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 been inconsistent in how I accounted for (a) dividends and (b) cash, so because the subject is obviously pretty important to our readership, I’m going to do a quick series of posts rehashing our most important tests vis-à-vis the Golden Cross.
The conclusions will be the same, but the numbers a bit different. For those who have already digested our previous posts, my apologies for making you suffer another round of geekery. For those who are new to the subject, I hope you pick up a nugget or three.
The six tests will be:
The Golden Cross (50/200-day Moving Average Crossovers)
Other Moving Average Combinations
Simple vs Exponential Moving Averages
The Downtrending Golden Cross
The Golden Cross: Daily vs Weekly vs Monthly
More to follow…
Happy Trading,
ms
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Filed under: Random Stuff | 3 Comments
A thought, or a maybe more of a request…
Since we are in a balance sheet recession, similar to the 30′s, can you pull together data from that time and test the cross then? I recall Nelson Freeburg doing some cross over testing for the depression era and that is where crossovers unfortunately performed at their worst – the bear market rallies crossed above the long MAs that were in downslopes and then crossed back with the MAs still in downslopes, leaving big nasty dips in equity. He didn’t test the Golden Cross, but I wonder if it did much better.
Food for thought.
RE to Carl: good comment. I’ll be covering 1930 onwards, missing the 1929 dump but getting everything after that point. I’m not comfortable with the quality of my daily data prior to that. michael