Commentary

7/23/20 xCF to xFC or xCC

The employment numbers haven’t been the most pleasant news for longs on a Thursday morning lately.

63 days or so seems to be a good short term look back period. Without pivot tables, I use days back, because I don’t like coding date logic. The issue with doing it the typical human way, with pivot tables, is that May 1st is fixed as a point in time and goes forward a variable number of days toward the present… but OK.

With trend following, all 57 days have been long days. Note the favorable ratio of CH to CL. I’m interested in seeing how that works for equity selection.

The tables capture the different environments possible tomorrow. xCC has been quite unpleasant for this period. Note how unfavorable the CH/CL numbers are and the elevated standard deviations.

Just another Friday in summer. At the moment, the signal for tomorrow is xCC.

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