Commentary

6/15/20 SPY 300

Not exactly shocking to see support here at the 52 week simple moving average at a round number. This level was important for the initial leg down for the week of February 24 and the next twitchy week saw it close around there. Notice the furious subsequent rally stopped here except for the poke above at the end of May, followed by the reaction back last week.

A weak close today would set the stage for the usual Tuesday rally. Very weak Monday, rally Tuesday almost always works. There is no special reason that prices won’t hang around here for some time. 270 is still a reasonable target to the downside. That matches lows reached in the bottoming candle tails in April and May, the close of the nasty candle to start March, and coincides with the 39 month simple moving average.

Application Modifications

Some serious modifications to the application were done over the weekend. Nothing that has any immediate monetary value unfortunately.

The easiest probably should have been easier, but a Year/Month study was added to the strategy performance table. The yearly study smoothed things out too much, and the under performance of the signals last week surprised more than it should have.

A chart for IWM strategy performance is shown below starting from Jun 2012.

Note the hook downward on the green line versus the hook upward for the red. At the end of April 2020 Classical Specter/FF5 natural log return was 1.12, it currently is at 1.03. The buy and hold return is .69 which is exactly doubling your money $1 = $2. 1.03 means $1 = $2.79.

The key to trading strategies is discipline (whatever that means) but last week was annoying, even though I am happy with not actually losing any money.

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