3Semana
@Krush82 Is the 200 SMA of the S&P 500 evaluated daily or only monthly when rebalancing?
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3Semana
@Jesko the 200 SMA is not rated at all in my model, or did I mention that somewhere in the amount or as a comment?
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3Semana
@Krush82 "The safety belt (absolute momentum): To avoid massive drawdowns like in 2000 or 2008, the S&P 500 Index acts as a market filter. If the signal is negative, the model consistently switches to cash or money market ETFS."
How is the signal composed here? I had implicitly assumed that it was a 200 day SMA, my mistake.
How is the signal composed here? I had implicitly assumed that it was a 200 day SMA, my mistake.
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3Semana
@Jesko no, SMA simply does not work here. It simply measures the same momentum as the equity pool. If this is negative, switch to cash. Check monthly
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