SP500 Model to Yield Sell Signal (Likely)

A trend following strategy for the SP500 that utilizes the 40 week moving average and a filter constructed from the trends in gold, CRB Index, and yields on the 10 year Treasury will in all likelihood yield a sell signal if prices on the SP500 close this week below the 40 week moving average.

This is a strategy that I have chronicled in great detail here, here, and here.

As a quick refresher, since 1973 this strategy has yielded 1400 SP500 points; buy and hold netted about 1050 SP500 points.  There have been 73 trades and only 2 trades had losses greater than 5%.  Your market exposure was approximately 60%.  In essence, with this strategy, you would have achieved a return 30% greater than buy and hold with 40% less market exposure and with significantly less risk.A trend following strategy for the SP500 that utilizes the 40 week moving average and a filter constructed from the trends in gold, CRB Index, and yields on the 10 year Treasury has given a buy signal .

This strategy issued a buy signal 2 weeks ago, and a sell signal will be issued today if the SP500 does not close above the 40 week moving average.  Of course, anything can happen in this market, so we won’t get ahead of ourselves until the deed is done.  This is a trend following strategy and the current loss (if that is what it turns  out to be) is consistent with such a trading system —small losses, big winners.  If the trade is closed out today, then the loss will be in the range of 2%.

Of note, our other SP500 trading model still remains on a buy signal.

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Category: Equities, Strategy