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.
I am in the Fly camp here as I am growing bearish again by the day …. but wanna see the Big Bamboo perform as I always look at your trades for ideas … keep up the good work
Goodbye Bamboo that was.
pour one out for bambooie.
semis have been quite strong, so i’m not surprised to see the BB throw out a buy.
Woodshedder, this rally has literally been a historic anomaly as far as how far it went without a meaningful retracement. So, I think the BB should probably be cut some slack.
Susannah, thanks for the encouragement.
To be clear and brief, there has been a lot of testing of the Big Bamboo entry signal over various ETFs, but primarily the SPY, DIA, and QQQQ.
While the entry does have an edge and can be used to create a system with positive expectancy, it does have long periods of instability.
Since the Big Bamboo is basically the same system as we tested, except applied to a portfolio of double and leveraged ETFs, my suspicions are that it too will become unstable.
In fact, it has become somewhat unstable.
Over the past 2 years, as applied to the diETFs, the Bamboo has had a win rate in the high 70% range.
Right now it is in the 40% range. If it lingers in this range much longer, it has for the most part quit working.