20dmf

[Pascal]

Pascal

Here is a Mac Word 2004 document that describes my calculations in detail.

Executive summary: The 20DMF shows about a 10% higher CAGR than the IWM Robot over the 7/24/2007 to 12/2/2010 time period.

I have also attached two spreadsheets that show the actual calculations and charts of the two systems. I hope you can open and read them.

Executive summary: The two charts are worth 2000 words.

Dave

Thanks for this work Dave.
One major difference between the 20DMF and the Robots is that the 20DMF is mainly a trend following indicator, while the Robot will switch from trend following to mean-reversal depending on the combination of its LT/ST signals. Hence, in a strong trending market, the 20DMF should perform better as it wants to stay in the trade, while the IWM robot might leave the trade at some point and then be forced back in. However, in a choppy market with many "cover your shorts" signals, the 20DMF would stay in cash, while the Robot will try to get the best out of its short term signals


Pascal

[dsmcdougal]

Thanks for your explanation. Makes sense (and profit).

Dave

[asomani]

Thanks for this work Dave.
One major difference between the 20DMF and the Robots is that the 20DMF is mainly a trend following indicator, while the Robot will switch from trend following to mean-reversal depending on the combination of its LT/ST signals. Hence, in a strong trending market, the 20DMF should perform better as it wants to stay in the trade, while the IWM robot might leave the trade at some point and then be forced back in. However, in a choppy market with many "cover your shorts" signals, the 20DMF would stay in cash, while the Robot will try to get the best out of its short term signals


Pascal

Thanks Pascal.

It is in trend-following mode about 60% of the time and mean reversion mode about 40% of the time, based on the history available, is that correct?

[asomani]

Thanks Pascal.

It is in trend-following mode about 60% of the time and mean reversion mode about 40% of the time, based on the history available, is that correct?

Reminder to Pascal. Thanks.