guyber

Hi jswanson, Thanks - that is very interesting and nicely laid out. Can I ask what signal you use to exit each position? Eg is it one of the two moving averages crossing back over, or one (or both) turning negative (or positive) or is it for a fixed period of time.

Stamp duty is also an issue in the UK: 0.5%, which really adds up, especially since most international markets don't charge it. See: Tax on buying shares : Directgov - Money, tax and benefits In the US you pay a small SEC fee when you sell, but it is minuscule by comparison (well under 0.01%). Also, purely in terms of data (price data but especially fundamental), you get more and cheaper data in the US, compared to the UK. You can get near-institutional quality of fundamental data for a retail price in the US: it is very hard to find that in the UK.