This Is A Bear Market (w/ Victor Sperandeo)

[sss12]

looking at the 200sma doesn’t beat buy and hold... maybe it did in the 70s to 90s which is irrelevant at this point

You sure ? Quick look at a dailey chart it would have gotten you out and back in at advantageous levels in 08/09'and 2011 and 2016 while keeping you in the trending bull at other times.
Again, I'm just eye balling with some quick calculations, no back testing and not including tax ramifications or x-action.
Has anyone done a true test vs buy/hold ?

 

[tjpone]

You sure ? Quick look at a dailey chart it would have gotten you out and back in at advantageous levels in 08/09'and 2011 and 2016 while keeping you in the trending bull at other times.
Again, I'm just eye balling with some quick calculations, no back testing and not including tax ramifications or x-action.
Has anyone done a true test vs buy/hold ?

I’ll take a more in depth look, but simply doing what Vic said not sure it beats buy and hold as of late.
I wonder perhaps if Vic has some sort of other filters he uses in conjunction with the 200 and it rising or falling. Such as the 200 must be sloped a certain degree to be valid. Otherwise you can get whipsawed several times over. I may be wrong, but just feel like he has other filters involved.

 

[sss12]

I’ll take a more in depth look, but simply doing what Vic said not sure it beats buy and hold as of late.
I wonder perhaps if Vic has some sort of other filters he uses in conjunction with the 200 and it rising or falling. Such as the 200 must be sloped a certain degree to be valid. Otherwise you can get whipsawed several times over. I may be wrong, but just feel like he has other filters involved.

I agree, I'm sure it is not that simplistic. Your "slope" may have some merit. Let us know what you find.

 

[Stockolio]

I’ll take a more in depth look, but simply doing what Vic said not sure it beats buy and hold as of late.
I wonder perhaps if Vic has some sort of other filters he uses in conjunction with the 200 and it rising or falling. Such as the 200 must be sloped a certain degree to be valid. Otherwise you can get whipsawed several times over. I may be wrong, but just feel like he has other filters involved.

Momentum Indicator and RSI

 

[Windlesham1]

check out the chart

 

[tjpone]

Momentum Indicator and RSI

Those can be used unless ways of course

 

[tjpone]

check out the chart

If you look close in early dec price closes above the 200 and the 200 actually slightly slopes up.

I believe in KISS but there are of course filters that need to be used in addition.

 

[SPYAlgoTrader]

since 1/2/2013:

Buy and hold: 79% net return

BUY SPY if closing price > 200 day sma
and SELL SPY if closing price < 200 day sma

=> 73% net return

24 trades total, 12.7% max drawdown, 0.907 sharpe

------

since 1/2/2016:

Buy and hold: 32%

BUY SPY if closing price > 200 day sma
and
SELL SPY if closing price < 200 day sma
31.5%
12 trades total, 12.4% max drawdown, 0.903 sharpe


using 200dma beats buy and hold from 1999 - 2009
using 200dma reduces max drawdown

 

[tjpone]

since 1/2/2013:

Buy and hold: 79% net return

BUY SPY if closing price > 200 day sma
and SELL SPY if closing price < 200 day sma

=> 73% net return

24 trades total, 12.7% max drawdown, 0.907 sharpe

------

since 1/2/2016:

Buy and hold: 32%

BUY SPY if closing price > 200 day sma
and
SELL SPY if closing price < 200 day sma
31.5%
12 trades total, 12.4% max drawdown, 0.903 sharpe


using 200dma beats buy and hold from 1999 - 2009
using 200dma reduces max drawdown

Does this take into account whether the 200 is sloping in direction of trade or not?

 

[sss12]

since 1/2/2013:

Buy and hold: 79% net return

BUY SPY if closing price > 200 day sma
and SELL SPY if closing price < 200 day sma

=> 73% net return

24 trades total, 12.7% max drawdown, 0.907 sharpe

------

since 1/2/2016:

Buy and hold: 32%

BUY SPY if closing price > 200 day sma
and
SELL SPY if closing price < 200 day sma
31.5%
12 trades total, 12.4% max drawdown, 0.903 sharpe


using 200dma beats buy and hold from 1999 - 2009
using 200dma reduces max drawdown

Would it be possible for you to run this on the 20 and 50 day sma ? Thanks in advance.