After updating the models and using actual closing data the Aggregating Momentum indicators has several new bullish calls. So here goes...
With the past 2 year model the following bull indicators are:
Small Caps based on SAA.
Small Caps based on TNA.
Energy based on ERX.
Real Estate based on DRN.
SP 500 based on SPXL (since 12/04).
Biotechnology based on BIB (since 12/05).
The past year model has the following bull indicators:
Small Caps based on SAA.
Small Caps based on TNA.
Real Estate based on DRN.
SP 500 based on SPXL.
Biotechnology based on BIB (since 12/03).
Remaining bearish are:
Technology based on TECL .
Basic Materials based on MATL.
Retail based on RETL.
Energy based on ERX(1 year model).
After seeing the performance of the method that decides when to enter and exit general market positions using the percentage of stock with prices over a 200 day moving average I decided to test other similar aggregating measures, mainly RSI, ROC and Momentum. MOM so far has turned out to be the best of the 3.
What
First and foremost, this is an unproven method of choosing when to enter and exit a position. Since back-testing is used to produce the models future results may not reflect or produce expected returns.
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