Quote Originally Posted by Pascal View Post
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

Hi Pascal,

Given that SPY and IWM have different Multi-Time Frame Pivots; thus giving different entry levels that may get triggered on a particular day for one of the ETF's but not for the other ETF; e.g. I believe SPY is currently trading about 2% below its yearly pivot, while IWM is more like 4% below its yearly pivot - It seems possible that SPY could trigger a short sale more quickly in the short term than IWM (and perhaps more interestingly, IWM may not trigger a short at all and miss a trade that a SPY Robot would take). Moreover, an IWM and SPY Robot would on average miss a similar amount of trades that other might have taken and thus the average gains of each would reflect this. Also, I assume this effect would be more pronounced/relevant when the robot is trading in the mean reversion regime (i.e. affecting 40% of each's gain).

My point is... is that an account trading both a SPY Robot and IWM Robot would probably be able to get more trades in a given period than just one or the other; and given each's positive expectancy, this would lead to increased gains overall and probably most during the mean reversion trading periods. Perhaps even adding a QQQ Robot would help further with the goal of getting more trades in a given period.

I believe the pivot methods and money flow techniques both have their strongest edges when applied to large indexed-based ETF's vs single stock (or ETF's with few underlying stocks - maybe the GDX Robot refutes this point, but I'm not following that). If so, then we should keep to the new Robots focused on their areas of greatest strength.

My first reaction to the Q of which Robot next was to think about non-correlated ETF's - I think this would help in the trend following regimes. I think you would want to stick with the ETF's composed of large numbers of underlying stocks; among the non-correlated ETF's mentioned, I guess energy probably best fits that.. which is where you started this thread.. So, you are once again ahead of us :)

Thoughts?

Thanks,

Shawn

















I was wondering if a