Burkmere, SSO and SDS have only been in existence since 2006, whereas Matt's long term SPY system goes back to 1961.

However, one can obviously get a feel for how SSO and SDS might have fared over the whole period by just comparing for the five years they have been around.

Happily, the long term SPY system triggers very few trades - if you look at the stats via the tab, there have been only eight trades since 2006, including the current trade. In just a few minutes a manual check of SSO and SDS on the eight pairs (buy/sell) of dates in question would give you the answer you are looking for. I would do it myself, but it is 11.30 pm here and I'm going to bed...zzz   [eye patches]

Flash Crash anniversary hoax? Hold on to your hats... 

Falcon, my blog post from the other day:

It would be an interesting exercise to calculate the total value of shares/contracts traded in the global multiverse in order to gain exposure to the S&P500 index.

To buy the S&P500, you can:

- go long SPY (x1), SSO (x2), UPRO (x3) or a few other less liquid ETFs

- go short SH (x-1), SDS (x-2), SPXU (x-3) or a few other less liquid inverse ETFs

- go long the e-mini ES futures contract or the original larger SP futures contract

- trade options

- here in the UK, you can gain exposure to the S&P500 via a Pound Sterling denominated ETF which trades during London Stock Exchange hours - how? I emailed iShares to find out: "...using proprietary pricing models that utilise futures, ADRs and proxy pricing information to indicate underlying price (as markets would be trading at different times)."

Here is Matt's $Silver % +/- 200MA chart from his newsletter.

FWIW, second chart is my TS version using a simple oscillator indicator, so the % difference can be calculated automatically. Horizontal '0' line represents the MA.

Here is the TS code if anyone wants to track any given security for % +/- price extremes vs any stipulated MA (and MA type):

Inputs:
    Length(200),
    Price(close),
    MA_Type(1);
 
Vars:
PctAboveBelowAvg(0),
MyMovingAvg(0);
 
 
if currentbar>length then 
    begin
        if MA_Type=1 then MyMovingAvg = Average(Price, Length);
        If MA_Type=2 then MyMovingAvg = xAverage(Price, Length);
        If MA_Type=3 then MyMovingAvg = wAverage(Price, Length);
        If MA_Type=4 then MyMovingAvg = triAverage(Price, Length);
    end else
        MyMovingAvg=price;
PctAboveBelowAvg =  iff(Price > 0,100*(Price - MyMovingAvg)/MyMovingAvg, -1) ; 
Plot1(PctAboveBelowAvg);
Plot2(0);

At least one of m3 Peter's systems is certainly in agreement - a number of short scale-ins already:

http://2.bp.blogspot.com/-dAdQYZLckCc/Tb3Jj_hpkSI/AAAAAAAACKc/fnLeEWHqqPQ/s1600/2011-05-01_1249_TF_Swing.png

[e-mini Russell 2000 futures chart]

Zach, the FAS/FAZ systems use MA crossovers and/or pivots, which essentially is momentum/breakout trading. In times of low volatility, breakouts and breakdowns become fakeouts and fakedowns because there is not enough momentum to create a sustained trend (which is required to yield a profitable trade).

On the other hand, the SPY system primarily buys dips during an overarching uptrend and shorts rips during an overarching downtrend i.e. reversion to the mean rather than momentum.

You never know, the coding behind the SPY system *might* work just fine for the financial sector, real estate, consumer discretionary, Nasdaq, Russell, gold, etc, etc!

I have never traded futures but have just signed up to do so, therefore I'd be grateful if someone could correct me if I am wrong in the following assertion:

- Regarding the E-mini ES, the contract was worth much less when SPX was at the March 09 lows around 666 vs today at 1350ish. As such, I believe I am correct in saying a 1% move in the ES in March 09 resulted in less points (and therefore $$) profit/loss per contract vs an equivalent 1% today.

- In other words, although using Matt's SPY system to trade the ES will result in the same winning and losing trades, the actual profits and losses in $$ will differ to a fixed $100,000 per SPY trade because of the varying values of the ES contract over time.

And in inflation adjusted terms, arguably Silver still has a long, long way to go...

Price stuck between R3 and the intraday VWAP - something has to give before the close........?