{"id":2088383,"date":"2018-10-05T11:32:16","date_gmt":"2018-10-05T06:02:16","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2088383"},"modified":"2018-10-08T11:20:58","modified_gmt":"2018-10-08T05:50:58","slug":"systematic-buy-the-dip-sma-crosses","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2018\/10\/05\/systematic-buy-the-dip-sma-crosses\/","title":{"rendered":"Systematic Buy-the-Dip, SMA crosses"},"content":{"rendered":"

Previously<\/a>, we looked at a dip buying strategy based on how low an index is trading below its peak. We now run some numbers against another popular strategy: the SMA crossover.<\/p>\n

Introduction<\/h3>\n

Everybody wants to buy markets that are trending up. When a lower SMA (say, 3-day) crosses an upper SMA (say, 200-day) an uptrend is identified. What if one only buys when such a crossover occurs? What if one accumulates cash otherwise and collects interest while waiting for such crosses?<\/p>\n

The following chart shows the periods in which NIFTY is below the upper SMA in red. Purchases are shown as green dots.
\n\"NIFTY<\/a><\/p>\n

Here’s the one for the small-cap index:
\n\"small<\/a><\/p>\n

Results<\/h3>\n

We calculate the min, max and mean difference in the final amount of the index accumulated over rolling 5-year periods. The second column in the table below is the lower SMA used in the cross-over.
\n\"difference<\/a><\/p>\n

When it comes to small-caps, there are some configurations where, on average<\/em>, the cross-over strategy accumulates more assets. However, investors are taking a risk where they could encounter 5-year periods where there is a shortfall in assets by an equal amount.<\/p>\n

Waiting for the dip using this strategy is not a good idea compared to a simple daily SIP.<\/p>\n

Note that we define success as the terminal value of the number of units of the index purchased. This is different from each unit being profitable.<\/p>\n

Code is on github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

Previously, we looked at a dip buying strategy based on how low an index is trading below its peak. We now run some numbers against another popular strategy: the SMA crossover. Introduction Everybody wants to buy markets that are trending up. When a lower SMA (say, 3-day) crosses an upper SMA (say, 200-day) an uptrend … <\/p>\n","protected":false},"author":2,"featured_media":2050211,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[960,3833],"class_list":["post-2088383","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-returns","tag-sip","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2088383","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2088383"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2088383\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2050211"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2088383"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2088383"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2088383"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}