I have done a "back of the envelope" backtest of weekly ^GSPC high/low prices back to December 1927. Weekly BUY and SELL signals were calculated using FlyingCircus's spreadsheet. For each BUY signal the index was purchased at the high for that Week, and eventually sold at the low when the BUY signals stopped. This is obviously a worst-case scenario as far as buys and sells are concerned.

On this basis (and this was done by hand, so caveat lector), there have been 34 trades since 1927. Eight were sold at a loss, one was a wash.

Total return over the whole period was 31,720%. Buying and holding the index over the same period returned 23,195%.

Obviously, this is an interesting preliminary result, but it needs to be checked by somebody with better Excel skills than I possess.

Baltassar

Mechanical Investing FAQ

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