Doing the whole thing since January with Nasdaq2x and 200 MA of S&P500 as reference - so far in the
principle zero-sum game đ đ€đŒ
principle zero-sum game đ đ€đŒ
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Why the MA from the S&P500? What advantage do you expect to gain?
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@randomdude Nasdaq is more volatile, I attach more lasting importance to the S&P falling below the 200SMA than to the Nasdaq. Fewer trades.
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âą@doddelwa According to the reddit discussion, this seems to work well. I would still be concerned that the signals are not quite as reliable because, for example, tech crashes and the S&P holds up when the other sectors are stable. A backtest that includes the early 2022 period would be good.
To take out volatility, I would prefer to adjust the MA and trade on fixed days, e.g. weekly or monthly.
Have you done your own backtests?
To take out volatility, I would prefer to adjust the MA and trade on fixed days, e.g. weekly or monthly.
Have you done your own backtests?
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âąIncidentally, it would also be worth considering whether to take the MA - from whichever index - using the dollar or euro exchange rate.
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âąNope, it's only a 15% admixture anyway, if you take S&P it's probably about 5 trades per year, don't want to complicate it unnecessarily.
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@doddelwa Why don't you do it with the S&P 500 x3 as presented in the paper? I've been doing it since last time, the entry was at the beginning of November and the position is now a little over 100% up.
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@Lukas2998 Long historical test series show that leverage above 2 tends to be disadvantageous. Just look at the synthetic development of 3xQQQ since 2000. It is still not at the level it was back then.
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âą@Lukas2998 see @Epi
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@doddelwa @Epi When it comes to simply holding a leveraged ETF for the long term, 2x is much better than 3x, you are right (page 8).
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1664823
But when it comes to the 200SMA strategy, 3x is clearly better, see backtest over 100 years (page 17). The 2x achieves an annual return of 19%, the 3x 26.7%.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1664823
But when it comes to the 200SMA strategy, 3x is clearly better, see backtest over 100 years (page 17). The 2x achieves an annual return of 19%, the 3x 26.7%.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701
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