I took some simple trading indicators. Applied buy and sell rules to them using the S&P. The period was 2006-2011 – so a lot of data. These are the results.
The points to note: hardly any produced a positive return. Only the exponential moving average indicator generated an acceptable return and even that was with a Sharpe ratio below 1.
By the way the rules for it were:
Close and go short when the close crosses below the 50 day exponential moving average. and cover and go Long when the close crosses above the 50 day exponential moving average.