Originally Posted by
ernsttanaka
Pascal, Billy,
I am wondering if the market is changing.
We had a recent top in the IWM of 85.89 and most recent low is 74.88.
The DMF20 has not been able to pick up on this down move of more than 10%. That is either a sign that the move is not followed by big money, or the market is changed from the days DMF20 was developed. I note that the VIX was also late to the party, which would point to the first reason.
Considering your thoroughness I presume the 20 part of DMF was decided upon after an statistical optimization process. If you would do that optimization again over recent months - would 20 again be the optimal, or is a short average more effective.
Appreciate your insight,
Ernst