Don't need to pay for this simple test. One can do it and much more for free here.
Here is the result for same strategy from 1990.
https://tinyurl.com/y7usxzox
Very conservative consistent strategy?
- Thread starter lightfightercap
- Start date
Don't need to pay for this simple test. One can do it and much more for free here.
Here is the result for same strategy from 1990.
https://tinyurl.com/y7usxzox
Out of curiosity, how does the quality of PnL (Sharpe, Max DD) vary with the length of the SMA? I'd imagine this has to be fairly curve-fit (10 month, why no 12 or 9?).
Meb Faber has done work on parametric study on different datasets (US, international, real estate, commodities and Bonds)
From his studies 3-12 months has similar characterstic. 10 month SMA is probably because, it is lot closer to 200 day sma (self fulfilling because lot of traders use it) and tax considerations.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
Interesting. I've never played with anything on that scale (mostly because I have to be market-neutral), but it's pretty
I fear that the discussion is going off-topic? The topic starter is asking for an investment with low risk for an investment period of 2 or 3 months. He is not looking for investment advice for a decade or more.
Interesting. I've never played with anything on that scale (mostly because I have to be market-neutral), but it's pretty
Interestingly Meb Faber's rules based ETF (GMOM) based on similar SMA and momentum has not fared well.
https://bit.ly/2Nzncmx
Are you sure hat GMOM is his ETF? I thought it was GAA:
https://www.etf.com/sections/features/24016-new-meb-faber-etf-an-industry-disrupter.html?nopaging=1
https://www.etf.com/GAA#overview
EDIT: correction, I see that both are issued by his company.
GAA is buy and hold, GMOM is momentum rule based ETF, which allocates weights to best momentum from his basket of 50 ETF's