No. of Recommendations: 23
TMT33 stated:
One timing method that does seem to generally add value is trend following. Something as simple as using a 100 day SMA on the Nasdaq composite over a 45 year period produced some pretty good results.

I wondered if anyone would ask more on this question. I took some time the other day to find a simple way to do this for the typical investor on this board.

I found that it was optimal to use the Nasdaq 100 as a proxy for the market to determine when to be invested in bullish screens and when to be in defensive screens. The primary reason for this is that there are very few signals doing it the way I found as optimal. Only nine signals to be long over the period from 1989 to present. Here are the dates:
01/03/1989  BEAR
07/24/1989 BULL
01/26/1990 BEAR
05/17/1990 BULL
08/16/1990 BEAR
01/23/1991 BULL
05/19/1992 BEAR
09/23/1992 BULL
04/19/1994 BEAR
08/31/1994 BULL
12/26/1997 BEAR
02/03/1998 BULL
10/09/2000 BEAR
04/15/2003 BULL
07/28/2004 BEAR
10/13/2004 BULL
03/31/2005 BEAR
06/03/2005 BULL
05/26/2006 BEAR
09/29/2006 BULL

This is based on a cross of two EMAs on the Nasdaq 100 -- 40 and 140. For the test of the index itself this produces an ROI of 2067, compared to what you suggested as a 100 EMA crossing the close of the index which produces an ROI of 1000.

Now I also found a way for anyone on this board to easily track this. You just go to this site and sign up for a free subscription.

Once you are signed up you can log in and set up an email alert on the NDX for a 40/140 EMA crossover. Whenever there is a cross you'll receive an email alert that you can act on the next day.

The idea here would be to move between screen sorts -- using very low risk, low GSD, high Sharpe screens when the market is in bearish mode, and use higher risk, high CAGR screens when the market is in bullish mode.

BULLISH MODE: Jensen 10 year lookback
BEARISH MODE: Sharpe/GSD 5 year lookback
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