Some technical changes were made to the underlying strategy and the presentation of data.
I tested a linear regression slope based algorithm that seems to work a little better the the rate of change algorithm in many cases. It uses the same decision making logic based on the colors. The algorithms mostly stay in synch because they are both based on price.
The rightmost 5 columns (underneath $LrsXAvg$2) on the image show each security’s current unrealized position according to the algorithm. The first 2 columns of that are the 2 values linear regression readings; if both are positive (green) the algorithm will buy at the close if it doesn’t have a current position. If the algorithm has a current position, the buy price, number of days in the market (not counting today) and unrealized profit or loss. The application only checks back 7 days, so if a 7 appears, the position has been active for at least 7 days. The profit and loss number is calculated from the closing price of the 7th day if has been a position for at least that long.
Note that XLE gave a buy signal today. Both of the readings are positive and it has the closing price as the buy price with no profit and 0 days . The algorithm would have bought at the close – have to admit, not my first impulse after looking at the chart.
The profit/loss numbers surprised me by how good they are. The results are skewed for winning positions because the losers are eliminated if they don’t preform properly. The strength in the overall market is another factor. Other than that, the calculations seem correct.
Trading on a weekly basis, the algorithm is long all major indexes and sectors except for XBI, XLU, and XLV. The algorithm was long XBi this week but flat the other two. The algorithm lost on the weekly XBI trade, although it basically bought at 82.37 the week of Jan 11.
The algorithm is now only long DIA and QQQ. SPY had a white candle today, oddly after finishing up. The algorithm made a decent profit in the market at 282.48 on March 29. It would have sold SPY on April 10 and bought it back at the close the next day, again oddly, making a small profit on the sell and buy. It would have sold today at the close of 289.99, with a profit per share of about $7.50.
iWM made a blue candle today, but the bottom tail after penetrating the 18 day and almost reaching the 54 day moving average is mildly encouraging. It remains underneath the 52 week moving average and not far from the 13 week at 153.42.
The weekly summary is quite bullish of course but the daily is our main interest. Still neutral, one good point of the current consolidation is that there doesn’t seem to be any shortage of buyers at lower levels.