I was working on testing a market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen.
After doing the comparison, the market timing indicator compared well. But then I realized I had not written a blog post about my additions.
For me, the goal of using the 200-day MA to trade the SPY is to get about the same CAR but with a significant reduction in MDD.
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Good Quant Trading,
Cesar
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