No. of Recommendations: 9
dsmcdougal wrote:
Is this 28 calendar days or 21 market days?

28 calendar days

rharmelink asked:
Are you using next day opening prices based on the previous day ^VXO close?

Three day average of the high prices only for VXO to determine the signal. And I don't allow a bearish signal to last less than one month, or a bullish signal to last less than a 1/2 month. This is simply to remove whipsaw.

My model gets even better results if you ALWAYS short FAS and FAZ. :)

The CAGR of ALWAYS is 5% less than this system, but more importantly, the DDD3, Ulcer Index, and every other variable is much worse.

Hmmm? If you start it on a Tuesday, with a 4-week rebalance, then there are three other Tuesdays you could start on with a 4-week rebalance. There are also four Mondays, Wednesdays, Thursdays, and Fridays in between that you could use as a starting date. So, actually 20 days in total.

Clearly, you don't have much experience with timing and testing models.

Yahoo closing prices don't start until 11/19/2008 for FAS and FAZ?

Yahoo data? Seriously?

Inception Date 11/05/2008 via

As to the other comments... it reminds me of the last time I posted on something like this. Close to 100% of the comments sought to negate the feasibility, but since this is the bread and butter of my own success in the market, arguing its validity is a waste of my time. Just because you haven't done it, doesn't mean that it can't be done.
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