by billb
16. June 2009 09:08
By special request, someone asked to see the results of a moving average crossover system. Specifically the 50 SMA over the 200 SMA. I took the liberty of doing it against the 3 major averages as done in my last tests.
Rules:
The rule is to get in when the 50 day SMA crosses over the 200 day SMA and to exit the market when the 50 day SMA crosses under the 200 day SMA (signaling weakening demand).
Inputs:
IXIC = Nasdaq Composite. Data available was from 1972 to present
GSPC = S&P 500. Data available was from 1960 to present.
DJIA = Dow Jones Industrial Average. Data available was from 1960 to present.
Starting Capital: $100,000
Results:
| Symbol |
APR |
Net Profit |
B&H APR |
B&H Net Profit |
Diff |
| DJI |
4.80% |
$ 913,954.00 |
5.30% |
$ 1,188,314.00 |
$ (274,360.00) |
| GSPC |
6.24% |
$ 1,898,226.00 |
5.72% |
$ 1,469,020.00 |
$ 429,206.00 |
| IXIC |
2.61% |
$ 168,595.00 |
7.90% |
$ 1,749,420.00 |
$ (1,580,825.00) |
I don't see anything statistically significant here. The system seems fairly rotten, but I do have one excuse for it. It did not enter the Nasdaq for over 6 years because the 50 day SMA was always above the 200 day SMA during that time. If this system showed some signs of promise, I'd tweak it to enter the market on the first date of data knowing that being long the market is typically better than being out of the market for long stretches of time. Of course, that's a bias and may not be true moving forward.
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