As of Friday’s close, the weekly reading of the High Low Logic Index (HLLI) stood at 1.61%. The previous article discusses how this indicator is calculated. Today I want split the indicator readings into ranges and look at what happens a year after the indicator is bought within a certain range.
In case you missed it, here is the jump-off article: Exploring the High Low Logic Index.
I have split the indicator readings into 6 different ranges: <1; >0.99 and < 2; >1.99 and <3; >2.99 and <4; >3.99 and <5; and >4.99. I was hoping that we might be able to see a clear difference in results based on the range of the indicator.
I used weekly readings to calculate the index metric, used $SPX as the trading vehicle, and started testing in 1985. No commissions or slippage were included and I am still NOT using survivor-free data.
The Results:
As the graph clearly shows, the indicator does a fantastic job for bulls when it is reading < 1%. It has registered < 1% 247 times since 1985. If the trades are held the full 252 days, there were only 12 trades completed.
The middle ranges have many more trades completed since the indicator tends to stay between 1% and 3%.
The highest range, >4.99% has even fewer trades made than < 1%.
I separated $SPX results into 252 day segments, and at day 252, the average profit is 9.29%. This means that the only range would have definitely beaten the $SPX has been < 1%.
As I was in the first post, I am still underwhelmed by this indicator. Unless it is giving an extreme reading of < 1% or > 3.99%, I’m not sure it has much value.
In the next post I will change it to use daily bars, add survivor-free data, and see what happens…
Big Drop Tuesday, Look down below bulltard
Lol…I take it you’ve been on the wrong side of this move?
I hope there is a big drop. I’m long term bearish but think it will take longer for this Euro-BS to come to fruition.
In the mean time, I’d like to play a pullback/correction bounce.
The petty bandaids and currency have been very obvious, your probably in the crowd of idiots who are buying SPY at 130 expecting Bernanke to play QE3 this week. Had you noticed the decreasing dollar with a decreasing yuan you’d be able to tell this is the perfect storm. However you & the Fly look at RSI indicators like a bunch of boiler room sock puppets trying to pump up your view. Meanwhile I already know what will happen from now until the end of 2012 while you spend 20 hours trying to gamble away your savings while failing to get laid and have a life. Here I will be as generous as to tell you the future since I feel sorry you dedicate your life to this pigs den. One move down from here, then one move up until Q1 before we Break Oct 4 lows and head close to 2008 levels by Summer. Your drink is on the table loser.
Lol…we talk about the technicals, backtesting, and system-trading on this blog. Seldom do we discuss someone’s fantasies, and I don’t plan to start now.
If you really think the market is going to continue down then you’re oblivious. Early tomorrow will be the low point for a while (if not end of today). If anything all it shows is that we’ve discovered the high and low range for the next couple of weeks.
Buy when it is low, and sell when it is high. It isn’t hard to figure out.
Thanks for sharing your thoughts Wood. Tough market for average investor. I became bearish with initial drop in august and shorted the market at 1180 thinking that I may miss the next elevator ride down if I wait too long. Elevator took off in the other direction.
Thanks as always for sharing your work Wood.
http://news.yahoo.com/skeptic-finds-now-agrees-global-warming-real-142616605.html
join the party, the woodshedder
Juicey, why no warming the last 11 years? Even Curry, who helped with the study you reference, thinks the PR stuff is bunk. Here you go: http://hotair.com/archives/2011/10/30/surprise-no-warming-in-last-11-years/
watch Keystone’s SPX 12-Month MA Secular signal. The SPX 12-month MA is 1277-1278 for the final day of the month tomorrow. If the SPX prints the month-end number under 1277-1278, then the secular market bears remain in good shape. If, however, the SPX closes above 1277-1278, this is a game changer and it changes one of Keystone’s secular signals back to a secular bull. Watch 1277-1278 very closely in the Monday session.
A pivotal week in trading will occur this week. Earnings and economic data are abundant and four major events will occur; the FOMC decision and press conference on Wednesday, the ECB rate decision and press conference on Thursday morning, the G20 Summit on Thursday and Friday and the Jobs Report on Friday morning. As if all this drama was not enough, Keystone’s Eclipse Indicator calls out this time period now thru mid November as a potential large market selloff area, and, the Bradley Turn window is open forecasting a potential market turn this week. This all adds up to a major confluence of events—strap yourself in.
What is the best way to get quick news under this subject? Like, does the Fed stream its press conferences? I see information like your comment all over the place, but I don’t know where to easily find this type of information on my own. News story sites are always flooded with current news, not schedule information of what is going to happen.
Thanks for any info. 🙂
Exhaustion gap…
Looks like it…