A few comments:
1) The biggest long side edge appears to be when the market is trading above its 200 but below its 50-day moving average. At this point the market is in a long-term uptrend but is not extended to the upside over the short-term.
2) There’s a clear distinction between long-term uptrend and long-term downtrend results. The simple rule of looking for long trades above the 200ma and short trades below the 200ma appears to provide an edge.
3) Going long when the market moved into quandrant 1 (> 200 and > 50) and exiting when it left this quadrant would have only been a profitable trade 29.8% of the time. The edge comes from the fact that some very big moves were caught.
4) Going short when the market moved into quandrant 4 (< 200 and < 50) and exiting when it left this quadrant would have only been a profitable trade 22% of the time. Again the edge comes from some very big moves – including the current move.
In the next few days I’ll show a similar test using shorter-term moving averages.