Status 20DMF

[pdp-brugge]

Pascal,

the graph of the 20DMF still says "Neutral since 1/4/2012"
shouldn't that be "Short since 3/6/2012" because the conditions are met (MF has gone negative and Avg Ext TEV of the four inversed ETFs is higher than 4%)?

PdP

[Pascal]

Pascal,

the graph of the 20DMF still says "Neutral since 1/4/2012"
shouldn't that be "Short since 3/6/2012" because the conditions are met (MF has gone negative and Avg Ext TEV of the four inversed ETFs is higher than 4%)?

PdP

yes, indeed. There was a problem with the totle updating.
I'll be correcting this.


Pascal

[adam ali]

And this sentence needs to be corrected on the IWM Robot Page:

The 20DMF has been in SHORT mode since the close of 3/5/2012.

[Neil Stoloff]

Not to pile on, but can this be true?

"LT algo: -2.21%
ST algo: -1.92%
Expected 3D gain is -0.09% from the previous day's close, with a win ratio of 57.6%."

Somehow a 3D move of just -0.09% seems unlikely.

Neil

[Pascal]

Not to pile on, but can this be true?

"LT algo: -2.21%
ST algo: -1.92%
Expected 3D gain is -0.09% from the previous day's close, with a win ratio of 57.6%."

Somehow a 3D move of just -0.09% seems unlikely.

Neil

Yes. You are right. I'll check the formula.


Pascal

[Pascal]

Yes. You are right. I'll check the formula.


Pascal

It was mathematically correct, but the regression line started at -2%. So I added more points before -2% so that the regression line gets more point for a more precise slope definition.

The results is a gain of 0.65%, which is not much anyway. To get better returns, we would need a much higher ATR (more panic in the markets.) The ATR is still in the "bullish" zone.

So, this is another reason not to put too much leverage on the trade.


Pascal