Sunday, November 29, 2015
Joined Nov 11, 2007
1,458 Blog Posts

ROC Indicator Still Long, But Nearing Cross

To be long, we want the blue line to be above the red line. Over the long term, using this simple indicator to signal when to be long SPY has beat buy-n-hold and reduced drawdowns by approximately 2/3rds.

Adding short signals to the indicator improves results but the effectiveness of shorting is a relatively new development.

To read more on this indicator, go here.

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  1. Hmmmm…my ROC(252) = 6.24 vs. yours…weird.

  2. Your $CPST call is over. It’s junk.

  3. I ran into this same issue (and I believe commented on it). Not every site uses the same definition of ROC, but Yahoo ROC data is simply wrong. Even Investopedia has two different formulas.

    Use this formula (hope I got it correct) in a spreadsheet with Yahoo’s data: ROC = 100 * (Closing Price Today – Closing Price “n” Periods Ago) / Closing Price “n” Periods Ago, and you should get Wood’s numbers.

  4. Conclusion so far: my data is f*cked. :)