throughout the backtest period. Result is shown below:

Another universe is selected picking the top 50 stocks in terms of market capitalization.

The success rate of this MA breakout strategy fluctuates over time, and it sometimes drop to as low as 30%. It seems that the method of buying the MA breakout cannot be proved to be a consistent strategy but in the meanwhile could be a profitable strategy if suitable portfolio and risk management models are applied.