This is the next post in the DVI indicator series. After the first two (here and here) analyzed in details the post-entry returns and the entry power of this indicator, it’s time to take a look at the trading performance.
Using the Systematic Investor Toolbox, we get some pretty decent results:
CAGR of 16.15% and Sharpe Ratio of 0.93 is simply amazing, especially considering the fact that this is just a bare-bone implementation. The massive performance over the last few years is simply astonishing and a proof of the robustness of this indicator. Remember, it was introduced by David Varadi from CSS Analytics circa 2008.
As usual, the full source code is available from GitHub. For the code to work properly, you need to install the latest version of the TTR package from R-Forge, which substantially improves the previous DVI implementation. One way to install this necessary package is by running: