The Average Investor's Blog

A software developer view on the markets

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.


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