Blowing.Rock Master wrote:
[quote]coach d wrote:
If you'd gone both long and short with the 10-40 system using SPY from 1/2/2001 to 12/31/2010, you're net gains would have been $130.27 per share versus $14.95 for buy and hold.
Going long only from the beginning of 1960 until the end of 2009 using the S&P 500, the 10-40 system racked up 1,689.03 points versus 1,055.20 for buy and hold. Neither one of these performances can be described as coin flipping.
As trend following systems go over the long term, that isn't very good. I believe the 5-10-20 system mentioned above is in the library for both Trade Station and Metastock and it produces double the results of buy-and-hold with ~4 trades/yr. If I could not beat this, I would use it.
These are the actual results of the 19wk/39wk EMA cross that I use as the primary system since 1995:
Date===Price==SP500 point gain
Jan-95 464.78 000.00 LONG
Oct-00 1365.98 901.2 SHORT
May-01 988.61 377.37 LONG
Jan-08 1401.02 412.41 SHORT
Aug-09 1023.93 377.09 LONG
TODAY 1123.82 99.89 HOLD LONG (so far)
SP500 Point gain since 1/1995 == 2167.97
buy-hold point gain since 1/1995 == 659.04
I was actually straight long tech stocks (MSFT, INTC, ORCL, CSCO) during the 1990's and sold in Oct 2000 when the weekly MACD went into total sell mode (basically, I got to the position of retiring early by doing everything that Flagpole recommends against) and wasn't following trend-following until late 1990's. And unfortunately, I didn't go short in 2000.
With real money (and keep in mind, this is with two full SP500 futures contracts, so you multiply the point gain by 500):
May-05 1152 000.00 LONG
Jan-08 1401.02 249.02 SHORT
Aug-09 1023.93 377.09 LONG
TODAY 1123.82 99.89 HOLD LONG (so far)
SP500 Point gain since 5/2005 == 726
buy-hold Point gain since 5/2005 == LOSS OF 28.18