AVOIDING BEAR MARKETS WITH MARKET TIMING MODEL ( DAILY CHART)

UPDATE : All time high for the SP 500 , YAY! Trade is up 56.08 % as of yesterday close.

Love it!!

Hello

I only have Data from 1980 , Here's the bactesting result from May 1980 to March 1994 . For that period the model underperformed the market with return of 114.6 % vs. 161.85 % for the S&P. MAX DD was a brutal 56 % in 1987 ( black Monday) .


5/30/80 6/31/81 17.9
8/31/82 1/31/84 36.8
8/31/84 9/30/85 9.6
10/31/85 9/30/86 21.8
10/31/86 10/31/87 4.1
6/30/88 1/31/90 20.3
5/30/90 8/31/90 -12.0
1/31/91 11/29/91 9.1
12/31/91 3/31/94 6.9

Hi Algokid,

Some great work, very interesting indeed, I love this type of stuff.

This is a presentation an investor called Tom, he basically also suggest using the same system, but in this case the example he gave was based on FX. He also shows examples using a 200 SMA and then trades on the pullbacks, using a one candle stop loss.

https://www.youtube.com/watch?v=B67apgoEBs4&index=6&list=FLLbIUcRB9MQiDTf6hO_98YA

That solves the black Monday issue, and hopefull Black Swans too. Also for indices specially most of the time, around 95% of the time they don't drop more than -3% on a given day so, an ON DAY -3% stop loss would also be help full.

While this system is effective and certainly works, a shorter MA or rather EMA e.g. between 20 - 60 will most likely be more efficient, not because the signals will be better but simply because it will get out sooner and get in sooner again thus compounded much more efficiently irrespective of a signal quality deterioration.

This is what I think at a least, I would be interested to hear what your take is on a shorter time frames.

PS,



if you simply applied a very small -5% on day loss maximum to your system, I am sure you would find that the results would very good indeed.

Hi Herman

Thanks for the link and stop loss recommendation. I will implement it and see how the returns improve. Thanks again