On tomorrow’s open the Big Bamboo will go long USD, the Ultra Semiconductor’s ETF.
I will update the spreadsheet and post it tomorrow.
There has been quite a bit of stress-testing of the Big Bamboo entry signal, over the last several weeks. The entry has also been modified and tested as an exit, replacing the RSI(2) exit that is used for the Big Bamboo.
I am not very thrilled with the results. More specifically, the results show that while the entry and exit together create a system which has handily outperformed the S&P500, the system fluctuates enough that during extended periods of time it may become unstable. The drawdowns are acceptable; they just last for a long time. I’m not willing to put a lot of capital into a system that may be psychologically draining (it suffers extended strings of small to medium losses) when there are other, and possibly better systems to develop.
Bottom line: the Big Bamboo, even though it uses a different exit, may not remain a viable system. I am going to run more tests with the RSI(2) exit, but my suspicion is that the results will show that the entry edge is not stable, at least not as applied to SPY, DIA, and QQQQ. If it is not stable over the history of the underlying ETFs, I have little faith that it will continue to work on the diETFs, although it would be really nice to have the system catch bull run right here like it caught the bear raid in October and November of last year.