>>Market Timing via the 150 DSMA<<
I've done a few posts recently relative to a moving average crossing system based on Fabian's work. I did receive a few PM's requesting that I keep it updated when something is developing. The important parts of the previous posts are as follows:
Fabian was interviewed in this months TA&SC. His two primary indicators are 1) "Propritary, but there's no complicated black box behind it. It's a composite of five widely held stock funds that gives us a picture of the trend of the overall stock market; and 2) "We use the Dow Jones Composite Index as a confirming Indicator. When both of these indicators are above their 39 week moving average, we have a buy signal en effect, and you should be fully invested. When they are below there 39-week averages, we move to 100% money market funds. We don't ask why, discuss it, or wait for tomorrow's market action. We follow our plan". He's goes on to describe some recent entries, exits and return.
(NOTE: I've never seen Fabian's newsletter but his web site is at fabian.com
Well, I just recently managed to get Fabians buy and sell dates going back to 77. I've run a spread sheet using a straight 200 DMA system and one using 150 DMA with percentage bands and compared it to Fabians buy sell dates -- and the results have been interesting.
Here's the results:
DJ COMP
WITH
NYSE &
NAZ 150 DMA
COMP WITH
FABIAN 200 DMA BANDS
B 4/18/77
S 10/23/78
B 3/28/79
S 10/23/79
B 11/16/79
S 3/18/80
B 6/23/80
S 7/23/81
B 8/27/82
S 12/7/84
B 1/17/85 B 7/26/85 B 7/26/85
S 9/12/86 S 10/15/87 S 9/12/86
B 10/30/86 B 6/8/88 B 1/7/87
S 10/16/87 S 1/15/90 S 10/15/87
B 4/11/88 B 5/17/90 B 4/8/88
S 4/15/88 S 8/2/90 S 9/1/88
B 6/2/88 B 1/28/91 B 9/9/88
S 11/14/88 S 8/13/92 S 12/20/89
B 12/6/88 B 9/10/92 B 1/2/90
S 1/23/90 S 9/22/92 S 1/12/90
B 3/19/90 B 10/28/92 B 5/14/90
S 3/22/90 S 3/29/94 S 8/3/90
B 5/18/90 B 8/30/94 B 1/24/91
S 8/7/90 S 10/4/94 S 6/22/92
B 1/25/91 B 1/6/95 B 11/25/92
S 8/24/92 S 7/15/96 S 3/29/94
B 11/6/92 B 7/18/96 B 8/30/94
S 3/31/94 S 7/22/96 S 11/23/94
B 8/30/94 B 8/1/96 B 1/13/95
S 11/23/94 S 8/27/98 S 7/15/96
B 1/9/95 B 11/5/98 B 8/7/96
S 7/16/96 S 8/14/98
B 9/16/96 B 11/5/98
S 8/11/98
B 11/9/98
You can see some whipsawing in all three systems. I'm going to experiment with a few different band settings. If anyone has an interest in results let me know. Otherwise, thanks for the logical suggestion -- it was just the ticket. You can see that it hit a number of Fabians buy/sell dates.
I too use the DJ Composite and for the broad market look I use LG's Overall Market Composite (OMC) Index.
As of Friday's close, the DJ Composite was at 3182.43 or just 105.2 points (3.41%) above its 150 DSMA lower band and the OMC closed at 1579.50 or 40.14 points (2.61%) above its 150 DSMA lower band.
Historically, when we get these readings, we get a sell.
Take care,
Eric
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