ROC Indicator: Still Long and Strong

I last wrote about the ROC Indicator on August 3rd: ROC Indicator Has Been Cleared for Liftoff.

Indeud, it did liftoff and has stayed elevated since August. This means the very simple system that trades the indicator (read  much more about it here) has stayed long since August.

We are looking at the bottom pane. As you can see, the indicator never really got close to switching to a short position.

For the year, trading both long and short, the indicator applied to $SPY has generated a net profit of 18.84%.

I am trading this system in order to get some long-term trendfollowing type exposure in my account. It doesn’t typically whipsaw back and forth long/short as it did for the first half of 2012. Usually once the ROC252 gets well above the ROC5 (blue and red lines, respectively), the market has embarked on a long-term trend.