generating 1000 $ per month on 150 k investment

Quote from drcha:

Last year, 18%. This year, so far 13% annualized. My backtesting indicates that 15% is going to be about average. As you might expect, about half of trades are losers. Winners are much larger than losers. Average holding period is about 3 months.

I backtested several MAs and decided that if I wanted to use only one rule, the 200 and the 50 constituted the best compromise. Maybe there is a reason why these are the "default" MAs. They seem to work best in most situations. And I think it is best to pick a set of MAs and stick to them. Otherwise there is too much curve-fitting.

I take most, but not all, signals. For example, if I am long the Aussie and the Loonie posts a signal, I do not buy it, so that I do not hold two commodity currencies. Therefore, when there are highly correlated signals of this type, I end up taking the one that has the first signal.

My impression is that this works best on commodity, bond and currency ETFs. Stock ETFs, not so well--they are too volatile and too bandied about by earnings and news reports.

As with any trend following method, there are some periods with a lot of whipsaws. You gotta stick with your rules.
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After a quick perusal of SPY on Yahoo charts, it seems using the 50 day gives better results than the 200 day. There were several cases where it got you in at a lower price and out higher, and a couple of cases where it got you in for a profit where with the 200 day you would have stayed in cash. Of course that means more trades, commissions, tax hits, etc. Needs more testing.

BTW, what do you use for backtesting?

I saw your review at Amazon. I have ordered the book.
 
Quote from Eliot Hosewater:

After a quick perusal of SPY on Yahoo charts, it seems using the 50 day gives better results than the 200 day. There were several cases where it got you in at a lower price and out higher, and a couple of cases where it got you in for a profit where with the 200 day you would have stayed in cash. Of course that means more trades, commissions, tax hits, etc. Needs more testing.

BTW, what do you use for backtesting?

I saw your review at Amazon. I have ordered the book.
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Things are often not as they seem. A quick test on http://www.etfreplay.com/backtest_ma.aspx

for SPY, from Jan 2000 shows:
Total return of 30.4% with 9.9% drawdown using simple 200 moving average on the day price crosses the avg.
Total return of 84.8% with 5.8% drawdown using 200 simple moving average at month end only
Total return of -15.6% with 35% drawdown using 50 simple moving average on the day prices crosses the avg.
Total return of -1.8% with 29.2% drawdown using 50 simple moving average at month end only

The drawdowns don't appear to be calculated correctly, perhaps they are just using worst month or worst trade, I'm not sure. In any case I've seen similar results in my own testing. The 50 day average just gets whipsawed too much to be effective.
 
oktiri, are you out there?

I believe the OP has left the thread and we are all just talking to ourselves. Oh, well.
 
Quote from dwpeters:

Things are often not as they seem. A quick test on http://www.etfreplay.com/backtest_ma.aspx

for SPY, from Jan 2000 shows:
Total return of 30.4% with 9.9% drawdown using simple 200 moving average on the day price crosses the avg.
Total return of 84.8% with 5.8% drawdown using 200 simple moving average at month end only
Total return of -15.6% with 35% drawdown using 50 simple moving average on the day prices crosses the avg.
Total return of -1.8% with 29.2% drawdown using 50 simple moving average at month end only

The drawdowns don't appear to be calculated correctly, perhaps they are just using worst month or worst trade, I'm not sure. In any case I've seen similar results in my own testing. The 50 day average just gets whipsawed too much to be effective.
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Thanks for the analysis.
 
Quote from atticus:

Sell otm puts on low-betas and use zero leverage. BLK has a buy-write fund, but you should do this yourself in shares. Pick a diverse group; many sectors, best in class. 100 shares notional exposure per ticker (1 put), no more than 4 tickers per sector. Go one strike otm and do not adjust. Buy some upside calls in VIX or bull vertical as a hedge on vol, or buy an atm index put for gamma.
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Why don't just do it on indices?
 
Issuer Rating Coupon Currency Maturity Isin Denomination

European Bank for Reconstruction and Development AAA 9,500% BRL 6/11/2013 XS0460362808 5000


Indicative Price Yield to maturity Date of info
103,28% 8,24% 12/10/2010
 
Quote from Chuck Krug:

Issuer Rating Coupon Currency Maturity Isin Denomination

European Bank for Reconstruction and Development AAA 9,500% BRL 6/11/2013 XS0460362808 5000


Indicative Price Yield to maturity date of info
103,28% 8,24% 12/10/2010
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And the beauty is that it is in Brazilian real...
 
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