The Cross-Overs

Three cross-overs are followed: Price Change Tipping Point, MACD and RSI.

Price Tipping Point. A total of the slope differential of the current closing price to the prices of previous closes. A buy signal occurs when the total goes over zero and a sell goes below.

Moving Average Convergence Divergence (MACD) I use an optimal value.

Relative Strength Index (RSI) Like the MACD - RSI crossover uses an optimal value.

Monday, December 16, 2013

While I Prepare for the 2014 Tests

I keep rerunning the build process to test some ideas but nothing has changed in relation to the model building process.

Come Jan. 1 2014 I will have set up a test database and report buy/sell indications when they occur.  Much like what I do in my other blog Aggregating for Expectations.

As of 2013/12/16 these are the results of the top 20 returns based on an initial investment of 10,000.
ETF Symbol M.A.
Period
Buy Pt. Sell Pt. Back Test Results
BIB 5 0.392 0.772 34143.56
CURE 15 0.316 0.796 32088.06
SOXL 6 0.704 0.367 29382.4
URTY 15 0.689 0.364 26563.09
RETL 25 0.698 0.426 25277.11
GASL 14 0.801 0.21 25183.5
TNA 26 0.417 0.203 25170.94
TQQQ 13 0.439 0.679 23518.75
FAS 14 0.798 0.465 23379.83
UMDD 29 0.722 0.209 22754.14
MIDU 4 0.98 0.421 22071.23
SPXL 14 0.811 0.394 21533.09
ERX 25 0.708 0.446 19721.42
INDL 24 0.5 0.042 19428.57
DZK 14 0.405 0.609 18839.21
UDOW 15 0.761 0.613 18445.4
TECL 14 0.626 0.473 18040.16
NUGT 29 0.907 0.573 17608.58
EDC 10 0.761 0.079 16262.89
DRN 15 0.71 0.074 15936.18

No comments:

Post a Comment