I made a long term system for trading the S&P 500 going back
to 1970. The system using 3 moving average cross over
systems, as well as Pivots. It's based on a weekly chart of
the S&P 500.
Here's the results:
The system has a profit factor about about 15. There were
76 trades.
1970 - present, you would have made
88 times your
money. basically
$100K could have turned into $8.8 million.
Buy and hold - buy and holding the S&P 500 from 1970 -
Present -
14 times your money
and another popular strategy, i.e. the golden cross, using a
50/200 EMA crossover, would have generated about
10 times your money,which hasn't been better than buying and holding
I plan to add a Long Term section to BPT and I will add the
system to that section. Could be used to manage 401K's,
etc. I will make a short video shortly to show the system
FYI - 88x over 40 years is 11.8% annual rate of return
(compounded).
Does that return include dividends re-invested? I'm
guessing that it doesn't, or maybe I'm not fully understanding how
this would work. I.e. if you're short you have to pay the
dividend, so it all balances out.
Another thing is that if this is really intended for 401k
accounts, then we would have to figure out a way to go short
without actually shorting, e.g. buy SH.
twins - lol isn't that about what Madoff's fund said it returned
per year, I think Madoff's fund said it returned 10% a year?
lol, so call it the Madoff long term system...well slightly better
since mine did over 11%
but yes you are correct, that's 11.8% per year average.
Posted by doodlebug on 11th of Jan 2010 at 12:01 am
matt-
it sounds interesting, particularly in light of the potential
trader's tax. With a trader's tax, I think alot of us
(okay, maybe only me) will be looking to take longer trades.
Hopefully, they don't start to confiscate our 401ks/IRAs.
here's a quick video on that, I see that the video was cut off,
but no big deal, only made the video as a quick comment. In
the future will post more of course. And of couse I have some
other systems planned that are longer term swing, but not as long
as this one. This system is VERY long term, I have some
shorter term ones planed as well
Ultra Long Term Systems
Posted by matt on 10th of Jan 2010 at 07:13 pm
I made a long term system for trading the S&P 500 going back to 1970. The system using 3 moving average cross over systems, as well as Pivots. It's based on a weekly chart of the S&P 500.
Here's the results:
The system has a profit factor about about 15. There were 76 trades.
1970 - present, you would have made 88 times your money . basically $100K could have turned into $8.8 million.
Buy and hold - buy and holding the S&P 500 from 1970 - Present - 14 times your money
and another popular strategy, i.e. the golden cross, using a 50/200 EMA crossover, would have generated about 10 times your money, which hasn't been better than buying and holding
I plan to add a Long Term section to BPT and I will add the system to that section. Could be used to manage 401K's, etc. I will make a short video shortly to show the system
Title: Ultra long systems FYI -
Posted by twins on 11th of Jan 2010 at 12:45 pm
FYI - 88x over 40 years is 11.8% annual rate of return (compounded).
Does that return include dividends re-invested? I'm guessing that it doesn't, or maybe I'm not fully understanding how this would work. I.e. if you're short you have to pay the dividend, so it all balances out.
Another thing is that if this is really intended for 401k accounts, then we would have to figure out a way to go short without actually shorting, e.g. buy SH.
Bob in NJ
twins - lol isn't that
Posted by matt on 11th of Jan 2010 at 12:48 pm
twins - lol isn't that about what Madoff's fund said it returned per year, I think Madoff's fund said it returned 10% a year? lol, so call it the Madoff long term system...well slightly better since mine did over 11%
but yes you are correct, that's 11.8% per year average.
How about Madoff Plus ?
Posted by twins on 11th of Jan 2010 at 12:56 pm
How about Madoff Plus
? It sounds intriguing. BTW I
added questions to my previous post.
WOuld love to have access
Posted by brophy on 11th of Jan 2010 at 07:13 am
WOuld love to have access to that! Thanks MAtt
matt- it sounds interesting, particularly in
Posted by doodlebug on 11th of Jan 2010 at 12:01 am
matt-
it sounds interesting, particularly in light of the potential trader's tax. With a trader's tax, I think alot of us (okay, maybe only me) will be looking to take longer trades.
Hopefully, they don't start to confiscate our 401ks/IRAs.
thanx,
Looks awesome, Matt! Will you
Posted by oreo on 10th of Jan 2010 at 10:03 pm
Looks awesome, Matt! Will you be making any of these systems available for purchase for use on the StrategyDesk or Ninjatrader platform?
Thanks
here's a quick video on
Posted by matt on 10th of Jan 2010 at 08:57 pm
here's a quick video on that, I see that the video was cut off, but no big deal, only made the video as a quick comment. In the future will post more of course. And of couse I have some other systems planned that are longer term swing, but not as long as this one. This system is VERY long term, I have some shorter term ones planed as well
http://breakpointtrades.com/jing/2010-01-10_1952.swf
Matt, since you looked at
Posted by stevedfw on 10th of Jan 2010 at 08:05 pm
Matt, since you looked at the 50/200 EMA for comparison did you also look at 13/34 EMA?
Holly Cow, I can't wait, thanks
Posted by skorheim on 10th of Jan 2010 at 08:05 pm
Holly Cow,
I can't wait, thanks for your hard work and constant innovation.