MACD Index Timing

With this little project I wanted get some hands on experience with market timing. Basically, the strategy is as follows:

• Calculate the MACD X/Y/Z for the index (returns "fast" and "slow")
• Figure out a "long" or "short" signal as follows:
  • If the fast value is lower than the slow value and the fast value is below 0, then go short
  • Else go long

This strategy calculates the "current" signal for the start date, and will always "sell" at the end date. After a signal, the actual price data used is the opening price the next trading day. The index is traded, although this is seldom possible in reality, but most indices have some ETFs following the index pretty closely. I ran these various simulations with start date 1994-08-01 until 2004-08-10 using the RUT (Russel 2000 index), SP500 and NASDAQ and the result is shown graphically below (the values inside the table is the accumulated return from the strategy using the current parameters):