Subject: Re: Wild-and-crazy idea
Using the daily data for the NASDAQ index from YAHOO, starting on 1/1/1985, I find the following
(How are tables created on this site?):

B&H:
CAGR: 11%
Max DD: 78%

Using EMA(13):
CAGR: 12%
Max DD: 45%

Using EMA(13) and 2x leverage:
CAGR: 24%
Max DD: 77%

Using EMA(13) and 3x leverage:
CAGR: 33%
Max DD: 93%


With some data mining, I found EMA(36) works better:

1x leverage:
CAGR: 13%
Max DD: 29%

2x:
CAGR: 25%
Max DD: 51%

3x:
CAGR: 35%
Max DD: 67%


SMA worked, too, but the returns were lower, and the Max DD's were much worse. Of course, who wants to do the analysis and trading every single day? Looking at monthly data, on the other hand, SMA gave better results than EMA, particularly the data-mined SMA(9):

1x leverage: (return is 1%-point less than B&H, but the Max DD is a lot less)
CAGR: 10%
Max DD: 32%

2x:
CAGR: 17%
Max DD: 61%

-Jim