Category: Backtests
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What a Difference a Day Makes (or, “Fooled by Look-Ahead Bias”)
This year I’ve written a few times about using the 200-day Moving Average (200MA) as a market timing indicator. Evolved Perspective on the 200-Day Moving Average Since my last posts my appreciation for and complaints about 200MA have evolved. I previously wrote that if enough speculators begin blindly following the 200MA it could lead…
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Implementation Shortfall with the 200-day SMA Timing Strategy
Yesterday’s post examined the results of following the 200-day SMA rule seemed to work on daily values of the Russell 1000 and 2000. The data showed that a 1-day delay in trading would have benefited the Russell 1000 timer, but hurt the Russell 2000 timer. Today’s post looks at the cost of simply delaying until…
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More on the SMA Rule: Daily Analysis of Russell 1000 and Russell 2000
Following up on comments from my post on the SMA rule, I dug into applying the SMA rule using daily data on the Russell indexes. I only looked at the Russell 1000 and 2000 for this post. Russell’s website provides daily index values since June 1995, so the earliest decision you could have made using…