Combo-MF, a simple and robust trading strategy ?!?

[pdp-brugge]

No changes

[pdp-brugge]

I have updated the theoretical equity graph of my strategy. September was a small but positive month. The streak of losing months is broken, I think. My NoFear has protected me against larger draw downs.

[manucastle]

I have updated the theoretical equity graph of my strategy. September was a small but positive month. The streak of losing months is broken, I think. My NoFear has protected me against larger draw downs.

Thanks very much Pascal. Very informative.

Trev

[pdp-brugge]

No changes in signals or trades.
The slope of the 14SMA of the S&P500 has started to go down yesterday. This enhances the odds for a short signal in the coming days.

[pdp-brugge]

No changes

[pdp-brugge]

The VSTpro has signaled a SHORT signal at the close of Friday. When considering the 20DMF is still LONG, then my Combo-MF model would go to neutral (CASH) because of the conflict between the two models. I am still considering the 20DMF (based on my personal conviction) to be LONG since the launch of QE3.

The models XLB and XLF have both a SHORTED OVERBOUGHT signal. The basic rules of my strategy would suggest going short for these models. I will not follow this because, in my humble opinion, both these trades have had a length when the "juice is out of the bottle".

The models XLI and XLK are in CASH so no need to do anything.

The XLY model has a SHORTED OVERBOUGHT signal. The statistics of my back tests have learned me that following a SHORTED OVERBOUGHT signal for the XLY model is not beneficial if the 20DMF is not SHORT.

Conclusion: I will close the open long trade in TQQQ and do nothing else. The odds for the VSTpro to signal a new LONG signal are strong. Let's wait and see

[pdp-brugge]

No changes

[manucastle]

The VSTpro has signaled a SHORT signal at the close of Friday. When considering the 20DMF is still LONG, then my Combo-MF model would go to neutral (CASH) because of the conflict between the two models. I am still considering the 20DMF (based on my personal conviction) to be LONG since the launch of QE3.

The models XLB and XLF have both a SHORTED OVERBOUGHT signal. The basic rules of my strategy would suggest going short for these models. I will not follow this because, in my humble opinion, both these trades have had a length when the "juice is out of the bottle".

The models XLI and XLK are in CASH so no need to do anything.

The XLY model has a SHORTED OVERBOUGHT signal. The statistics of my back tests have learned me that following a SHORTED OVERBOUGHT signal for the XLY model is not beneficial if the 20DMF is not SHORT.

Conclusion: I will close the open long trade in TQQQ and do nothing else. The odds for the VSTpro to signal a new LONG signal are strong. Let's wait and see

PdP,

The 20DMF appears to be more neutral than long. Do you agree, and how would that affect your model.

Thanks in advance.

Trev

[pdp-brugge]

Trev,

It is my personal judgement that I consider the 20DMF now in a LONG state (since the announcement of QE3).

In the weekend I have done the simulation to see what would change if the 20DMF was indeed still considered to be in CASH. Over the last 17 trading days, this change would be an increase of the performance of my strategy of 0.0029% over that period (17 trading days).
The Combo-MF would now be in SHORT mode because a SHORT for the VSTpro and a CASH for the 20DMF results in a SHORT for the Combo-MF. I would have skipped this trade because my back tests statistics have learned me that following a SHORT trade for the Combo-MF model when the 20DMF is in CASH and the 50MA is above the 200MA is not beneficial.
The SHORTED OVERBOUGHT signal for the XLB model could have resulted in a SHORT trade but I still would hesitate because that SHORTED OVERBOUGHT signal was last Friday 11 days old ("juice out of the bottle" syndrome).
The same for the SHORTED OVERBOUGHT signal for the XLF model.

As a reference I attach the Strategy Status in the consideration of a 20DMF in CASH mode.

I know my judgement is now somewhat emotional but my back tests statistics have also shown that periods where the 20DMF is CASH and the VSTpro is SHORT are not the greatest in performance. They also do not last very long.

If and when the 20DMF also would go SHORT, then we would have an other type of ball game. Then things would really be different and I would follow my theoretical strategy again.

The odds for a change of the VSTpro to signal LONG again are high. We need a high higher then yesterday, a low below the 14SMA and a close above the 14SMA. With the increase volume compared to yesterday I suspect the volatility will also be higher today.

[manucastle]

Trev,

It is my personal judgement that I consider the 20DMF now in a LONG state (since the announcement of QE3).

In the weekend I have done the simulation to see what would change if the 20DMF was indeed still considered to be in CASH. Over the last 17 trading days, this change would be an increase of the performance of my strategy of 0.0029% over that period (17 trading days).
The Combo-MF would now be in SHORT mode because a SHORT for the VSTpro and a CASH for the 20DMF results in a SHORT for the Combo-MF. I would have skipped this trade because my back tests statistics have learned me that following a SHORT trade for the Combo-MF model when the 20DMF is in CASH and the 50MA is above the 200MA is not beneficial.
The SHORTED OVERBOUGHT signal for the XLB model could have resulted in a SHORT trade but I still would hesitate because that SHORTED OVERBOUGHT signal was last Friday 11 days old ("juice out of the bottle" syndrome).
The same for the SHORTED OVERBOUGHT signal for the XLF model.

As a reference I attach the Strategy Status in the consideration of a 20DMF in CASH mode.

I know my judgement is now somewhat emotional but my back tests statistics have also shown that periods where the 20DMF is CASH and the VSTpro is SHORT are not the greatest in performance. They also do not last very long.

If and when the 20DMF also would go SHORT, then we would have an other type of ball game. Then things would really be different and I would follow my theoretical strategy again.

The odds for a change of the VSTpro to signal LONG again are high. We need a high higher then yesterday, a low below the 14SMA and a close above the 14SMA. With the increase volume compared to yesterday I suspect the volatility will also be higher today.

Thanks for your comprehensive and valuable reply Pascal :O)

Trev