One or both of these things will be in my next article. EMA/Slope (xES) is an identical strategy framework to EMA/SMA (xEM). Instead of using the simple moving average to build the hex character, linear regression slope is used instead. The returns are quite similar between the two. The performance numbers for 13es are shown… Continue reading EMA/Slope and More Detailed Return Analysis
Keep in mind the closing caveat I mentioned in my last post. With a major options/futures expiration tomorrow, I don't see any big collapse here into the close.
I've noticed that closing prices are adjusted sometime after the 4pm market close and that has been enough to change the signals slightly several times. Before yesterday, I wasn't sure what was happening. Yesterday's signal was xCF instead of xMF. While still flat in classical Specter/FF5, xCF has been profitable to buy for over 4… Continue reading 6/18/20 Closing Prices