Post #1800 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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Following up on Lizdal's post with timing for the equal weight SP500, it doesn't look like using the 200 sma would be a winning strategy for LEAPS.

Since 19921231

Equal weight hold 63 days has a CAGR of 11.2% and SAWR of 8.01%. With timing being out below 200 SMA, CAGR 9.1% and surprising to me, SAWR of only 6.99%

From Lizdal's post

->-> SMAB uses the SMA slope change. To check if the S&P is below its MA200:
SP500EW_sell_if_SMAC
"Close all liquid positions and hold cash on any market dates where SMAC < 0"
[SMAC]: [[1-day SMA lag 0] - [200-day SMA lag 0]]
https://gtr1.net/2013/?~SP500EW_sell_if_SMAC:h63::...

Aussi

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