After a quick perusal of SPY on Yahoo charts, it seems using the 50 day gives better results than the 200 day. There were several cases where it got you in at a lower price and out higher, and a couple of cases where it got you in for a profit where with the 200 day you would have stayed in cash. Of course that means more trades, commissions, tax hits, etc. Needs more testing. BTW, what do you use for backtesting? I saw your review at Amazon. I have ordered the book.
My backtesting is pretty sloppy, consisting of looking at Yahoo charts and looking at the crossovers and slopes.
Things are often not as they seem. A quick test on http://www.etfreplay.com/backtest_ma.aspx for SPY, from Jan 2000 shows: Total return of 30.4% with 9.9% drawdown using simple 200 moving average on the day price crosses the avg. Total return of 84.8% with 5.8% drawdown using 200 simple moving average at month end only Total return of -15.6% with 35% drawdown using 50 simple moving average on the day prices crosses the avg. Total return of -1.8% with 29.2% drawdown using 50 simple moving average at month end only The drawdowns don't appear to be calculated correctly, perhaps they are just using worst month or worst trade, I'm not sure. In any case I've seen similar results in my own testing. The 50 day average just gets whipsawed too much to be effective.
oktiri, are you out there? I believe the OP has left the thread and we are all just talking to ourselves. Oh, well.
Issuer Rating Coupon Currency Maturity Isin Denomination European Bank for Reconstruction and Development AAA 9,500% BRL 6/11/2013 XS0460362808 5000 Indicative Price Yield to maturity Date of info 103,28% 8,24% 12/10/2010