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

16 oct 2015

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