Models Rebuilt And A New Beginning

I got bored with the old models.  They seemed to be not doing much of anything but waiting. So this weekend I reran the model builder using different logic.   Basically it is an average of all possibilities for each of three short term momentum periods 3, 4, and 5.   Only  periods and crossover points that produced a positive return were used when summing to get to the average.  Below are the results. As you can see from the back test, which covers that last 250 trading days, the results are impressive.  Ahhh... but past results do not guarantee future returns so I will start paper trading (see the What IF page) to test the process hence forth.  And since the falling 3 model is presently all bearish, thereby providing a good basis point, this model will be used in the paper trail.

 

One fact that bothers me about these models.  Looking at the previous call and current call dates NONE OF THEM CALLED FOR A BUY JUST PRIOR TO THIS CURRENT MARKET RISE AND SOME ARE CALLING (See the Falling 4 and 5 models) A BUY AS OF THIS PAST FRIDAY.

Falling 3 Model

Symbol	Backtest $	Previous Call	Date	Current Call	Date
tecl	14,598.90	Bull	2013-02-20	Bear	2013-02-27
fas	19,072.79	Bull	2013-02-20	Bear	2013-02-27
erx	20,396.04	Bull	2013-02-20	Bear	2013-02-28
retl	13,226.05	Bull	2013-02-20	Bear	2013-02-27
drn	15,765.17	Bull	2012-11-08	Bear	2012-11-13
tna	24,221.62	Bull	2013-02-20	Bear	2013-02-27
spxl	16,875.01	Bull	2013-02-21	Bear	2013-02-27
bib	14,185.06	Bull	2012-11-08	Bear	2012-11-13
midu	17,697.77	Bull	2013-02-21	Bear	2013-02-27

Falling 4 Model

Symbol	Backtest $	Previous Call	Date	Current Call	Date
tecl	13,440.18	Bear	2013-02-27	Bull	2013-03-15
fas	16,023.56	Bull	2013-02-21	Bear	2013-02-27
erx	20,442.04	Bull	2013-02-20	Bear	2013-02-27
retl	14,664.62	Bear	2013-02-27	Bull	2013-03-15
drn	15,559.11	Bull	2013-02-21	Bear	2013-02-27
tna	14,184.42	Bear	2013-02-27	Bull	2013-03-15
spxl	17,434.88	Bull	2013-02-21	Bear	2013-02-27
bib	14,303.49	Bull	2013-02-21	Bear	2013-02-27
midu	18,480.19	Bull	2013-02-21	Bear	2013-02-27

Falling 5 Model

Symbol	Backtest $	Previous Call	Date	Current Call	Date
tecl	14,968.96	Bear	2013-02-27	Bull	2013-03-15
fas	18,232.52	Bear	2013-03-04	Bull	2013-03-15
erx	21,922.02	Bear	2013-02-27	Bull	2013-03-15
retl	16,401.46	Bear	2013-02-27	Bull	2013-03-15
drn	18,681.09	Bull	2013-02-20	Bear	2013-02-27
tna	21,621.15	Bear	2013-02-27	Bull	2013-03-15
spxl	19,890.52	Bull	2013-02-21	Bear	2013-03-04
bib	16,106.09	Bull	2013-02-21	Bear	2013-02-27
midu	19,333.63	Bull	2013-02-21	Bear	2013-03-04