SMA21-SMA200 ratio timing (hold S&P 500 when ratio >1, else cash; month-end) underperformed buy-and-hold S&P 500 in the 1950-onward subsample (7.30% vs 8.17% CAGR; gross, lookahead-biased design; data Dec 1927–Nov 2024).
"Distance Between Fast and Slow Price SMAs and Stock Returns" finds that extreme distance between a 21-trading day simple moving average (SMA21) and 200-trading day simple moving average (SMA200), as applied to individual U.S. stock price series, may be a useful stock return predictor. "Distance Between Fast and Slow Price SMAs and Country Stock Index Returns" finds that extreme distance between a 30-calendar day simple moving average and 300-calendar day simple moving average, as applied to country stock market indexes, may be a useful index return predictor. Do these findings apply the time series for the S&P 500 Index (SP500)? To investigate, we test relationships between the SMA21-SMA200 ratio for SP500, measured at month-ends, to SP500 future monthly returns. Using daily SP500 closing levels from the end of December 1927 through November 2024, we find that:
SPY After Death and Golden Crosses PremiumSPY showed little difference in average 126-day total returns after death versus golden crosses (50-day SMA crossing below/above 200-day SMA; Jan 1993–Apr 2025; 15…
Long-term SMA and TOTM Combination Strategy PremiumSMA200 or TOTM (hold SPY above its 200-day SMA, otherwise only turn-of-month days, cash at other times) ranked first by CAGR and Sharpe ratio…
SMA Signal Effectiveness Across Stock ETFs PremiumBuy-and-hold beat six SMA timing rules (50/100/200-day, all-three, at-least-one, 50>200 cross) on average net CAGR with 0.1% switching cost; it won 15 of 21…
10-month vs. 40-week vs. 200-day SMA Premium10-month SMA timing of SPY outperformed 40-week and 200-day SMAs (10.1% vs 8.0% and 8.3% average annual net return; Nov 1993–Apr 2023; SPY/T-bill switching…
