|Stock Market Quantitative Investment Strategies|
This is a quantitative rules based strategy usually referred to as the "Moving Average Crossover" system. This particular strategy uses the Dow Jones Large Cap Total Stock Market Index but the same strategy can be used with other indexes.
The Dow Jones Industrial Index (^DJI) is only an index and can not traded. However, this strategy can be simulated by using either of the following ETFs; i) SPDR DJ WIlshire Large Cap ETF (ELR) or, ii) Schwab U.S. Large-Cap ETF (SCHX). The SPDR ETF (ELR) can be traded for free with a Fidelity account and the Schwab ETF (SCHX) can also be traded for free if you have a Schwab brokerage account.
The strategy is either fully invested when a "Golden Cross" occurs or moves 100% to cash (3 month Treasury bills) when a "Dead Cross" occurs.
- A "Golden Cross" occurs when the 50 day moving average crosses above the 200 day moving average.
- A "Dead Cross" occurs when the 50 day moving average crosses below the 200 day moving average.
Portfolio changes are made at the market open on the day after a moving average crossover signal occurs.
See table below.
The year to date performance shown below is based on the Dow Jones Industrial Average Index.
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