Its been a long time since i've read his material but i believe he goes long over the 200-day moving average and shorts below that.I've read Shipmans Book 'Big Money Little Effort' and I'm interested in how he 'proves' his long term trading system by showing the trades it would have generated on the S&P 500 index from (i think) ~1949 to 2007.
I'm just wondering
1. Has anyone noticed that this was an almighty bullish period for this index and that buy & hold would have actually performed as well if not better over the same period?
2. If you sold when he said to buy and bought when he said to sell, you'd have done quite well as well (reference his data in the appendix)
3. Has anyone come across a good on-line or software tool to carry out retrospective analysis of such investing systems? (Specifically I would like to get one that calulated real rates of return as opposed to absolutes, and that could compare a live investment's return versus the no risk returns available from cash/treasuries over the same period?
I hope this post is of use to those who may consider trend/momentum trading as a totally proven methodology. i.e. User beware, just cos a system appears to work with really favourable data over a long period may not mean it works with data that might not be as favourable or just may not fit its algorythm for generating returns e.g. how would it do with FTSE 100, Commodities, House Prices over long period versus buy & hold and versus investing in no risk alternative e.g. cash/treasuries over the same timescales. I remain to be convinced tbh.
I've read Shipmans Book 'Big Money Little Effort' and I'm interested in how he 'proves' his long term trading system by showing the trades it would have generated on the S&P 500 index from (i think) ~1949 to 2007.
I'm just wondering
1. Has anyone noticed that this was an almighty bullish period for this index and that buy & hold would have actually performed as well if not better over the same period?
2. If you sold when he said to buy and bought when he said to sell, you'd have done quite well as well (reference his data in the appendix)
3. Has anyone come across a good on-line or software tool to carry out retrospective analysis of such investing systems? (Specifically I would like to get one that calulated real rates of return as opposed to absolutes, and that could compare a live investment's return versus the no risk returns available from cash/treasuries over the same period?
I hope this post is of use to those who may consider trend/momentum trading as a totally proven methodology. i.e. User beware, just cos a system appears to work with really favourable data over a long period may not mean it works with data that might not be as favourable or just may not fit its algorythm for generating returns e.g. how would it do with FTSE 100, Commodities, House Prices over long period versus buy & hold and versus investing in no risk alternative e.g. cash/treasuries over the same timescales. I remain to be convinced tbh.
My query was and is: has anyone run this system (or algorythm) over any other market data over long term e.g. property market, ftse, gold, nasdaq, etc, etc to prove that it actually works on more than 1 set of market data????
However, The actual entry and exit strategies are dubious to say the least.
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