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Stocks & Commodities V. 28:3 (98, 96-97): At The Close by Wayne Whaley
Stocks & Commodities V. 28:3 (98, 96-97): At The Close by Wayne Whaley
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At The Close by Wayne Whaley
Can a simple and popular strategy such as the 200-day moving average crossover outperform a buy & hold strategy?
The trend is your friend is one of the first rules in trading. Given the big moves in commodities in 2009, I wouldnt be surprised to discover that a lot of trend-following systems had a good year. One trend-following strategy that is followed by many technicians is the 200-day moving average crossover strategy. That is when you would go long when the tradable in question is above its n-day moving average and either move to cash or go short when it is below the average. Given that hardly a day goes by without an analyst mentioning the markets position relative to its 200-day moving average, I thought it would be worth the effort to restudy the significance, or lack thereof, for not only the 200-day moving average, but other moving average trend-following system lengths as well.
TEST APPROACH
I evaluated the 50‑, 100‑, 150‑, 200‑, 250‑, 300‑, and 350‑day moving average crossover strategies (prices crossing the MA) for the following Standard & Poors 500 strategy: (CONTINUDED)
Can a simple and popular strategy such as the 200-day moving average crossover outperform a buy & hold strategy?
The trend is your friend is one of the first rules in trading. Given the big moves in commodities in 2009, I wouldnt be surprised to discover that a lot of trend-following systems had a good year. One trend-following strategy that is followed by many technicians is the 200-day moving average crossover strategy. That is when you would go long when the tradable in question is above its n-day moving average and either move to cash or go short when it is below the average. Given that hardly a day goes by without an analyst mentioning the markets position relative to its 200-day moving average, I thought it would be worth the effort to restudy the significance, or lack thereof, for not only the 200-day moving average, but other moving average trend-following system lengths as well.
TEST APPROACH
I evaluated the 50‑, 100‑, 150‑, 200‑, 250‑, 300‑, and 350‑day moving average crossover strategies (prices crossing the MA) for the following Standard & Poors 500 strategy: (CONTINUDED)
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