As of the 2.8.12 close, the ROC5 indicator signaled a short entry on SPY.
Since 12.08.11, the indicator has opened and closed 5 trades. Of those 5 trades, 1 closed flat, 3 were closed for losses, and the most recent long trade was closed for a profit. In short, the whipsawing has not been easy for the indicator. You may or may not remember that the indicator was developed as a long term trend indicator, but over the past 4 months or so, it has not been able to discern a strong trend.
The chart below shows the recent trades. Red down arrows are short entries. Green up arrows show the long entries.
Historically, it is rare for the indicator to be whipsawed for an extended period of time. It has been very interesting to watch in real time, although I’m beginning to believe that it will not be a very good short-term indicator. Only (real)time will tell.
wood, you had a longterm chart of this indicator a while back. is it still similar action? roc thrashed back and forth then the market exploded higher. in the late nineties or abouts.
Fake look at the link of ROC5 indicator at the top of the post. I think the chart is in there somewhere.
When did it close the short position on the 17th? You must not have marked that post.
You can probably discern that from the arrows on the chart. I haven’t been diligent about updating the blog with the signals. Sorry. I was trying to get my rotational system off the ground and ready to trade in February.
Interesting contrast in ROC behavior for the current 2011-12 rally vs the 2009-2011 one; particularly when you compare the Oct 2010 picture to that of now (marked by the ‘Golden Cross’ in 50-d/200-d MAs). Not sure if this is good or bad – is this a rally ‘riding a wall of worry’ or is it one populated with itchy trigger fingered participant?
Woodshedder – I enjoy your work – great stuff. I’ve wrapped your indicator into what I look at (modified 200 day plus golden cross or positive 1 year momentum) as follows. Try this one.
Long if: [max(Close, 50 day MA) >= 200 day MA] OR [ROC(252) > min(0, ROC(5))]
Short otherwise.
Didn’t go through it in great detail but tweaking it with the ROC(5) seemed to cut down on trades and improve results slightly. Thought you might be interested.
Cheers,
Tom C