Pascal
Thanks for your in-depth explanation. So you have two systems: the original 20DMA and the new IWM Robot.
I will forward you tomorrow some Excel calculations I did for the two system signals on various ETFs.
Dave
Pascal
Thanks for your in-depth explanation. So you have two systems: the original 20DMA and the new IWM Robot.
I will forward you tomorrow some Excel calculations I did for the two system signals on various ETFs.
Dave
Pascal
Here is a Mac Word 2004 document that describes my calculations in detail.
Executive summary: The 20DMF shows about a 10% higher CAGR than the IWM Robot over the 7/24/2007 to 12/2/2010 time period.
I have also attached two spreadsheets that show the actual calculations and charts of the two systems. I hope you can open and read them.
Executive summary: The two charts are worth 2000 words.
Dave
Thanks for this work Dave.
One major difference between the 20DMF and the Robots is that the 20DMF is mainly a trend following indicator, while the Robot will switch from trend following to mean-reversal depending on the combination of its LT/ST signals. Hence, in a strong trending market, the 20DMF should perform better as it wants to stay in the trade, while the IWM robot might leave the trade at some point and then be forced back in. However, in a choppy market with many "cover your shorts" signals, the 20DMF would stay in cash, while the Robot will try to get the best out of its short term signals
Pascal
Thanks for your explanation. Makes sense (and profit).
Dave