See all posts on this indicator here.
At today’s close, the indicator closed its SPY short for a loss of -4.25% and opened a long position.
Click on the chart to enlarge…
The arrows show the trades.
I’m still surprised at how small of a range the two measures (ROC5 and ROC252) are trading within.
Wood, always like our analysis. Have you ever overlayed ROC on PPT scores? wondering what that would look like, even if its for members.
cheers
Jimmy, thanks. Honestly, I don’t remember exactly how the PPT scores are calculated. I would guess that one element though is a ROC.
Wood, i guess i meant taking the PPT scores we see inside on a chart and then dropping your ROC on top. Just to see correlation of HYB score and your ROC chart. thanks
Ahhh I see. I haven’t, but with the PPT scores working so well, why bother 😉 ?
You could do it yourself by plotting the daily PPT scores in excel and then creating a 5 day ROC for the SPY and plotting that. Would be some work, but might be worthwhile.
might do it later a little burned from some back testin i did on other things and all I see are excel cells !! LOL
thanks keep up the good posts
lookin at clne,
smoken…
I backtested this indicator/strategy and does work well though I’m at loss to understand why it should. Why should roc(5) vs roc(252) be a good indicator a priori?
Steve, it is similar to a long term trendfollowing system like a 50/200 day moving average system. Think about it. If the ROC252 is rising high enough, the ROC5 will not surpass it, and you will stay long. This means the market has been trending up for a good while. When ROC252 nears zero, the market has essentially been downtrending for a good while. The ROC5 works well to provide a signal that is similar to a shorter-term timing system in a market that has essentially been flat for a while. That is probably not a great explanation. Check out MarketSci’s post on the indicator: http://marketsci.wordpress.com/2011/10/04/woodshedders-long-term-indicator/
I visit your site every once in a while. Sorry it’s not more often. Anyway, I coded up your roc cross. We both use Ami. It was early in the am. Hit backtest. Not bad. Then I looked at your chart and saw it was different from mine. It looks like I put rsi instead of roc. Everything else the same. Just a thought.
BTW what’s PPT???
Regards,
John
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