Commentary, Methodology

11/9/20 – Current Signals, More On Trend Following

The foxes will mostly flip to xFF at the close today, so the bullish environment will continue.

Trend following has been reworked with excellent results. If a strategy has at least two fewer Classical Specter/FF5 buy signals in the past 50 days compared to the 200 day median it goes into trend following or long. Classical Specter/FF5 does not consider xCF to be a buy signal. ZMed1 goes long if at least 4 of the 28 strategies is in trend following.

The returns are expressed as current value of $1 except for TRet which is the sum of the natural log returns for the six 3x bulls. Previously, the strategy returns didn’t do well versus buy and hold because of the extra days or whatever. These are worth playing in their own right.

Em3 still appears to be the best strategy to integrate with the regular results and that happens to be flat today.

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