b*****h
发帖数: 3386 | 1 谁有系统估算一下吧。 然后查查统计数据，大盘均线成死叉的
后果多严重。 |
S******t
发帖数: 8388 | 2 可能range越来越小，最后两均线纠缠。大盘就在这上下浮动。 |
b*****h
发帖数: 3386 | 3 hehe, just a heads up. I've been watching this possibility,
but have never taken it seriously until today though.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Does this case have ever happened for $SPX's SMA50 and SMA200?
Where is lili, gives us some statistics. hehe
【在 S******t 的大作中提到】
: 可能range越来越小，最后两均线纠缠。大盘就在这上下浮动。
|
b*****h
发帖数: 3386 | 4 A simple linear estimation indicates there are about two and half weeks left.
Time is still enough for bulls to turn it around, probably.
【在 b*****h 的大作中提到】
: 谁有系统估算一下吧。 然后查查统计数据，大盘均线成死叉的
: 后果多严重。
|
y***q
发帖数: 4147 | |
T*********s
发帖数: 17839 | 6 possible :)
【在 S******t 的大作中提到】
: 可能range越来越小，最后两均线纠缠。大盘就在这上下浮动。
|
N***i
发帖数: 2063 | 7 我最近也在想这个，但是没有想明白
【在 b*****h 的大作中提到】
: 谁有系统估算一下吧。 然后查查统计数据，大盘均线成死叉的
: 后果多严重。
|
y***q
发帖数: 4147 | |
l*******r
发帖数: 3799 | 9 golden/dead cross is not very useful indicator at least for index.
Buying into golden cross and shorting into dead cross has similar gain to
buy&hold, yet much lower drawdown. |
b*****h
发帖数: 3386 | 10 Can anybody provide any statistics? the consequence after
the SMA50,200 death cross for $SPX.
I can only saw last 2 death crosses from stockcharts.
Market got away from 1st one and formed double-bottom,
but crashed at the 2nd one, as we all know.
【在 l*******r 的大作中提到】
: golden/dead cross is not very useful indicator at least for index.
: Buying into golden cross and shorting into dead cross has similar gain to
: buy&hold, yet much lower drawdown.
|
|
|
f*****e
发帖数: 94 | 11 CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
1990-02-26] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
1990-09-07] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
1994-04-19] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
1998-09-29] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
1999-11-04] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
2000-10-30] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
2004-08-18] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
2006-07-19] = yes
CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
2007-12-21] = yes |
f*****e
发帖数: 94 | 12 Not so indicative actually, because for the MA crossover system one needs
the MAs heading toward the SAME direction. Now the MA200 is still ticking up
... (slowly though) |
b*****h
发帖数: 3386 | 13 All down? I remember the market went up after the one on 2006-07-19.
【在 f*****e 的大作中提到】
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1990-02-26] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1990-09-07] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1994-04-19] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1998-09-29] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1999-11-04] = yes
|
f*****e
发帖数: 94 | 14 These are just the dates when SMA 50 crossed over below SMA 200 since 1990.
For the 2006 case, 50 crossed over above 200 again on 9/12/2006. |
b*****h
发帖数: 3386 | 15 oh, I see. Thanks. How did the market perform after the death cross?
After the death cross in 2006, the market kept going up for another
year.
but after the one at the end of 2007, the market went to crash eventually.
What about the rest of cases?
.
【在 f*****e 的大作中提到】
: These are just the dates when SMA 50 crossed over below SMA 200 since 1990.
: For the 2006 case, 50 crossed over above 200 again on 9/12/2006.
|
b*****h
发帖数: 3386 | 16 If we have CrossOverUp, we can probably tell how long each damage
was created after each deathcross...
【在 f*****e 的大作中提到】
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1990-02-26] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1990-09-07] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1994-04-19] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1998-09-29] = yes
: CrossOverDown[{I:SMA 50 {I:Prices CLOSE}}, {I:SMA 200 {I:Prices CLOSE}}][
: 1999-11-04] = yes
|
f*****e
发帖数: 94 | 17 嗯，系统测试：50，200死叉后short，30天后cover的结果
1990-02-27 Sell 30 at 328.6800
1990-04-10 Buy 30 at 341.3700
Result: -4.68% => -461
1990-09-10 Sell 29 at 323.4200
1990-10-22 Buy 29 at 312.4800
Result: 2.64% => 247
1994-04-20 Sell 22 at 442.5400
1994-06-03 Buy 22 at 457.6500
Result: -4.22% => -411
1998-09-30 Sell 8 at 1049.0200
1998-11-11 Buy 8 at 1128.2600
Result: -8.30% => -697
1999-11-05 Sell 6 at 1362.6400
1999-12-20 Buy 6 at 1421.0300
Result: -5.00% => -409
2000-10-31 Sell 5 at 1398.6600
2000-12-13 Buy 5 at 1371.1800
Result: 1.34% => 94
2004-08-19 Sell 7 at 1095.1700
2004-10-01 Buy 7 at 1114.5800
Result: -2.43% => -186
2006-07-20 Sell 6 at 1259.8100
2006-08-31 Buy 6 at 1304.2500
Result: -4.19% => -316
2007-12-24 Sell 5 at 1484.5500
2008-02-07 Buy 5 at 1324.0100
Result: 10.22% => 758 |
f*****e
发帖数: 94 | 18 60天cover:
1990-02-27 Sell 30 at 328.6800
1990-05-23 Buy 30 at 358.4300
Result: -9.90% => -977
1990-09-10 Sell 27 at 323.4200
1990-12-04 Buy 27 at 324.1100
Result: -0.94% => -82
1994-04-20 Sell 20 at 442.5400
1994-07-18 Buy 20 at 454.4100
Result: -3.43% => -304
1998-09-30 Sell 8 at 1049.0200
1998-12-24 Buy 8 at 1228.5400
Result: -17.93% => -1504
1999-11-05 Sell 5 at 1362.6400
2000-02-02 Buy 5 at 1409.2800
Result: -4.06% => -277
2000-10-31 Sell 4 at 1398.6600
2001-01-29 Buy 4 at 1354.9200
Result: 2.53% => 141
2004-08-19 Sell 6 at 1095.1700
2004-11-12 Buy 6 at 1173.4800
Result: -7.80% => -513
2006-07-20 Sell 5 at 1259.8100
2006-10-13 Buy 5 at 1362.8200
Result: -8.83% => -556
2007-12-24 Sell 3 at 1484.5500
2008-03-24 Buy 3 at 1330.2900
Result: 9.84% => 438 |
f*****e
发帖数: 94 | 19 240天cover
1990-02-27 Sell 30 at 328.6800
1991-02-07 Buy 30 at 358.0700
Result: -9.79% => -966
1994-04-20 Sell 20 at 442.5400
1995-04-03 Buy 20 at 500.7000
Result: -13.96% => -1236
1998-09-30 Sell 7 at 1049.0200
1999-09-14 Buy 7 at 1344.1300
Result: -28.94% => -2125
1999-11-05 Sell 4 at 1362.6400
2000-10-18 Buy 4 at 1349.9700
Result: 0.33% => 18
2000-10-31 Sell 4 at 1398.6600
2001-10-19 Buy 4 at 1068.6100
Result: 23.07% => 1291
2004-08-19 Sell 6 at 1095.1700
2005-08-02 Buy 6 at 1235.3500
Result: -13.47% => -885
2006-07-20 Sell 4 at 1259.8100
2007-07-05 Buy 4 at 1524.8600
Result: -21.71% => -1094
2007-12-24 Sell 3 at 1484.5500
2008-12-05 Buy 3 at 844.4300
Result: 42.65% => 1900 |
b*****h
发帖数: 3386 | 20 cool! so, the death cross looks really not so indicative.
【在 f*****e 的大作中提到】
: 240天cover
: 1990-02-27 Sell 30 at 328.6800
: 1991-02-07 Buy 30 at 358.0700
: Result: -9.79% => -966
: 1994-04-20 Sell 20 at 442.5400
: 1995-04-03 Buy 20 at 500.7000
: Result: -13.96% => -1236
: 1998-09-30 Sell 7 at 1049.0200
: 1999-09-14 Buy 7 at 1344.1300
: Result: -28.94% => -2125
|
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f*****e
发帖数: 94 | 21 可能要加一些filter吧，比如均线方向或者价格和均线的关系什么的 |
b*****h
发帖数: 3386 | 22 oh, what about death cross and SMA200 moving downwards?
I have always thought it is signficant to see the directional change
on the long term indicators like SMA200 of a slow-moving broad
market index.
【在 f*****e 的大作中提到】
: 可能要加一些filter吧，比如均线方向或者价格和均线的关系什么的
|
b*****h
发帖数: 3386 | 23 SMA200 is bended down today.
【在 b*****h 的大作中提到】
: oh, what about death cross and SMA200 moving downwards?
: I have always thought it is signficant to see the directional change
: on the long term indicators like SMA200 of a slow-moving broad
: market index.
|
