Eman93
4,750 posts
msg #103278
- Ignore Eman93 |
11/9/2011 7:01:16 PM
Or load up short the choice is yours .. but the market moves in 3 directions up down or sideways..
sell the gap up tomorrow....
|
annunaki
1 posts
msg #103392
- Ignore annunaki |
11/17/2011 5:47:21 PM
And dou you run it daily or weekly or monthly, sorry think I missed that part ?
Thanks again for great work here !
|
Kevin_in_GA
4,599 posts
msg #103393
- Ignore Kevin_in_GA |
11/17/2011 6:01:19 PM
For this version it is daily.
Since 2004, I have found that a "lookback"period of 85-95 days is the most consistently profitable. This is reflected in the daily, weekly and monthly data as well. The optimal period (if one can call it that) is 20 weeks using the SF weekly data.
Use this one if you are looking for market trends (or the daily one if you are trading short term):
Note - if this filter returns no stocks, get into cash and wait! This is a pretty good indicator that we are in a prolonged down trend of choppy trading range. While others would disagree, I feel that most investors lose more than they gain when this happens.
Kevin
|
duke56468
683 posts
msg #103398
- Ignore duke56468
modified |
11/17/2011 7:37:30 PM
Thanks again Kevin.....If I understand this correctly, checking this filter weekly on fridays, it called the top quite accurately on May 13.
|
Kevin_in_GA
4,599 posts
msg #103519
- Ignore Kevin_in_GA |
11/29/2011 4:08:53 PM
It's not about calling tops or bottoms, but rather to take aggressive or defensive positions over the medium term.
Please note that as of last week this 20 week system has you IN CASH (no ETF has a positive 20 week return). This week XLU has again turned positive, but this is still indicating a defensive posture for the moment.
|
Eman93
4,750 posts
msg #103653
- Ignore Eman93
modified |
12/6/2011 8:25:51 PM
moved filter to Swing Trading Ideas thread
|
Eman93
4,750 posts
msg #103654
- Ignore Eman93
modified |
12/6/2011 11:06:53 PM
o
|
duke56468
683 posts
msg #104219
- Ignore duke56468 |
1/4/2012 1:53:08 PM
XLU took a big hit yesterday, looks like XLI is now the leader. Risk on
|
Kevin_in_GA
4,599 posts
msg #104220
- Ignore Kevin_in_GA
modified |
1/4/2012 2:55:18 PM
Yes, but that also has to do with what happened 20 weeks ago - the ROC would have swung to favor XLI even if the two had performed equally well yesterday because of the difference in weekly close for each 20 weeks ago.
Regardless of why, the system is indicating a risk-on environment. I note that the two other systems I use (TAA and a simple close above/below the monthly MA(9)) are both saying the same thing.
Kevin
|
stockfetcher1109
28 posts
msg #104223
- Ignore stockfetcher1109 |
1/4/2012 7:24:35 PM
Kevin, so you are either buying or selling XLI or XLU and the SPY is a base line? SF
|