A week ago or so I listed some statistics to a long term
mechanical system I made for the S&P 500 going back to
1961. Here's a video and a newsletter page, which shows two
detailed tables with each trade and statistics, basically the
system would have returned about 140 times your money since
1961. One system takes both longs and shorts, while the other
system takes longs only (i.e. with an employer based 401K in mind
where you can't short). Currently the system went long on
June 5th.
Posted by ehaglund on 21st of Jan 2010 at 12:32 pm
Matt,
Where do you find the details behind your Long Term
System??? I have looked all over the site (including the
Premium Content section and can not find it? Please advise--
thank you!
didn't you watch my video last night? I said it would be
placed into a new section on the website called '401K manager' in
the near future maybe next couple weeks,
I was asked by a few members to do the statistics for the 13/34
EMA crossover and a 50/200 day EMA crossover, I did the back
test and the results are as follows:
since 1961 using the 13/34 weekly EMA, the return was about 19
times your money
Buy and hold was 17 times your money - so really not much
better
The 50/200 day EMA was a little better at 23 times your
money
However my system was 140 times, which blows the 13/34 or
50/200 out of the water. Even the long only was 75 times your
money.
Matt, regarding your system and with the possiblility of a
signal soon, have you tested your system against the "daily" not
weekly 13, 34 ema crossover?
I would be very interested in this as I am currently using that
as a gauge of long term.
Also, is this the scale out system you had talked about
earlier?
Yes I have a scaleout on the system, it actually scalled out a
week ago, however the data I showed doesn't include the scale out,
I just showed the non-scaleout results. as far as 13/34
daily, it's not good, it works well when market trends, and get's
chopped out when market is not trending, strategy is only 31%
profitable for 13/34 daily
here's a chart with scaleouts for the long term system, you can
see that it scaled out of some about a week ago
I didn't realize the 13, 34 daily had so many whipsaws. I've
been waiting for a long term signal for the retirement and longer
term holdings.
Will you be posting the scaleouts in this new section? And will
there be anything on this available for purchase after you get that
section up and running?
I love the scale out system and had devised something similiar
myself but it was all based on the 13, 34 daily. I had not
backtested more than 3 years so my bubble is burst a little on that
one.
Cant you short via the 1x Short ETFs now in an IRA/401k/Keogh??
It would be interesting to see the returns that would have offered
using the short etf for the few months/years it has been
available.
dividends are not taken into account. And I'll just post
the trades, I mean, it doesn't change that often obviously.
Eventually this system as well as other long term systems and
indicators will be placed in a new Section called Long Term, or
Long Term 401lk etc. Of course now we need an
intermediate system that gives a few more trades. Anyway my
ultimate goal is to make BPT the best place on the 'net' for
traders whether you are a day trader, swing trader, systems trader,
gold bugs, or just trying to manage your longer term accounts
better etc.
"...ultimate goal is to make BPT the best place on the 'net' for
traders whether you are a day trader, swing trader, systems trader,
gold bugs, or just trying to manage your longer term accounts
better etc."
Perfect! This will help me so much as I cannot day-trade.
Thanks!
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Long Term System
Posted by matt on 20th of Jan 2010 at 12:10 am
A week ago or so I listed some statistics to a long term mechanical system I made for the S&P 500 going back to 1961. Here's a video and a newsletter page, which shows two detailed tables with each trade and statistics, basically the system would have returned about 140 times your money since 1961. One system takes both longs and shorts, while the other system takes longs only (i.e. with an employer based 401K in mind where you can't short). Currently the system went long on June 5th.
Long Term Mechanical System for S&P 500 for 401K's and IRA's
Matt, Where do you find the
Posted by ehaglund on 21st of Jan 2010 at 12:32 pm
Matt,
Where do you find the details behind your Long Term System??? I have looked all over the site (including the Premium Content section and can not find it? Please advise-- thank you!
didn't you watch my video
Posted by matt on 21st of Jan 2010 at 12:38 pm
didn't you watch my video last night? I said it would be placed into a new section on the website called '401K manager' in the near future maybe next couple weeks,
I missed that comment --
Posted by ehaglund on 21st of Jan 2010 at 12:44 pm
I missed that comment -- thanks.
in regards to the Long
Posted by matt on 20th of Jan 2010 at 04:13 pm
in regards to the Long Term system that I posted last night, here's the link again
Long Term Mechanical System for S&P 500 for 401K's and IRA's
I was asked by a few members to do the statistics for the 13/34 EMA crossover and a 50/200 day EMA crossover, I did the back test and the results are as follows:
since 1961 using the 13/34 weekly EMA, the return was about 19 times your money
Buy and hold was 17 times your money - so really not much better
The 50/200 day EMA was a little better at 23 times your money
However my system was 140 times, which blows the 13/34 or 50/200 out of the water. Even the long only was 75 times your money.
Matt, regarding your system and
Posted by oreo on 21st of Jan 2010 at 11:55 am
Matt, regarding your system and with the possiblility of a signal soon, have you tested your system against the "daily" not weekly 13, 34 ema crossover?
I would be very interested in this as I am currently using that as a gauge of long term.
Also, is this the scale out system you had talked about earlier?
Yes I have a scaleout
Posted by matt on 21st of Jan 2010 at 12:12 pm
Yes I have a scaleout on the system, it actually scalled out a week ago, however the data I showed doesn't include the scale out, I just showed the non-scaleout results. as far as 13/34 daily, it's not good, it works well when market trends, and get's chopped out when market is not trending, strategy is only 31% profitable for 13/34 daily
here's a chart with scaleouts for the long term system, you can see that it scaled out of some about a week ago
I didn't realize the 13,
Posted by oreo on 21st of Jan 2010 at 02:27 pm
I didn't realize the 13, 34 daily had so many whipsaws. I've been waiting for a long term signal for the retirement and longer term holdings.
Will you be posting the scaleouts in this new section? And will there be anything on this available for purchase after you get that section up and running?
I love the scale out system and had devised something similiar myself but it was all based on the 13, 34 daily. I had not backtested more than 3 years so my bubble is burst a little on that one.
Thanks again!
system rules
Posted by robertgtaylor on 20th of Jan 2010 at 08:14 am
I missed the rules for the long term mechanical system, where are they posted?
When will the parameters for
Posted by duesy on 20th of Jan 2010 at 08:08 am
When will the parameters for this system be available? Looked in the premium content section and did not see it. Looks good.
Thanks for all the good work.
Long Term System
Posted by poohnana on 20th of Jan 2010 at 07:09 am
Really appreciate the longer term systems- thanks so much!
Cant you short via the
Posted by perthx on 20th of Jan 2010 at 12:40 am
Cant you short via the 1x Short ETFs now in an IRA/401k/Keogh?? It would be interesting to see the returns that would have offered using the short etf for the few months/years it has been available.
Hi Matt, just wondering if dividends
Posted by riskmanagerjeff on 20th of Jan 2010 at 12:29 am
Hi Matt,
just wondering if dividends are in the L/S, L only and B&H models?
this is great Matt are you
Posted by trevor on 20th of Jan 2010 at 12:28 am
this is great Matt are you going to keep us updated on the calls - or give us the system paramaters ?
dividends are not taken into
Posted by matt on 20th of Jan 2010 at 12:31 am
dividends are not taken into account. And I'll just post the trades, I mean, it doesn't change that often obviously.
Eventually this system as well as other long term systems and indicators will be placed in a new Section called Long Term, or Long Term 401lk etc. Of course now we need an intermediate system that gives a few more trades. Anyway my ultimate goal is to make BPT the best place on the 'net' for traders whether you are a day trader, swing trader, systems trader, gold bugs, or just trying to manage your longer term accounts better etc.
"...ultimate goal is to make
Posted by sethbru on 20th of Jan 2010 at 02:46 am
"...ultimate goal is to make BPT the best place on the 'net' for traders whether you are a day trader, swing trader, systems trader, gold bugs, or just trying to manage your longer term accounts better etc."
Perfect! This will help me so much as I cannot day-trade. Thanks!