EMA/Slope and More Detailed Return Analysis

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 above for the last 4.5 years. Compare those with 13em below.

The xEM numbers are slightly better, but that is largely because LABU does remarkably well with xEM. If LABU wasn’t in either list, xES would be better.

In addition to the 13 day, 7,21, and 31 day averages are also studied.

The 7 day xEM signal is the first hex characters in the last 2 rows of the xEM column. xD is converted xC so the signal is xCC. The 13 day signal for xES is the second hex characters of the last 2 rows of the xES column. x8 is converted to xM so the signal is xMM.

In addition, time of entry, obviously deserves some attention.

13 Day xES

The table above shows performance for 13 day xES for xMM.

LCC is the total return for holding close to close.

OC is total return for holding from open to close.

OH is return for holding from open to the high.

LC is the return for buying the low and holding through the close.

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