Pascal,
I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing
I enclose my excel sheet for these period:
Attachment 13184
Ok. I trust this is correct then.Originally Posted by pdp-brugge
Another note: I see that you are using the opening price in your calculations.
The 20DMF is an EOD signal. Hence, a short signal on 9/21/2011 for example, is only 20DMF activated at the EOD of 9/21.
You might check that too.
Pascal
I have checked that too.
The 20DMF was on 9/20/2011 in cash and on 9/21/2011 in short mode.
The Vstpro was on 9/20/2011 in SHORT and stayed so on 9/21/2011.
That is the reason that the Combo-MF went one day before the 20DMF in SHORT mode and hence had a better timing.
PdP
This is great, because your returns will be even better when you'll use the 20DMF RT signals.
Pascal
PdP,
Thank you for sharing! I hope to finish my own backtesting, though I doubt it'll ever achive returns as great as these.
Harry
Last edited by Harry; 03-04-2012 at 07:09 AM.
PdP
Impressive work -- Looking at your research I have one remark. It seems you backtested the years 2007 till 2011. This period has been exceptional. Indexes and all stocks had a enormous correlation. Stockpicking skill were not really rewarded in comparison with good directional calls on the indexes.
This will not always be the case. I personally expect (pretty soon) a period were the indexes will have modest change but some individual stock will do extremely well.
Thank you for sharing your work.
Ernst
Update for March 6, 2012
Status MFs:
The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the Combo-MF is still LONG
The PM MF has turned SHORT on March 2, 2012
My current trades:
I am personally long TQQQ since January 5 and I am long DUST since March 5
Possible changes:
If the 20DMF is EOD below 0 and the Avg Tev of the four inversed ETFs is higher than 4%, then the 20DMF will go SHORT
The VSTpro will remain LONG as long as the moving average of the S&P500 is not going down for 2 days in a row (this is part of the code behind the VSTpro MF)
So there is a possibility that the Combo-MF might go to CASH at the end of this day
Disclaimer: this information is not an investment advice on what to trade next
Update for March 7, 2012
Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is SHORT since March 6, 2012
Following my judgement the Combo-MF is now in CASH
The PM MF has turned SHORT on March 2, 2012
My current trades:
I am personally long DUST since March 5
My long TQQQ trade has hit his trailing stop-loss yesterday but would have closed today at the open anyway because of the conflict between VSTpro and 20DMF
Possible changes:
If the VSTpro goes SHORT EOD then the Combo-MF will also go SHORT
The VSTpro will go SHORT if the moving average of the S&P500 is going down for 2 days in a row, if the high of the day is above the moving average and if the close is lower then the open (part of the proprietary code of the VSTpro)
So there is a possibility that the Combo-MF might go to SHORT at the end of this day
Disclaimer: this information is not an investment advice on what to trade next
PdP,
Thank You for sharing your terrific work and daily updates.
Lee
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