S&P 500 (SPY)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Trading performance (SPY) if we exit after N-days since 2000:
The return over the next days is much better than any random day, but the performance doesn’t improve after a few days.
The equity curve for holding one day (24 hours) looks like this:
Hendrik Bessembinder, an academic, published a study in 2017 that went on to become widely spread and known. His hypothesis was pretty straightforward: do stocks outperform Treasury Bills? No, most stocks fail to beat one-month Treasury Bills during their lifetime as a public company, a fact we assume few investors expected or knew. Between 1926…
If you have a potential trading strategy, which market are you going to backtest it on? And what do you do if it works on S&P 500 but not so well on Russell 2000? This article uses the same trading strategy on four different US stock market indices to show the differences in returns and…
Exponential moving average strategy and backtest The exponential moving average is one of the most commonly used among traders. But do you know what it is? And do you know if an exponential average strategy can be used profitably in the stock market? Backtests indicate that exponential moving averages do work: They can be useful…
Trend following the S&P 500 is probably not the sexiest thing to do. Back in 2012 Meb Faber published a paper called A Quantitative Approach To Tactical Asset Allocation in the Journal of Wealth Management. Meb Faber found the 200-day moving average useful and decided to look at the following simple trend following system in…
This article looks at how likely you are to go broke as retired or FIRE. Low interest rates make many pensioners and those who retire early (FIRE) allocate more and more capital to risky stocks. Many tend to forget that a bear market can last for a decade – even longer. What happens to the…
Instrument/asset S&P 500 (SPY) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Buy at the close on the last trading day of the month; and Sell after N-days. Results Trading performance from 1993 until today (sell after N-days): Improved…
Session expired
Please log in again. The login page will open in a new tab. After logging in you can close it and return to this page.
