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Pascal,
Something I am having difficulty understanding are the differences in the signals from the IWM Robot and The S&P 500 sectors.
I understand there is ongoing work with the Robot but at the moment it is in the Neutral condition, yet on the other hand 8 of the 9 S&P 500 sectors are in the buy condition.
Surely they can not be so bifurcated ?
Perhaps you can enlighten me. :O)
Trev
[QUOTE=manucastle;22073]Pascal,
Something I am having difficulty understanding are the differences in the signals from the IWM Robot and The S&P 500 sectors.
I understand there is ongoing work with the Robot but at the moment it is in the Neutral condition, yet on the other hand 8 of the 9 S&P 500 sectors are in the buy condition.
Surely they can not be so bifurcated ?
Perhaps you can enlighten me. :O)
Trev[/QUOTE]
Indeed, this might look confusing.
The 20DMF is long from yesterday's close, since the OB/OS closed above +30.
The IWM robot has detected this and you can see that the LT edge is well above -0.79%. However, the ST edge is still below the 1% level.
The ST edge only measures the 5D trend of the IWM TEV and the IWM price, with the statistic showing a "reversal to the mean" tendency. This means that the IWM Robot buys a pull-back in price, supported by a negative IWM TEV, in a BUY market direction model. This means that if we have a pull-back today AND the 20DMF stays in BUY mode, then the ST edges could improve to the point where the IWM Robot will look for a new trade.
My feeling about today is that we indeed might have a pull-back, but then the 20DMF risks to fall down the short level again.
By the way, I included a porosity level to the 20DMF algo. The porosity level is today at 0.11% it is fixed, but will start to vary when we will have a good measure of the intraday 20DMF volatility. This means that a short signal would be issued if we fall back below the -0.11% AND the inversed ETFs average TEV crosses above 4%
Pascal
[QUOTE=Pascal;22074]Indeed, this might look confusing.
The 20DMF is long from yesterday's close, since the OB/OS closed above +30.
The IWM robot has detected this and you can see that the LT edge is well above -0.79%. However, the ST edge is still below the 1% level.
The ST edge only measures the 5D trend of the IWM TEV and the IWM price, with the statistic showing a "reversal to the mean" tendency. This means that the IWM Robot buys a pull-back in price, supported by a negative IWM TEV, in a BUY market direction model. This means that if we have a pull-back today AND the 20DMF stays in BUY mode, then the ST edges could improve to the point where the IWM Robot will look for a new trade.
My feeling about today is that we indeed might have a pull-back, but then the 20DMF risks to fall down the short level again.
By the way, I included a porosity level to the 20DMF algo. The porosity level is today at 0.11% it is fixed, but will start to vary when we will have a good measure of the intraday 20DMF volatility. This means that a short signal would be issued if we fall back below the -0.11% AND the inversed ETFs average TEV crosses above 4%
Pascal[/QUOTE]
Thanks Pascal.
Trev