Re: 10 Month Modified SMA Method (M-SMA)
Originally Posted by
Happy Trails
Hey David,
I have an idea if you have time to check on it. Since you are going to look at the 1st and 3rd week, how about also looking at a modified SMA with a weekly check (weekly prices for the last 10 months / 40 using the rules you have developed for your existing system)? I would be curious to know if a weekly check could potentially reduce downside risk without hurting return. Only if you have the time and interest to check on it.
HT,
You are suggesting a 40 period SMA in the above post and David is actually using a 20 period SMA with his mid-month thrown in. I ran a quick spreadsheet using the weekly closing price with a 10 week SMA over Jan - Dec 2010. Using David's rules, it generated a buy S signal on 31 Dec 09 so you would have been in the S fund during the first week of Jan 10. From there it had a cumulative return of 49.86% by the end of 2010. It would also have generated another 6.47% in 2011 as of the close yesterday. Might be worth backtesting the other years.
One caveat with this system. If you get a fund change signal on Friday, you don't actually make the change until COB Monday. Not a huge deal when you're changing monthly, but becomes (possibly) a bigger deal as you go to weekly signals.
Beavis
I'd rather be lucky than good.
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