Commentary

8/3/20 Probable xFF

My article hasn’t been reviewed yet, probably will be a few days.

The xFF is appearing for all four strategy lengths when none are in trend following mode. That apparently has never happened in the last 4.5 years. The lowest number previously was 1. Since I only invented the voting scheme over the weekend, I’m trying not to think about this oddity too much until the final numbers are in.

Over the last 1148 days, 3 or more lengths in trend following mode were long 804 days, regardless of signal. The returns when this happens easily beat playing the actual signals and substantially reduce downside risk.

xFF is a Classical buy signal of course and has positive results (otherwise it wouldn’t be a buy signal). However results with xFF with less than 3 trend following votes are about flat.

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