The 200ma Cross

Cobra

The Nasdaq 100 led the way today as it rose over 3% and closed decisively above its 200-day moving average. It is the 1st major index to retake the 200-day (the S&P mid-cap 400 also did it today if you consider that one major). Some people believe the 200-day moving average is an important technical measure. Some suggest it’s a somewhat meaningful psychological level. Others see little value in looking at it. Rather than discuss and postulate on the merits of an indicator, I prefer to test it. Let’s see what a cross of the 200-day moving average in the NDX has led to in the past. (Test period is mid 1986 - present.)

Over the period tested the average gain per day in the Nasdaq 100 was just under 0.09% ($90). As you can see, the market seemed to gain steam after crossing the 200-day moving average and strongly outperformed the typical period.

What if we add a filter to eliminate those times where it barely peeked across? I filtered to only look at crosses that finished at least 0.5% above the 200ma. Results below:


These results are even stronger.

How about if we also require that the NDX makes a good-sized move on the day of the cross? I used a 2% gain to test this. More results:


Whatever the reason, a move through the 200-day moving average has provided the NDX some extra fuel in the past. When the move was strong and decisive like Thursday, that made for even better results. A cross above the 200-day moving average isn’t a magic buy signal – but there are worse ones.

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原帖由 Cobra 于 2008-5-2 17:39 发表 [url=http://www.hutong9.com/redirect.php?goto=findpost&pid=72702&ptid=11536][img]Whatever the reason, a move through the 200-day moving average has provided the NDX some extra fuel in the past. When the move was strong and decisive like Thursday, that made for even better results. A cross above the 200-day moving average isn’t a magic buy signal – but there are worse ones.

 

He is bullish, right? how come the last ending sentence sounds a different tone to me?

xiaobailong

原帖由 cookies 于 2008-5-2 17:59 发表 He is bullish, right? how come the last ending sentence sounds a different tone to me?

这句话虽然有点儿出乎意料之外，但是也挺bullish的呀。他说现在这个虽然不是有魔力的买信号，但是已经比别的很多（those worse ones）更好啦。

Cobra

原帖由 cookies 于 2008-5-2 17:59 发表   He is bullish, right? how come the last ending sentence sounds a different tone to me?

 

没问题啊。翻译过来是说，虽然称不上什么神奇的买信号，但他们绝对也不是最糟糕的信号。

xiaobailong

不过，这一次，第一天只涨了0.07%, 远低于上面三个表格中的任何一个。这又说明了什么呢？以后几天会如何发展呢？

xiaobailong

原帖由 xiaobailong 于 2008-5-2 18:16 发表 不过，这一次，第一天只涨了0.07%, 远低于上面三个表格中的任何一个。这又说明了什么呢？以后几天会如何发展呢？

具体数据

NASDAQ-100 (DRM)

(Nasdaq: ^NDX)

Index Value:	1,981.87
Trade Time:	5:16PM ET
Change:	1.43 (0.07%)
Prev Close:	1,980.44
Open:	1,996.31
Day's Range:	1965.84 - 1996.52
52wk Range:	1,668.57 - 2,239.23

qiangge

终于懂了，谢蛇老大

秋之皓月

牛听的高兴， 熊听了舒坦...

原帖由 cookies 于 2008-5-2 17:59 发表 He is bullish, right? how come the last ending sentence sounds a different tone to me?

jeeplover

熊听了怎么会舒坦呢？ 至少我听了很怕。

littlehua

老大的data分析真是好，希望以后多多test

happylux

至少偶今后会一颗红心，三种准备。