XLX signals

[Pascal]

Pascal,

I presume that this slight error is in all the XLs models.
Now that you have corrected it, could you regenerate the signals for all the sectors going back starting from July 2007?
I am very busy doing backtests on these signals to create a model for trading then with balanced position sizing rules.
If this also effects the PM MF, could you regenerate those signals too please?

PdP

All these signals are regenerated automatically every day from 2007. It just takes a few seconds.

If you went through all the XLX signals, you will have noticed that the "Shorted Overbought" signals are rarely profitable. This is probably due to the low volatility of these big S&P500 ETFs that are prone to "trend following." I therefore tested the XLX ETFs using a model without the Shorted Overbought signals (meaning that when we are long, we stay long through an overbought situation and sell when a short signal is issued.) This strategy leads to better results for most XLX ETFs, but to worst results for GDX.

This means that we could need to run models with or without the "Shorted Overbought" signals.

Another information: The RT systems for all the XLX are ready, but since we had quite a few whipsaws on the GDX RT, we decided to put this off because the situation could become uncontrollable with potentially many Buy/Sell signals being issued intraday... Without even knowing whether they should be followed since no RT back-test has been completed.

Another solution could be to publish the RT figures for all the XLX ETFs, but without the messages related to the trading signals. That way users could follow the signal in RT and take appropriate decisions when they feel necessary.



Pascal