MACD ranking systems 1998

MACD Ranking Systems

I have found the MACD ratio (MACD normalized for price, or ratio of MACD to price) to be one of the best measures of momentum. If one normalizes in this way, one can compare across different investment options, switching into those with the highest momentum (highest ratio of MACD to close). I use a 12, 26 MACD with no optimization.

An additional check is whether the MACD is higher than its 9 week moving average (if yes, then buy, else don't).

The sort is performed weekly.

For Fidelity funds, if sorted by MACD/c x MACD>ma(MACD)? q wk

Yr	Top 3:	Top 5:	S&P:	dif:
89	24.6%	24.6%	27.3	-2.7%
90	18	17	-7	24%
91	51.5	56.5	23.6	22.9
92	9.6	19.2	8.2	11%
93	41.9	35.1	7.5	27.6
94	2.2	1.8	1.0	0.8
95	26.2	30.5	37.0	-6.5
96*	-4.4	-2.6	9.8*

through 8/96.

10k =>	43.4	48.4	25.8
avg	20.9	22.6	13.0
std	17.8	17.6	13.7
avg/std	1.17	1.28	0.95

For stocks:

1/1/98 - 7/98: +35% v 18% spx