S&P500 (^GSPC )
Date range: 01.04.1950 – 05.10.2010 , Weekly data
Buy if 5, 15, 25 Week % Momentum sum goes above 0 sell when it goes below 0.
this system has nice profit factor but low winning %. no stoploss is used.
Wednesday, October 6, 2010
20 Week 40 Week Crossover system
S&P 500 (^GSPC )
Data Range : 01.04.1950 – 05.10.2010
This system is robust have high win rate and profit factor. This system can be used as a filter or a long term model. No stoploss is used.
This model can also be used to identify different stages (Rising, Topping, Declining, Basing) of market cycle.
200 WMA and 50 WMA simple Cross OVER SYstem
Date Range : 05.10.2000 – 05.10.2010
System : Long only buy when 50 day WMA crossover 200 day WMA next day at market. Sell if 50 WMA crosses under 200 day WMA. no stoploss is used.
This system has a little edge. It is a long term system. It can be used as a filter.
Different MA periods can be tested as well. For example
| Very Long Term | 30 Months | |
| Long Term | 200 days | 40 weeks |
| Intermediate Term | 50 days | 10 weeks |
| Short Term | 10 days | 2 weeks |
NASDAQ / NYSE Index
Stock market produces good gains when nasdaq (^IXIC) leads NY stock Exchange (^NYA)
Buy NASDAQ when nasdaq crosses over 10 day SMA of NasdaqCompositeClose/NYComposite Close
Sell is the opposite.
Date range 01.01.1999 – 05.10.2010
Profit factor is ok but win rate is below less then 50%.
Saturday, September 11, 2010
M3 Money Supply and DAX
Datasource: http://www.economagic.com/em-cgi/data.exe/ecb/BSI-M-U2-Y-V-M30-X-1-U2-2300-Z01-E-m#Data
Seasonality of DAX
The image below shows the seasonality of the DAX index. The cycles below are constructed by using 19740102 - 20100409 range. Accordingly we can expect DAX to go down in september and go up at the end of october.
Friday, September 10, 2010
Learn from the history
There is similarity between 2003 market buttom and 2009 market buttom. It is possible to learn from history. Market broke down in March 2004. this pattern is repeated with 2 months delay in 2009 mai. Begining 2004 markets followed a consolidation phase until october 2004. Considering this delay I would expect the market to break upward betwen october and december of 2010.
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