So now we look at the S&P500 in a backtest using the exponential average index crossover system for 3750 days of chart history and timwindows of one to thousand. In figure 1 we see the comparison of all yields, the green line showing the buy & hold yield of 6.5% p.a.
So we see again there are not many exponential averages which can even pass the benchmark, but atleast there are more then in the DAX backtest. The highest one is the EMA 334 with 8% p.a., the region around this seem to be the best in this backtest. In figure two you see the EMA 334 performance compared to the index performance.
In figure 3 you see all performance curves of the timewindows one to thousand. Like in the DAX backtest, the best final yields are with the middle EMAs. The short exponential moving averages however did perform good back in the days to 2750, then they started to fail.