Trading ^GSPC from 8/27/1952 to 4/8/2010
David, you should start using log scaled charts for any period > 5 years, plus give us a way to eyeball the decades, instead of just showing the starting and ending date. 🙂
Besides that, especially with fast strategies not calculating slippage/commission can lead to wrong interpretations. The system you’re mentioning has a (hopefully geometric?) average gain of 0.3%, so anyone who can’t trade with less than 0.2% commission/slippage is better off with buy and hold or a very basic long term strategy…
hi aleco, thanks–i included the monthlies and annual numbers below but we will definitely address that. as for your second comment, there are two main responses: 1) this was just a demonstration of a shallow entry strategy that is binary, 30/70 and other types of entries and exits yield higher gains per trade–and knowledge of the predictive power of even a short term system can improve “tradeable” long term systems by waiting for entries that conform to these timing signals 2) this strategy can easily be traded with futures or funds especially since it is the S&P500 index. Finally, this was more so a demonstration of adaptation vs just one specific strategy—-clearly a good adaptive method will apply to higher order time frames. (note even for SPY you would be looking at .075%-.1% round trip)
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