New Robot model ?

[asomani]

Here are two return tables (with stats included, but no pivots).
The LT signal is for both linked to the 20DMF.

Attachment 8594

Attachment 8595

SPY data is until May 20 (when I did that work). IWM is until yesterday.
Both start in August 2007

Pascal

Thanks Pascal. If the return on each trade was adjusted for the difference in volatility between SPY and IWM (multiply the return of each SPY trade by 1.18 for example), I wonder what the comparison would look like.

Regardless, I can see why you may not see a SPY Robot as worth doing. If someone wants a lower beta version of IWM, they can simply reduce their position size.

Another idea: junk bonds (eg. JNK, HYG, etc.). They seem to trend quite well and could potentially offer the highest volatility-adjusted returns - and the correlation with equities is relatively low.

I would be interested to see a robot that takes trades in the area of commodities offering the most potential reward-to-risk - so, for example, it would trade XLE, GDX, etc. depending on which one is offering the highest potential reward-to-risk as determined by the robot's calculations. To me, this is preferable over simply a robot that trades one area of the commodities sector.