Saturday, August 05, 2017 3:09:14 PM
50 SMA ABOVE 200 SMA 10.16 % RISK ADJUSTED RETURN ......EXPOSURE 68 %
Backtesting Moving Average Performance
The two most popular moving average periods are 50 days and 200 days. I would also venture a guess that simple moving averages are used more than exponential moving averages. Taken together, the S&P 500 is the most widely followed index, and the 50-day and 200-day SMAs are the most widely used moving averages. It seems that the S&P 500 with these two moving averages is important just because so many pundits follow this combination. It kind of becomes a self-fulfilling prophecy. Let's look at some backtest result to see just how well this moving average pair works.
See 6 th row
http://stockcharts.com/members/articles/arthurhill/2016/11/systemtrader---how-to-become-a-smooth-operator-with-moving-averages---backtesting-different-moving-average-pairs.html
Backtesting Moving Average Performance
The two most popular moving average periods are 50 days and 200 days. I would also venture a guess that simple moving averages are used more than exponential moving averages. Taken together, the S&P 500 is the most widely followed index, and the 50-day and 200-day SMAs are the most widely used moving averages. It seems that the S&P 500 with these two moving averages is important just because so many pundits follow this combination. It kind of becomes a self-fulfilling prophecy. Let's look at some backtest result to see just how well this moving average pair works.
See 6 th row
http://stockcharts.com/members/articles/arthurhill/2016/11/systemtrader---how-to-become-a-smooth-operator-with-moving-averages---backtesting-different-moving-average-pairs.html
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