novacane32000
331 posts
msg #107119
- Ignore novacane32000 |
7/18/2012 8:09:37 PM
The 11/75 crossover has been a very reliable long term indicator for high volume ETFs over the past several years .
DIA crossed today and SPY a couple of days ago.
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novacane32000
331 posts
msg #107352
- Ignore novacane32000
modified |
8/4/2012 11:55:21 AM
Trading SPY using the 11/75 to enter and also as an exit you would be up with a gain of 185% vs 11% buy and hold since 3/11/02.
SPY was at 116.1 on 3/11/02 and was at 132.83 on the exit of the last close of this system on 5/16/12 (11% gain)
Spy would be at 218.24 on 5/16/12 using the 11/75 (185% gain)
There were 18 trades during this 10 year time period so commision cost are insignificant for any acct size.
9 winners and 9 losers but the winners avr 11% with an avr hold time of 150 days while the loser avr -3% with an avr hold time of 30 days.
Best trades 29%,28%,15%.
Worse trades -6%,-5% and -3%.
There are a few frustrating wipsaws where you are in and out with small losses in less than 30 trading days and also you will not exit your big winners at the top as you wait for the 11 to cross down through the 75. As an example in the most recent trade from Oct 2011 thru May 2012 your max profit of nearly 14% dwindles to 7% before you exit. The temptation then of course is to use discretion which can defeat the system and lead to even more wipsaws. With that said, if anyone can optimize this crossover I am all ears.
Avoiding the huge loss of 2008 is a big part of why the crossover performed so well during the last 10 years so I also looked at trading before and after 2008.
From 3/02 thru 11/07 Spy was up 27% and the 11/75 was up 35% so the crossover worked well before the big drop.
During the big drop 11/07 thru 3/09 SPY was down -52% and the 11/75 was down -1.4% with just one trade.
From the bottom on 3/09 through 5/12 Spy is up 88% and the 11/75 is up 58%. Not easy for any system to beat an up trending market.
So it it appears the 11/75 works well in both up and down markets.If the market decides to go sideways for several qtrs then it will not work so well.For right now the numbers say the 11/75 works.If someone can backest prior to 2002 please do so
Time permitting I would like to backtest the sectors using this simple system.
There is currently a buy signal for SPY. 7/16/12
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wkloss
231 posts
msg #107354
- Ignore wkloss |
8/4/2012 1:43:42 PM
Go back a little farther and you get 7 straight losses
Mar 21, 2000 May 12, 2000 -4.28%
Jun 08, 2000 Sep 21, 2000 -2.39%
Jan 30, 2001 Feb 14, 2001 -4.17%
May 03, 2001 Jul 06, 2001 -4.65%
Nov 15, 2001 Jan 31, 2002 -1.13%
Mar 08, 2002 Apr 11, 2002 -5.20%
Oct 25, 2002 Jan 28, 2003 -4.38%
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novacane32000
331 posts
msg #107356
- Ignore novacane32000 |
8/4/2012 3:15:29 PM
Those 7 straight losses cannot be ignored and would certainly have you lose faith in the system if that were your starting point.
As bad as that 3 yr period was, using the 11/75, one would have lost about -25% while the SPY buy and hold lost -42.47%.
Eyeballing the SPY chart, 1994 and 1999 also look a little choppy otherwise from 1993 onward it trended nicely favoring the 11/75.
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novacane32000
331 posts
msg #107363
- Ignore novacane32000 |
8/5/2012 12:29:37 PM
Okay, went all the way back to May of 1993 and the 11/75 does well outpacing the market 340% to 293%.
The caveat being that it did have a drawdown of about 27% from Feb 2000 to Oct 2002 during a steak of 9 consecutive losses. SPY was down 36% during this same time period.
SPY also outpaced the 11/75 from May 1993 thru June 2008 ,294% to 234%. The market then dropped 50% which enabled the 11/75 to surpass it.
In summary the 11/75 did not keep pace with the market for the 15 yrs prior to the crash of 2008 but it did perform very well.
The 11/75 kept you out of the 2008 crash and for that reason has outpaced the market since 1993
The 11/75 can be taught to anyone in a matter of minutes as a simple effective long term investing method.
My stratasearch computer crashed recently and I have not been able to utilize that program. I'm sure someone can find a more effective crossover than the 11/75.
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wkloss
231 posts
msg #107373
- Ignore wkloss |
8/6/2012 12:13:49 AM
novacane32000
I believe Stratasearch will let you move it to another computer.
Thanks for your work on the 11/75.
Bill
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