I read of a proposed long/short trading strategy for BND/VBMFX (Vanguard Total Bond Market Index). Since I already had the daily historical data, it was easy to create a backtest.Rules:Compute 3 daily SMAs, 13 day, 21 day, and 34 day.Each day check them.When rising (sma13 > sma21 .and. sma21 > sma34) go long.When falling (sma13 < sma21 .and. sma21 < sma34) go short.Otherwise, stand pat.Tested with daily data on VBMFX, 6/4/1990 thru 10/7/2011. Total of 5351 trading days.Another one bites the dust.CAGR for B&H: 6.86%CAGR when long: 7.47%CAGR when short: -5.7%FWIW: CAGR when the signal said to be NOT long: 6.06% That's right, when the screen says to go short, the return was positive, just smaller.Net long/short return: 1.8%
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