Archive for the ‘Trend-Following’ Category

Readers know I’m not one to preach trend-following (at least relative to other more active, more effective strategies), but I have to stand up and defend the honor of this granddaddy of quantitative strategies from some recent negative press, such as the latest from Mark Hulbert. Hulbert makes his case that the 200-day moving average […]

This is a follow up to CXO’s analysis of Martin Zweig’s 4% Strategy (h/t TWS). This is a simple weekly strategy: go long at the close on the last day of the week when the Value Line Arithmetic Index (^VAY) closes at least 4% higher than the previous week, and close the position on the […]

This is a test of Woodshedder’s long-term indicator described here. Wood tested the indicator back to 1993. I’ll go all the way back to the 1930’s and compare the indicator to the venerable trend-following strategy, the Golden Cross. [logarithmically-scaled, growth of $1] The graph above shows the hypothetical performance of Wood’s strategy long-only (red) versus […]

I’m a bit late in writing this (apologies), but Thursday of last week the S&P 500 made a “Death Cross”. This ominous-sounding event occurs when the 50-day moving average crosses under the 200-day, and to some technicians it signals the start of a long-term bearish bias. I’d like to call readers’ attention to my previous […]

Question: Do asset classes respond well to moving average crossovers (trend-following) and which combination of moving averages have performed best? These are random bits of data excreted by my research on building a “tactical asset allocation model” that I talked about yesterday. Below I’ve shown how a simple trend-following strategy would have performed, using various combinations of fast […]