Buy & Hold
Posted 11-20-2009 at 04:34 PM by JTH
Buy & Hold
Buying the S&P 500, if you spent 1,000 dollars on 24 September 1996 and sold on 6 march 2009, you'd have 955 dollars in your pocket. However, if you bought over and sold under the 393rd Day Simple Moving Average, you'd be up over 160%
For whatever reason, under multiple time frames, scanning 1-1000 , the 393rd SMA comes up as the single most profitable.
Total Comments 3
Comments
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Interesting. This is quite a contrast from your intraday charts. Not as fun, but different.
Although it did beat buy and hold, 160% in 13 years is still only about 5.5% annually. That's why we trade.
Posted 11-20-2009 at 04:40 PM by tsptalk 
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Yes Tom this is true, in fact I've recently been educated that the majority of moving average crossover systems don't work and they work even less under TSP's rules.
On top of that, the majority of ones that do work still can't beat 20% a year.
Also, the majority of the ones that do work won't work under TSP because of the excessive amount of trades.Posted 11-20-2009 at 05:01 PM by JTH 
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I'm going to write up a study this weekend showing that most moving average crossover systems are not effective and more so under TSP.
Posted 11-20-2009 at 05:03 PM by JTH
