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SPX Long/Short Momentum Algorithm Beats S&P500 By A Huge Margin!

SPDR S&P 500 ETF TRUST (AMEX:SPY)  
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AMEX:SPY   SPDR S&P 500 ETF TRUST
SPDR S&P 500 ETF (SPY) SPX (S&P 500 Index) S&P 500 (SPX500) long-term Momentum Indicator (MOM) tactical algorithm Exponential Moving Average (EMA) Relative Strength Index (RSI) index ETF outperformer timing semi-active risk-managed
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spy spx spx500 long-term momentum tactical algorithm ema relativestrengthindex index etf outperformer timing semi-active risk-managed
This simple algorithm uses Exponential Moving Averages of the S&P 500's Relative Strength Index to trigger buy/sell and short/cover signals on a daily chart. I've backtested the algorithm for SPY (1994-present), SPX (1981-present), SPX500 (1971-present), and it beats the S&P 500 in every occasion. The algorithm cannot correctly time every single crash or correction but for the most part, it can avoid and even profit from most major market downturns. Backtest results show that it would have timed both the 2000 and 2008 crashes beautifully.

By the way, a new sell/short signal was generated just a few days ago. The last time this happened was in 2008. Hmm... :)

Algorithm Rules:

Long Entry/Short Exit = EMA100(RSI50) cross> 50
Long Exit/Short Entry = EMA200(RSI50) cross< 50

Enjoy!
~Kory
Kory Hoang (stably.io)

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