(click to enlarge)
These are solidly bullish results with the winning percentage, the profit factor, and the average trade all posting strong numbers throughout the test period.
Not shown above is that over the next week the S&P has posted a close higher than the trigger day close 89% of the time. If you look out 12 days there has been at least 1 close higher than the trigger day in 42 of 43 instances (98%). The only loser came after the 7/21/98 signal. This has been a solidly bullish intermediate-term signal.
5 comments:
Rob thanks for this. I decided to look at this a bit more even though it has nothing to do with what I usually measure. This was because your studies usually have a similar conclusion, if different indicators, to my work.
It seems to work quite well or ok in a bear market but does not usually even then, be a sign of a major bear market rally - except on 21 March 2001 and 15 July 2008.
So, this bear here is treading cautiously now but I'm not going back into my cave.
@ Rob: But the SOX also fell today. It didn't rise. So this means a signal was not triggered, right?
Sox down -3.60 (-1.76%) at 201.47.
I don't see a daily divergence between S&P and SOX.
In fact, the Nasdaq 100 is now starting to breakdown after holding up well in the last month.
Mr Risk
Prior to the day you refer to the SOX did go up when the S&P declined by over 1%.
So it happened, but I don't think that when it happens it tends to keep on happening - but the effects of it happening once seem to usually mean a bounce.
Mr Same Anonymous As Above.
I notice that the SOX rose today (Tuesday 3rd March) while the S&P 500 dropped. However the S&P 500 dropped by less than 1%, so I am thinking that that does not quite count as a signal.
However, I imagine that with the CBI as it is you might see this is just an extra bit of evidence for a bounce.
Mr. Risk -
Sorry I was slow on this. It's a one day trigger. Action the next day wouldn't invalidate based on how the simple test was designed.
Anonymous - You're right. Not a trigger as laid out in the study. But I'd rather see it going up than down, so perhaps the fact that it fought the broad market decline today was a silver lining.
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