Archive for June, 2010
Trading the Golden Cross
This is a test of that most venerable of market timing indicators, the “Golden Cross”. The Golden Cross occurs when the 50-day moving average crosses over the 200-day, and to some technicians signals the start of a bullish bias in the market. [logarithmically-scaled, growth of $10,000] In the graph above I’ve assumed a trader went [...]
Filed under: Trading Strategies, Trend-Following | 10 Comments
Rehashing the Golden Cross
I have to atone for my sins. We’ve talked about the Golden Cross (i.e. 50/200-day moving average crossovers) quite a bit, and besides RSI(2), it continues to be the most read subject here (the irony of a hyperactive market timer’s blog being a resource for trend-following strategies isn’t lost on me). In the past I’ve [...]
Filed under: Random Stuff | 3 Comments
July: Once Great, Now Blah
This is a quick look at how the U.S. market has performed historically in July. First the (misleading) numbers… Looking at just average returns over the last 80 years, July has been about twice as bullish as the average month in terms of return (1.6% vs 0.8%) and return relative to volatility (25.1% vs 13.7%). [...]
Filed under: Time-based | Leave a Comment
Seasonality Map for July, 2010
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the U.S. stock market in July based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April, the monthly seasonality map has called the closing direction of the S&P 500 correct 59.1% of the [...]
Filed under: Monthly Seasonality Map | 4 Comments
In my perpetual quest to improve our Monthly Seasonality Map I’ve been relooking at the subject of calendar month seasonality (i.e. strong/weak months of the year). A bit of chart porn to ponder…(click to play) In this first video I’ve divided the S&P 500 since 1930 into overlapping 20-year periods (1930 – 1949, 1931 – [...]
Filed under: Time-based | 2 Comments
