TAA on 60/40 but Moving to Cash

Strategy Almost exactly the same as the Tactical Asset Allocation strategy from my previous post, however, rather than reallocating the entire portfolio to one asset when the other’s long window is below its short window, the strategy is to move to cash for that portion of the account. The interesting takeaway from this is that…

Simple Moving Average on SPY

Strategy

Calculate a simple 200 day moving average using the closing prices of the ETF SPY. If the current price SPY is above the 200 SMA, I will long the security, otherwise, move to cash. This is a simple momentum strategy, but powerful in that it almost completely avoids the 2008 Financial Crisis.

SPY SMA Summary

SPY SMA Stress