20dmf

[Pascal]

Hi Pascal,

In the recent description posted on how the 20DMF is used, I see the statement: "the time to go long is when these three conditions are in force: there's a been a direction change in OB/OS signal AND the OB/OS level is between -70 and -90 AND MF is positive"

The main page 20DMF page say MF: -0.64% at the 11/28/11 close.

How is this all interpreted so that 20DMF is in a BUY going into today's open?

Thanks,

Shawn

This means that the MF for the day must be positive: we needed to have had accumulation during the day.
This can be seen in the MF Strength being positive


Pascal

[Pierre Brodeur]

Pascal,
In your comment you say: "Furthermore, any pull-back will force us into cash again, since we are close to the -90 level which would trigger the fail safe mechanism."

As Adriano says:

Billy/Pascal,
the IWM entry point is 1.50 % below yesterday's close ...

If IWM drops by 1.50% and independantly of the intraday move closes down by about this %, won't this trigger the fail safe?

PLEASE DELETE MY QUESTION. I just read Billy's comment and it clears up my question. Thank you

[mklein9]

Yes, limit buy order @68.74 valid for one day only.

Billy

I'm sure this has already been considered and tested, but it struck me to wonder whether the pivot-based 3:1 R/R entry points are maybe less important when the LT edge is strong? In other words, when ST edges dominate then we are probably more in a mean-reversion environment, and the pivot-based entries are crucial. However, maybe when LT edges dominate, it matters somewhat less that we find an entry price that is optimal for mean reversion, and don't want to miss a larger trend?

Just idly wondering,

-Mike

[jiplee]

Is there any place on the site that we can see the intraday chart of 20DMF during the day? Thanks

Jip

[Pascal]

Is there any place on the site that we can see the intraday chart of 20DMF during the day? Thanks

Jip

You click on the 20DMF section of the EV database and scroll down.

This chart is updated a few times per day.

A RT version is not available as of now.


Pascal

[Billy]

I'm sure this has already been considered and tested, but it struck me to wonder whether the pivot-based 3:1 R/R entry points are maybe less important when the LT edge is strong? In other words, when ST edges dominate then we are probably more in a mean-reversion environment, and the pivot-based entries are crucial. However, maybe when LT edges dominate, it matters somewhat less that we find an entry price that is optimal for mean reversion, and don't want to miss a larger trend?

Just idly wondering,

-Mike

Mike,
Both the LT and ST edges are computed using 3:1 RR multi-pivots entries. So these edges can only be achieved assuming that you enter exactly at the robot’s recommended 3:1 RR limit price. Robot’s edges can be further improved only when you enter at better prices, not worst ones.

If you review the pdfs on the IWM robot’s design and backtesting, the 3:1 RR multipivots rules have a neutral-to-positive impact on returns but lower considerably the drawdowns. They are an essential risk management component of the IWM robot’s LT risk-adjusted performance.
Billy

[Pascal]

Rather weak MF today.


Pascal