Originally Posted by
pdp-brugge
Trev,
It is my personal judgement that I consider the 20DMF now in a LONG state (since the announcement of QE3).
In the weekend I have done the simulation to see what would change if the 20DMF was indeed still considered to be in CASH. Over the last 17 trading days, this change would be an increase of the performance of my strategy of 0.0029% over that period (17 trading days).
The Combo-MF would now be in SHORT mode because a SHORT for the VSTpro and a CASH for the 20DMF results in a SHORT for the Combo-MF. I would have skipped this trade because my back tests statistics have learned me that following a SHORT trade for the Combo-MF model when the 20DMF is in CASH and the 50MA is above the 200MA is not beneficial.
The SHORTED OVERBOUGHT signal for the XLB model could have resulted in a SHORT trade but I still would hesitate because that SHORTED OVERBOUGHT signal was last Friday 11 days old ("juice out of the bottle" syndrome).
The same for the SHORTED OVERBOUGHT signal for the XLF model.
As a reference I attach the Strategy Status in the consideration of a 20DMF in CASH mode.
I know my judgement is now somewhat emotional but my back tests statistics have also shown that periods where the 20DMF is CASH and the VSTpro is SHORT are not the greatest in performance. They also do not last very long.
If and when the 20DMF also would go SHORT, then we would have an other type of ball game. Then things would really be different and I would follow my theoretical strategy again.
The odds for a change of the VSTpro to signal LONG again are high. We need a high higher then yesterday, a low below the 14SMA and a close above the 14SMA. With the increase volume compared to yesterday I suspect the volatility will also be higher today.