The Average Investor's Blog

A software developer view on the markets

Archive for December, 2010

S&P 500 in the 60s

Posted by The Average Investor on Dec 27, 2010

The performance of various trend following strategies in the 60s was both similar and different from the performance of the same strategies in the 50s.

Moving Average Annual Growth Trades Winning Trades Time In Max Drawdown
200 Day 7.70% 25 36% 68% 4%
20 Week 7.08% 20 50% 67% 7.51%
10 Month 5.57% 7 71.43% 67% 8.65%
Buy and Hold 4.39% 27.97%

This time, all our moving averages outperformed the Buy-and-Hold when not accounting for the dividends. Again we see a huge improvement in the “pain” factor when using a moving average technique – with Buy-and-Hold one should be able to live through a whopping 28% drawdown during the course of the decade.

This time however both the daily and the weekly moving average observed significantly better performance than the monthly moving average.

During the 60s the market was less trending and there were more significant swings than the previous decade.

Monthly S&P 500 with EMA(10)

Monthly S&P 500 with EMA(10)

All in all, I’d much rather have used an MA technique than Buy-and-Hold throughout that decade.

Posted in Market Timing, Strategies | Leave a Comment »

The Weekly Update

Posted by The Average Investor on Dec 27, 2010

The markets are ending the year on an up note. Certainly it starts looking more and more like a top, but no changes in the indicators yet.

Asset Symbol Position Date In Gain
Nasdaq 100 ^NDX Long 2010-09-03 19.25%
Emerging Markets EEM Long 2010-07-23 13.27%
S&P 500 ^GSPC Long 2010-09-30 10.13%
US REIT VNQ Long 2010-07-23 9.97%

Most notably, the S&P 500 has mounted more than 10% gains since the position was signaled at the end of September! There are some very attractive returns, especially when the low risk (major US indexes) is taken into account.

Posted in Strategies, Trades | Leave a Comment »

The Weekly Update

Posted by The Average Investor on Dec 13, 2010

It has been two weeks since my last post, and I can only say that the markets came back spectacularly from the dip in November. It might be the December effect, or it could be the money supply, it could be anything, but the facts are that the market is anticipating bright future.

Asset Symbol Position Date In Gain
Nasdaq 100 ^NDX Long 2010-09-03 18.45%
Emerging Markets EEM Long 2010-07-23 13.22%
US REIT VNQ Long 2010-07-23 8.05%
S&P 500 ^GSPC Long 2010-09-30 8.69%

The only action lately has been from my short-term, contrarian strategies also based on moving averages. Around December 3th, both the S&P500 and the Oil were heavily overbought. Opening short positions on both, lead to a 1% loss on the S&P500 and 4% gain on the Oil, roughly within a week. I will take such results anytime. 🙂

Posted in Uncategorized | Leave a Comment »

 
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