Meanwhile I have continued with my work on the XLX models.
I have added extra filters following a detailed analysis of all the trades. These filters will look at the state of the 20DMF before each trade is made. If the trade is statistically not beneficially, I do not make the trade.
In the same way I have searched for correlation effects with bear/bull situations. If the 50MA is above the 20MA for an instrument, I call this instrument in "bull" situation. Under certain bull/bear situations certain trades are also statistically better or worse.
It is amazing how efficient the trades can be improved by adding these filters. The number of trades are reduced (less fees and taxes) and the draw-down per model improves also.
After applying stop-loss strategy (as described in my last paper), the results are even better for most of the models. It is notable that not all models improve at first sight with applying stop-loss. Because I need to know the average risk of each trade before making the trade, I need a stop-loss strategy for my risk based position sizing technique.
Beside the Combo-MF model, I see that XLB, XLF, XLI, XLK and XLY are looking promising.
I agree with you concerning the GDX model. Trading the EOD signals is not interesting. For this model I will wait until automatic RT signals are available.
Now I will continue my back tests in search for the optimum position sizing parameters for these selected models (Combo-MF + XLB + XLF + XLI + XLK + XLY). I am going to test if it makes sense to trade three, four, five or six models simultaneously. Maybe only trading the strongest three models at a certain time will give better performance. This I will learn from the test I will perform now.
Below are the details for the different models before and after applying the filters. The final table are the results after applying my stop-loss strategy. In these tables the trades are made at the open after a signal change using single ETFs. No transaction costs (fees and taxes) are calculated for these results.
My final strategy will calculate the transaction costs and will use, when applicable, leverage and margin. More details will follow.
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