Quote Originally Posted by pdp-brugge View Post
Pascal,

I do not want to spam you, but I would like to get confirmation if the signals I have used are now OK.
An overview of the results of my back tests are attached.
These trades are performed with no stop-loss over the period from beginning of 2010 until now (EOD yesterday).
No costs transactions are calculated.

At first view, I would adopt the signals the following way:
GDX: only Bought Oversold & Shorted Overbought
XLB: all signals
XLE: all signals
XLF: skip Bought
XLI: all signals
XLK: all signals
XLP: only Bought Oversold & Shorted Overbought
XLU: skip Shorted
XLV: skip Shorted & Shorted Overbought
XLY: skip Shorted Overbought

Do you concur?

Thanks for publishing this table: I did not take the time to do it myself, as I have been busy with the RT system.
This table makes sense.

If you want to trade only some signals of each XLX, I believe that it is important to dig a few more data:


1. On the signal correlation

XLX are all part of the S&P500 group, which means that they are probably highly correlated. How correlated are for example the Bought Oversold signals of each component? Is it interesting to trade them all, to concentrate on the first three signals for example or to trade the most volatile of the these XLX.

2. On the XLX and 20DMF Correlation

Each XLX model is based on the weighted MF of each stock that is included into the XLX component. The model is somewhat different from the 20DMF, which is mainly a sector based model.

It could be interesting to see if for each component, the Bought OS or Shorted OB signals are issued concurrently, earlier or later than the 20DMF signal. Is it then better to wait for a 20DMF confirmation signal or to already invest some money in the XLX, before having a market confirmation?


3. On the XLX and your combo Correlation

You can do the same work with your own combo strategy.

A comment on GDX

On a final note, we can see that GDX EOD is performing poorly for Buy/Short signals. This is due to the whipsawing character of the ETF on an EOD base. The RT signal works much better, especially combined to the LT/ST edge calculation for each trade.

Thank you for your work.



Pascal