System 6 started with $100,000 on 7/7/15. It was inspired by Gary Gordon's and Mebane Farber's use of the 10-month MA of the S&P 500 to generate buy and sell signals. System 6 simply buys SPY at the close when the S&P 500 hits a 22-day high (intra-day), and sells SPY at the close, when the S&P hits a 65-day intra-day low. It buys IEF when not in SPY. The system sold SPY on 10/11/17 for $273.8, and bought 1206.1 shares of IEF at $110.42, for a total value of $121,120. Today, the S&P hit a 22-day high. The 15.55 price of IEF was $103.78, and there were three dividends for a total of $.641. So the shares fetched $125,942. The 15.58 price for SPY was $262.88, which bought 479 shares. This was a good trade.
The 65-day low for the S&P is 2346.58, and that is true for more than 2 months.
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