1. Calculate the 85 day for SPY and TLT
2. If ( SPY ) > ( TLT ) --> Buy SPY
3. if ( SPY ) buy TLT
I coded this in python , and here are the results :
Period : 01/03/2003 to 12/31/2014
Slippage : 0.03 cents
2004 : 2.5%
2008: 23.6 %
2012: 1 %
2014: 6 %
As you can see, the system tends to do very well in bear market, and mix but positive results during bull markets. I use the 85 days because that works for me . you may use a higher are lower number when calculating the .
The code for the indicator is extremely simple, and will be posted a few moment. When the background is Green you buy and vice versa when red
I do trade an alternative version of this system , but this post is strictly for educational purposes only. . Past performance is no guarantee of future results.
if you have any question , leave a comment or PM me , and will try to get back to you as soon as possible.