Quote Originally Posted by Harry View Post
Hi Pascal,

Would you please check the reported 20DMF EOD trade/dates?

I believe the 20DMF issued a buy after the close 1-May due to new rules (went long at 2-May open, see Comments for 2-May) and didn't issue the short until after the close 4-May (went short at 7-May open, see Comment for 7-May).

A 3-May short would have been much more lucrative than 7-May. Have I been misinterpreting the signals? Please clarify.
The table compares the EOD model (without the porosity factor that I added recently due to the RT 20DMF coming out) to the 20DMF RT with the porosity.

My intention is not to issue an official track-record but to really try to compare models. The different colors on the table illustrate the effect of an early MF signal (light green or light orange), and early OB/OS signal (bright green) and the porosity (blue.)

Of these three factors, the one with the most influence was the OB/OS signal, which issued a Buy signal at the "right" time. The fact that the EOD model did not issue buy signals at these point of time is maybe due to some randomness (in my opinion.) The question that I want to respond to when I will do a minute back-test is to see whether past OB/OS signals when issued earlier by the 20DMF RT led to better or to worst trades.


Pascal