I own the book "The Ivy Portfolio" and was intrigued by the 10mo. SMA method talked about in it so I started doing my own research on it. I got the end of month closing prices all the way back to 1928 from "Think or Swim" software and plotted a 10 month SMA line to see when it called for a sell or buy and how much the loss or gain was by following the signals. The market crash in the '30's wreaked havoc on even this system because if you strictly followed it and waited till the beginning of the month to move your money you still lost about 42% (still less than the actual crash amount). Other than that the worst year was in 1990 around the May to August time frame when you lost about 10% if you waited to mover till the beginning of the month.
It did get whipsawed several times over the last 80 or so years but the loss was typically only around 3 to 4%. Other than the crash in the 30's it kept you out of all the serious bear markets and kept you in during all the bull markets. If you used a mid month signal like you describe I would imagine the results would have been even better. It is currently on a buy since Sept. 1 '10. Before that you would have sold and went to safety on May 1 of '10. I am seriously thinking about using this strategy but haven't totally convinced myself yet. Maybe you can convince me......
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