Hilarious: I thought 1929 was the ultimate absurdity until I went to the bank of England website and took down their stock market data (monthly) from 1709.
I cleaned up the dates (dates before 1900 can be quite a laugh) and ran a simple trend following system against the data. A bog standard asset allocation system such as you see on many websites like Gary Antonacci’s Dual Momentum.
And lo and behold the great South Sea Bubble of 1721 hit me in the face.
Dear old Gary has done a good job back testing his Dual Momentum system back to 1971 with MSCI Index monthly data.
But he really should take a look at the South Sea Bubble.