Commentary

8/18/20 Weighted Prices

Jeff asked about the mistaken signal call yesterday. I downloaded yesterday’s prices later than usual last night and was surprised by the xFC signal, because at the close I was pretty certain it was xCC because I took a position based on that. I figured that happened because the intraday routine was weighting the price the old way.

Even though that is true, both weightings produce the same xFC signal, so Jeff is correct.

However, the two types of weighting produce different results historically. From a probabilistic standpoint either returns are sort of equally likely. Even though we are not following both, the other return stream is equally meaningful. Anyway, here is the difference:

Definitely not the worst strategy results I’ve ever seen.

Note the difference in CO and HLd between the two weighting. Other than being a little better profit wise, weighted looks a lot better if you take LABU out of both.

Consistent numbers with trend following. Note again CO and HLd are quite a bit stronger with the new weighting. Even though LABU CC is still lagging, the CO for LABU with Weighted price is compelling. The other guys are just better.

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