Commentary

6/30/20 x33 Current Signal

SPY is showing strength moving off the 52 week moving average so far this week.

The tables are for 13em. Signal xC3 probably does not occur in nature, xM3 can happen but it is quite unusual.

Quarter 1 was much more bearish than quarter 2. The columns starting with sd have the standard deviation associated with the signal.

sdCC is a key number, that is the daily standard deviation for the 2nd quarter. .084 for FAS means that the daily return normally varies 8.4% from the mean. Normally means 2 out of 3 times. Among other things, that means that 1/3 of the time the percent will be larger.

Specter/FF5 long did not beat buy and hold in the second quarter because the flat states made money. As the market trends higher, long states appear for less time. In the second quarter, they appeared 19 out of 62 trading days.

Note the increased standard deviations in the first quarter compared to the second quarter. Long states appeared 29 times out of 62 trading days.

I might be inclined to buy x33 (or x03) at the close. SPY is near the top of the bodies of the last 2 weekly candles. Buying xF3 is not very attractive.

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