This is a continuation of the previous post., because there, really, the general reader did not understand what I meant and why, at all, there was a comparison of two indices. In fact, this is all very practical, because in the US stock market with 2014 of the year there was a global change, swing speculation in US stocks. And it was during this period that the index of the best US companies, as it were, became a separate entity from the index of all US companies..
Here's what happened. — trading systems, who have successfully worked in the American market, least, recent 30 years, and maybe, and significantly more, stopped earning. The picture shows an example of a portfolio of several of the same type of simplest systems from this series.. It can be seen that with 2014 years they were chopped off with an ax:
If the same systems are tested on stocks from the index, for example, SP-100, Nasdaq-100, SP-500, then the situation looks much better, but due to the fact that, what indexes include, mostly, Heavyweights, low volatility shares, then the profitability does not shine — 5-10% per annum is not very attractive. Yes, and for rare Pokemon patterns, there will be too few deals, since in the index of everything 100-500 companies, which also affects the profitability.
I read various forums, blogs, and tracking various systemic traders of US stocks, using similar trading approaches, I see that over the past two or three years they are becoming less and less, and results, judging by the activity on blogs, getting worse. Most just disappear into oblivion, blogs are being thrown. It is not without reason.
For a curious reader, of course, a question should arise — what kind of systems are these? Systems, in fact the simplest and based on the simplest market inefficiencies, which have been in use for decades. Some call it fear and greed. — moods, which alternate on the stock market. Other — mean reversing (return to mean). Still others believe in the semi-conspiracy theory Plunge Protection Team (PPT) — team, поддерживающая stock market США в трудную минуту, redeeming correction. There are other versions, but it's all the same — the point in buying stocks on a correction on a global upward trend. This is a general concept, but about the details, as always, keep silent.
Why did they stop working?? Is it global or temporary?
Subconsciously I have, personally, judging by the fact that trading systems are still working on blue chips, it seems that PPT just decided to save money and support only the best, the most heavily indexed, companies. Indices are growing, it means that it looks like the entire stock market is growing, the economy is developing. This innovative approach.
