Koi_Capital

SPX Long/Short Momentum Algorithm Beats S&P500 By A Huge Margin!

AMEX:SPY   SPDR S&P 500 ETF
This simple algorithm uses Exponential Moving Averages of the S&P             500's Relative Strength Index to trigger buy/sell and short/cover signals on a daily chart . I've backtested the algorithm for SPY             (1994-present), SPX             (1981-present), SPX500             (1971-present), and it beats the S&P 500             in every occasion. The algorithm cannot correctly time every single crash or correction but for the most part, it can avoid and even profit from most major market downturns. Backtest results show that it would have timed both the 2000 and 2008 crashes beautifully.

By the way, a new sell/short signal was generated just a few days ago. The last time this happened was in 2008. Hmm... :)

Algorithm Rules:

Long Entry/Short Exit = EMA100(RSI50) cross> 50
Long Exit/Short Entry = EMA200(RSI50) cross< 50


Enjoy!
~Kory
Sachinsyd
a year ago
interesting! DD and low sample size is bit concerning though..
Reply
muslim_islam14
a year ago
spx
Reply
Ideas Scripts Chart
United States
United Kingdom
India
España
Italia
Brasil
Россия
Türkiye
日本
한국
Home Stock Screener Economic Calendar How It Works Chart Features House Rules Moderators For the WEB Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Private Messages Chat Ideas Published Followers Following Priority Support Public Profile Profile Settings Billing Sign Out