Time the Markets: Using Technical Analysis to Interpret Economic Data

Appendix A. System Parameters

The table in this appendix lists all indicators optimized for a filtered moving average crossover system to generate long and short signals in the S&P 500 monthly over the period from 1960 through 2010. Results and parameters are listed in the columns for each indicator that passed the robustness tests of a walk-forward analysis. The final column provides the composite rank on which each system was compared for inclusion in the final market timing model. Those rank numbers in dark lettering with an asterisk (*) represent the indicators that were included in the final model. Those with “FAIL” in the rank column were unable to pass the stringent walk-forward tests of profit, robustness, maximum drawdown, or efficiency. ...