[转贴] The Simple Trading System that Crushes the Market
本帖最后由 何鸿燊 于 2011-12-10 22:30 编辑
Michael J. Carr
I never learned why they invited us, but I've never felt more out of place in my life.
It happened at a trading conference in San Francisco two years ago. Just about every speaker at the conference was talking about trading in terms of "nanoseconds." In the time it takes you to blink, their supercomputers could literally execute millions of trades.
And there I was, telling them about my 6-month "ROC [2]" system. In the world of nanoseconds, 6-months might as well be an eon.
Luckily, there was one speaker at the conference with an even more "primitive" system than mine -- Mebane Faber, author of the popular investing book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear [3] Markets.
But he was not there to talk about Harvard's or Yale's portfolio. Mebane's presentation was about his 10-month moving average [4] trading system. His "pen and paper" trading system was so simple, that I'm surprised they did not laugh him off the stage.
Yet, it's one of the best trading systems in the world. Here's a quick snapshot of Mebane's timing system vs. just holding the S&P 500:
His system outperformed the S&P 500 while experiencing 33% less volatility. In fact, you're only in the trade about 70% of the time -- that means less risk.
Even more impressive, it managed to dodge the two worst years in market history, 1931 and 2008:
How does his system know to exit the market before major downturns? It follows one simple rule: Only own the S&P 500 when it's trading above its 10-month average. When the S&P 500's price falls below its 10-month moving average, you sell. Just about any asset class [5] or security can be traded using his system.
It may not be the "holy grail" of trading systems, but I'll take it over an algorithm-driven supercomputer system any day.
My 6-month "ROC" system is a little more complex than Mebane's (you'll need at least a calculator), but it follows the same principle: Ride bull [6] markets and dodge bear markets.
If you enjoy wild swings in your equity account and staring at your trading screen all day, my "boring" system is probably not for you -- I usually hold securities months at a time, not nanoseconds. So far, the results have been outstanding.
My 6-Month "ROC" system had an annualized return of 18.1% from January 1989 to May 2007. That's almost double the S&P 500's 9.4% annualized return over the same time period. Those were the latest results when my book, Smarter Investing in Any Economy: The Definitive Guide to Relative Strength [7] Investing, went to press in 2007.
Since then, it's been a difficult market to say the least. But my system still managed a "small" 6% gain from May 2007 to October 2010 -- the market fell about 22% in the same time period.
The point is, you don't need a million-dollar supercomputer to be a successful trader. Just find a system that works, and stick with it.
发表于 2011-12-10 22:08
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