Quote Originally Posted by pdp-brugge View Post
Pascal,

I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing

I enclose my excel sheet for these period:

Attachment 13184
Ok. I trust this is correct then.
Another note: I see that you are using the opening price in your calculations.
The 20DMF is an EOD signal. Hence, a short signal on 9/21/2011 for example, is only 20DMF activated at the EOD of 9/21.
You might check that too.


Pascal