SP500 Mechanical Trading Model : In 2007, I studied a simple, mechanical trading system based on the SP500. I reviewed data since 1/1/91. It is not a perfect system, but is easy to implement trading SP500-based ETF's or mutual funds. Here are the results from 1991 - 2007, starting with $1000:

The system trades only about once every 34 trading days, that is about once every 6 weeks. It is either long or short the SP500.

$ 1,275	1991	27.5%
$ 1,340	1992	5.1%
$ 1,408	1993	5.1%
$ 1,474	1994	4.7%
$ 1,885	1995	27.9%
$ 2,322	1996	23.2%
$ 3,004	1997	29.4%
$ 3,902	1998	29.9%
$ 4,778	1999	22.5%
$ 4,616	2000	-3.4%
$ 7,062	2001	53.0%
$ 10,290	2002	45.7%
$ 12,949	2003	25.8%
$ 12,915	2004	-0.3%
$ 13,607	2005	5.4%
$ 14,372	2006	5.6%
$ 15,936	2007	10.9%

Starting on 9/19/07, I began reporting the signals.
Since 9/19/07: SP500 Signal: up 2.9% , SP500 Index: down 50.5%

For 2008: SP500 Signal: down 2.8% , SP500 Index: down 38.5%
For 2009, year-to-date: SP500 Signal: up 10.3% , SP500 Index: down 16.2%

In most instances, one can enter the trade 1-3% better, 2-4 days after the signal is given. Since it gave a buy signal on 3/11 close, at 750.74, I will look to enter the signal Monday, below 740.

Here is the continuation of the above table, taken to the present date:

$ 15,936	2007	10.9%
$ 15,484	2008	-2.8%
$ 17,084	2009	10.3%

The $1000 on 1/1/91 would now be worth $17,084. That is up over 16%, compounded per year.