Methodology

6/22/20 Methodology Summary

$SPX

This week I’m switching to $SPX (S&P 500 Index) as the Specter. $SPX should have the same signals as SPY without the late adjustments.

Lengths

The four different lengths of the analyzed indicators are 7, 13, 16, and 21.

Strategy Groups

There are two strategy groups for each length. xEM is the original grouping (EMA and simple moving averages); xES is the new one (EMA and linear regression slope).

Current Status

Current Signals are:

7em – First xEM hex character. 6/19 = F, 6/18 = D, FF5 = xFC

13em – Second xEM hex character. 6/19 = B, 6/18 = 8, FF5 = xMM

16em – Third xEM hex character. 6/19 = F, 6/18 = C, FF5 = xFC

21em – Fourth xEM hex character. 6/19 = E, 6/18 = C, FF5 = x CC

7es – First xES hex character. 6/19 = F, 6/18 = 9, FF5 = xFM

13es – Second xES hex character. 6/19 = A, 6/18 = 8, FF5 = xMM

16es – Third xES hex character. 6/19 = E, 6/18 = C, FF5 = xCC

21es – Fourth xES hex character. 6/19 = E, 6/18 = C, FF5 = x CC

New Analytical Table

The current 16es state is xCC.

The column heading are:

State

Days in the state for the time period

CC – Natural log of the aggregate return if held from close of previous day to close of the current day.

CO – Return if held from close of previous day to the open of the current day.

CH – Return if held from close of previous day to the high of the current day.

LC – Return if held from low of the current day to the close of the current day.

Based on the table, the idea of selling at today’s open, with the idea of reentering at a low looks reasonable.

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