For background reading on this indicator, go here, or for all posts on this indicator, go here.
As of Tuesday’s close, the ROC indicator is again long.
Here are the results of the four trades made since I started writing about the indicator:
Some of you have wondered how often the indicator switches back and forth before deciding on the side to take for the long term. Below are all the trades it has made.
My best guess here is that the system will continue to gyrate for awhile before settling on one side or another.
Finally, remember that Michael at MarketSci cautions us that the short side of this system didn’t always work as well as it has over the last decade or so.
Thanks for the detailed analysis, Wood. Really strong work. Catching the uptrends in 2000, 2008, and 2009 really help returns. Your comment about the system gyrating for a while are important to us that might use this strategy in a 401k that only allows a few changes per year.
Wow, that switch is flipping mightily this month!
Is there precedence for that anticipating a longer period of short… or long?
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Also, did you get a chance to look at that MarketWatch indicator I sent you?
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Jake, there is something not quite right with the Super Indicator. I am close, though. I will have to get with J and have him look at the code and logic.
Hi Woodshedder
I’m following your ROC indicator with great interest.
Have you considered backtesting the indicator on other securities?
Does it produce good results when used on the QQQ IWM or GLD for instance. And perhaps individual stocks?
Danish, I’ve been meaning to do that. I’ll try it out and do a write up.
just saying hi, wood
Hi crash!
Google ‘paired-switching’. It led to the following returns for this year.
SPY 1/ 7/2011 TO 4/ 8/2011 4.95%
SPY 4/ 8/2011 TO 7/ 9/2011 1.67%
TLT 7/ 9/2011 TO 10/ 7/2011 25.08%
TLT 10/ 7/2011 TO holding -5.73%
25.8% for the year.
Not too shabby.
It’s clear that it is time to get back to SPY but if you want to follow a mechanical strategy you gotta go along with the losses, and since it updates every 13 weeks probably the last trade of the year would be a loss.
By the way, the ‘pair-switching’ strategy mentioned above yields 16.9% annual compounded return for the period 2003-2011, with 26% in the dreaded 2008.
Not bad.