"Moving Average Penetration
This strategy goes long the market when the S&P500 closes above its X-period moving average (upside penetration), and goes short the market when the S&P closes below its X-period moving average (downside penetration).
Best performing moving averages:
2-day moving average: +54,859%"
"Moving Average Slope
This strategy goes long the market when an X-period moving average is greater than the previous day's moving average (slope is positive), and goes short the market when an X-period moving average is less than the previous day's moving
average (slope is negative).
Best performing moving averages:
1-day moving average: +54,859% . . .
You might also notice that the 1-day moving average performance is the same as the 2-day 'penetration' performance, and that's because they are the same. Think about the concept of the penetration strategy. If today's close is higher than yesterday's close, it'll also be higher than the 2-day average of today's close and yesterday's close.
Similarly, if today is lower than yesterday, it'll also be lower than the 2-day average of today and yesterday. Hence, the 1-day slope and the 2-day penetration strategy trigger the exact same signals. Both simply take into account solely what happened today, and use that as the basis for what may
occur tomorrow."
You could tell near the end of regular trading whether the price will close above or below the 2 day MA, or the "slope" of the 1-day MA, so if the rule results in the opposite trade from the one you are currently in, I would think you switch over right near the close.
Yes it really is that simple. But notice that they mention how often you will be switching positions and that only 40% of the trades are winners. Can you "stomach" that?
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