SPX Crosses Below 50-Day Moving Average: It Matters, Sometimes

On Friday S&P500 closed below its 50-day simple moving average for the first time since 3 July.

SPX, SMA50 + SMA200, 2013

While the classical signal emerging from this situation would be to go short, in an uptrend like this more people will probably be looking at going long, betting on S&P500 to “reject” or “kiss” the moving average and resume the uptrend.

Below you can see how this simple strategy would have worked in the past.

Buy at close when SPX closes below SMA50 after at least 20 days above, sell at close N trading days later

Not as consistently bullish as one would think, especially during the first few days.

Related pages

how to change font size in notepadexcel function stdevoption spread calculatorcalculator for negative and positive numbersfifo accounting calculatorscholes mertonequation for sample variancecalculate averages in excelexcel formula explanationsstdev excelformula for variance for ungrouped datacalculate standard deviation on excelsharpe ratio interpretationcontinuous compounding excelprofit loss formulashedge fund macro strategyblack scholes formula excelcharacteristics of a hedge fundoption trading greek symbolsfutures multiplierexcel standard deviation formulapayoff of call optionlog formula in exceldow weightingreverting to the meancollar option payoffarithmetical averagetheta calculatorformula for wacchow to calculate option deltablack and scholes model formulaetf listsproshare ultrastandard deviation computational formulaoptions notional valueannualized formula excelskewness and kurtosis definitioncut your losses definitionweighted average method of inventory valuation examplehistorical var calculationultra short s&pmacd histogram indicatorvix stockhedge fund 13fhedge fund definition exampleleptokurtic distributioncoefficient of skewnesshow to calculate implied volatility of a stockusing excel to calculate standard deviationdef of standard deviationhow to invest in the vixrumus black scholesnormal distribution calculator exceldaily volatility calculation formulatvix velocitysharessum of squared deviation calculatorvix index etfcalculate realized volatilitynormdist function in excelskew definition mathdow jones index calculation methodologyhow to calculate variance on a calculatormomentum indicators in technical analysisberkshire hathaway 13-favco definitionvix options expirationskewness exampleshistorical volatility vs implied volatilitystandard error of the mean formula excelcalculating implied volatilityskewness moments and kurtosisetf etccboe vix futurepayoff of call optionformula for calculating standard deviation in statisticshow to invest in vixindexation formula