20 Day and 50 Day Cross- Time To Short?

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Many of the broader market ETFs have recently seen their 20 day moving averages fall and cross beneath their 50 day moving averages.

Is this is good time to get short?

The Rules:

1. The close is higher than the 200 day moving average (ensures there is still a primary up-trend).

2. The 20dma crosses beneath the 50dma.

3. Sell short SPY, IWM, QQQ on the next open.

4. Buy to Cover n days later.

No commission or slippage included in tests.

The Results: Average Trade

20_50-cross-avg-trade

The Results: Percentage of Winners

20_50-cross-percentage-of-winners

Summary:

With the possible exception of [[IWM]] , it appears that there has been no edge in getting short after the 20 day crosses beneath the 50 day average on these three ETFs. In fact, for [[SPY]] and [[QQQQ]] , the setup has been more effective as a buy signal.

13 Responses to “20 Day and 50 Day Cross- Time To Short?”

  1. Hey Wood, you ever do any analysis on this kind of setup with the 5d and 10d SMAs? 5d crosses above 10d as a buy signal, 5d crosses below 10d as a sell signal?

    • ZMoose, I haven’t focused particularly on those 2 moving averages, but in general, I have done a lot of work on crosses.

      The general rule over the past decade for short-term MAs is to fade the cross, meaning a cross of shorter above longer is a short setup and vice versa. The shorter the MAs, the more this seems to be true.

      If you want a particular study run, let me know Z. I’ll be happy to run it for you.

  2. […] as revenge trading and acting on emotional whims is no way to beat the market.You might recall the previous study did not paint a bearish picture. Still, today’s setup is the gloriously bearish Honey Hole […]

  3. […] covered this before, like here, but inevitably, whenever there is an impending moving average cross, I see mention of it […]

  4. Can I simply say such a relief to locate somebody which really knows what theyre speaking about on the web. You definitely know discover ways to carry a concern to delicate and allow it to be important. Extra individuals need to learn this along with perceive this part of the story. I can’t believe youre no more in style as you undoubtedly contain the gift.

Comments are closed.

20 Day and 50 Day Cross- Time To Short?

410 views

Many of the broader market ETFs have recently seen their 20 day moving averages fall and cross beneath their 50 day moving averages.

Is this is good time to get short?

The Rules:

1. The close is higher than the 200 day moving average (ensures there is still a primary up-trend).

2. The 20dma crosses beneath the 50dma.

3. Sell short SPY, IWM, QQQ on the next open.

4. Buy to Cover n days later.

No commission or slippage included in tests.

The Results: Average Trade

20_50-cross-avg-trade

The Results: Percentage of Winners

20_50-cross-percentage-of-winners

Summary:

With the possible exception of [[IWM]] , it appears that there has been no edge in getting short after the 20 day crosses beneath the 50 day average on these three ETFs. In fact, for [[SPY]] and [[QQQQ]] , the setup has been more effective as a buy signal.

13 Responses to “20 Day and 50 Day Cross- Time To Short?”

  1. Hey Wood, you ever do any analysis on this kind of setup with the 5d and 10d SMAs? 5d crosses above 10d as a buy signal, 5d crosses below 10d as a sell signal?

    • ZMoose, I haven’t focused particularly on those 2 moving averages, but in general, I have done a lot of work on crosses.

      The general rule over the past decade for short-term MAs is to fade the cross, meaning a cross of shorter above longer is a short setup and vice versa. The shorter the MAs, the more this seems to be true.

      If you want a particular study run, let me know Z. I’ll be happy to run it for you.

  2. […] as revenge trading and acting on emotional whims is no way to beat the market.You might recall the previous study did not paint a bearish picture. Still, today’s setup is the gloriously bearish Honey Hole […]

  3. […] covered this before, like here, but inevitably, whenever there is an impending moving average cross, I see mention of it […]

  4. Can I simply say such a relief to locate somebody which really knows what theyre speaking about on the web. You definitely know discover ways to carry a concern to delicate and allow it to be important. Extra individuals need to learn this along with perceive this part of the story. I can’t believe youre no more in style as you undoubtedly contain the gift.

Comments are closed.