Commentary

Probable xCF Close and a Few Notes

We might be range bound until Wednesday afternoon because of the Fed. If it will be range bound, the idea is not to buy breakouts, because range bound implies they will likely fail.

My current guess is that it will pull back after the FOMC 2pm announcement, especially if there is strength prior to it. Post announcement action usually features quick head fakes so there is heat either way.

There are four moving average lengths analyzed on the signals. After the x in the xEM column they go:

  • First Column = 3 Day
  • Second Column = 7 Day
  • Third Column = 13 Day
  • Fourth Column = 21 Day

The 13 day was selected because that gives the best long term performance with Classical Specter/FF5. The previous project phase, was to verify that the strategy was worth investigating; and to prove that the accounting functions were working. The other three possible lengths are available for analysis.

I’m also looking at creating another indicator set which is different than the two moving averages. Probably linear regression slope combined with another yet to be announced indicator. I doubt it will produce better results than the current one but it seems like a next logical step.

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