Wednesday, September 2, 2015

Bear momentum signal on S&P 500

200-day moving average was popular long before 2000, but those two bear markets since 2000 could be impressively smoothed out with a simple rule "stay in cash below 200-day moving average". The fact is, there are more effective lines for this. From my own research, 9-month past price works better for S&P 500 than 200-day moving average.

If we catch signals at the ends of months - to prevent whipsaw around switch line - then at the August closing we have a bear signal! The first one since 2011.

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