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Mark Seleznov is the Chief Investment Officer of Seleznov Capital Advisors (SCA). SCA is a SEC registered investment advisory firm that performs advisory services for Mutual Funds, Trusts, 401K plans and Individuals. Mark supervises the asset allocation programs of SCA in a variety of strategic... More
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  • Systematic Trading of the 200 day simple moving average, ETF’s (QQQQ) 2 comments
    Nov 13, 2009 08:41 PM | about stocks: SPY, ILF, IYM, OIH, EWY, EWA, FXI, EWW, EPP, SLV, GLD, MDY, IJH, XLB
    Systematic trading using the 200 day simple moving average is used by many of the largest college endowments, money managers and registered investment advisors. I am opposed to using one system for all assets, but the 200 day simple moving average system and versions of it is an excellent trading plan.
    Versions include confirmation of a few days of consecutive days above or below and also another short term moving average combination.
    The recent run in the markets since the March 6th 2009 lows issued Buy signals on various dates in April and May.
    The below chart shows the current 200 day simple moving average condition on the 40 most actively traded ETF’s.
    Security Name
    Above200
    Below200
    Percent
    Ticker Symbol
    IShares Australia
    1
    0
    1.392
    EWA
    IShares Latin America
    1
    0
    1.3501
    ILF
    IPath India Index
    1
    0
    1.3404
    INP
    IShares Pacific ex Japan
    1
    0
    1.3284
    EPP
    IShares Mexico
    1
    0
    1.2977
    EWW
    IShares Basic Materials
    1
    0
    1.2865
    IYM
    SPDR Metal & Mining
    1
    0
    1.2825
    XME
    SPDR International Real Estate
    1
    0
    1.2615
    RWX
    IShares United Kingdom
    1
    0
    1.2551
    EWU
    IShares DJ Real Estate
    1
    0
    1.2523
    IYR
    IShares 25 Index
    1
    0
    1.2484
    FXI
    Oil Service Holders
    1
    0
    1.2324
    OIH
    EWY
    1
    0
    1.2305
    EWY
    SPDR Consumer Descretionary
    1
    0
    1.2291
    XLY
    IShares Taiwan
    1
    0
    1.228
    EWT
    IShares South Africa
    1
    0
    1.2249
    EZA
    NDX 100
    1
    0
    1.214
    QQQQ
    IShares MSCI EAFE
    1
    0
    1.2118
    EFA
    SPDR Indutrial Sector
    1
    0
    1.2096
    XLI
    IShares Hong Kong
    1
    0
    1.209
    EWH
    IShares Financial Sector
    1
    0
    1.2054
    IYF
    IShares Germany
    1
    0
    1.2041
    EWG
    SPDR Technology
    1
    0
    1.2039
    XLK
    SPDR Materials
    1
    0
    1.2012
    XLB
    IShares Silver
    1
    0
    1.1983
    SLV
    Ishares DJ Transportation
    1
    0
    1.1959
    IYT
    IShares Mid Cap 400
    1
    0
    1.1883
    IJH
    SPDR Mid Cap
    1
    0
    1.1881
    MDY
    Diamond Trust DOW
    1
    0
    1.1836
    DIA
    IShares S&P 500 Growth
    1
    0
    1.1803
    IVW
    S&P 500
    1
    0
    1.1755
    SPY
    Semiconductor Holders
    1
    0
    1.1711
    SMH
    SPDR Gold Shares
    1
    0
    1.1653
    GLD
    SPDR S&P Homebuilders
    1
    0
    1.1558
    XHB
    Energy Select SPDR
    1
    0
    1.1555
    XLE
    US Oil
    1
    0
    1.1529
    USO
    Ishares S&P Small Cap 600
    1
    0
    1.1439
    IJR
    SPDR Consumer Staples
    1
    0
    1.1407
    XLP
    SPDR Healthcare
    1
    0
    1.1244
    XLV
    DB Commodity Index
    1
    0
    1.0931
    DBC
    Pharmaceutical Holders
    1
    0
    1.0492
    PPH
    IShares MSCI Japan
    1
    0
    1.0479
    EWJ
     
    The week ending November 13, 2009 saw all 40 most actively traded ETF’s all above their 200 day simple moving average. ( A “1” indicates above the 200 day SMA, a “0” indicates below the 200 day SMA) The third column indicates percent above or below 200 day SMA.
    The percentage above the 200 day moving average varies from 4% to 39%.
    This is a snap shot and you should be aware that this condition can change and will change any day in the future.
    We monitor the 200 day moving average daily along with a number of other systematic trading plans.
    There is No “Holy Grail” in trading systems. Do not use the 200 day SMA or any other systematic trading system without proper research on the asset.
    For questions on systematic trading, contact mark@seleznovcapitaladvisors.com
    Themes: Systematic trading, SPY, DIA, RUT, QQQQ, EEM, IYM, ILF, XLF, 200 day moving average, EWA, INP, IYR Stocks: SPY, ILF, IYM, OIH, EWY, EWA, FXI, EWW, EPP, SLV, GLD, MDY, IJH, XLB
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This post has 2 comments:

  •  
    Hi Mark,
    given that 90% of all stocks are above their 200 DMAs. and even emerging markets are their peak spreads of +30% to +40% above their 200 DMAs, do you have any view on how long can this last and when can this reverse ?
    I have done an estimate of mean reversion to 200 DMA after such periods of overbought-ness on India`s NIFTY index. posted at
    seekingalpha.com/insta...
    any views?
    ~ djvu
    Nov 15 03:38 AM | Link | Reply
  •  
    All indexes can stay in a trend for a long time. Over a month after this post, they are still all above the 200 day moving average. But as we know, they will all fall below any trend and a sell signal will occur.

    The 200 day is certainly not the best indicator for all indexes or ETF's.


    On Nov 15 03:38 AM Djvu wrote:

    > Hi Mark,
    > given that 90% of all stocks are above their 200 DMAs. and even emerging
    > markets are their peak spreads of +30% to +40% above their 200 DMAs,
    > do you have any view on how long can this last and when can this
    > reverse ?
    > I have done an estimate of mean reversion to 200 DMA after such periods
    > of overbought-ness on India`s NIFTY index. posted at
    > seekingalpha.com/insta...
    >
    > any views?
    > ~ djvu
    Dec 10 07:05 PM | Link | Reply
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