Quote Originally Posted by senco View Post
Pascal - if the results of the shorted overbought are mixed - maybe moving to cash on overbought would yield better risk adjusted return than continuing to hold long (lower downward deviation, higher Sortino and Sharpe, even if CAGR is a bit lower).


Regarding the RT system:
I did not have the opportunity yet to backtest the signals with next day open trades and compare to the theoretical EOD. If the EOD is better, there might be value in providing a real time signal 5-10 minutes before the close. It might be the expected EOD signal; another option to consider - declaring whatever the real time data says 5 minutes before the close as the EOD signal (ignoring rare possible last minute reversals for the benefit of keeping everything in sync... but maybe there are no means to backtest that).



For myself a real time system would be usable only if I receive automatic alerts, or have means to create those (...difficult to constantly monitor RT inputs that produce a signal each once in two weeks or so). I presume a data feed into a charting application would be difficult, but maybe a small applet to create alerts at one's desktop and/or mobile might be realistic. Having said that - I will probably not use the information anyways until we have reasonably sufficient backtest :-)

senco
Regarding the XLX returns in 2012, basically most of the Buy signals have worked well, while short signals disappointed as much as they did on the 20DMF. As we can see in the analysis of past returns, most of the sectors ETFs have worked well when a "Buy Oversold" signal was issued. This simply means "buy the dip" strategy, while keeping an eye on AAPL's EV pattern.

For the RT, indeed, a back-test is first necessary.


Pascal