19
Feb
10

estrategia: ¿200 day moving average?

Wayne Whaley en un post en Traders.com se plantea testear las estrategias que siguen los movimientos de las medias móviles (50, 100, 200 dias), comparandolas contra la estrategia buy and hold, en un horizonte temporal de 40 años (1970-2009).

  • The 200-day moving average crossover rule is the most profitable of the seven moving averages (50, 100, 150, 200, 250, 300, 350) studied for the 40-year time period selected on the S&P 500. This may explain the popularity of the 200-day moving average.
  • None of the moving average strategies were profitable on the short side. This is because the S&P 500 has a positive bias during this time frame.
  • None of the moving average strategies yielded more than the 11.5% return obtained with the buy & hold plus dividends strategy.

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