Commentary, Methodology

12/14/20 – Midday Signals

The DEMA and TEMA bothered me, at least partially because they hug the current price too tight. That results in them being replaced by W (weighted moving average) and R (rate of change).

The most prevalent signals of the 44 strategies are shown.

Close to Open plays better than Close to Close. That may be a permanent edge in the US equity markets that happened sometime after 2000. The edge is more pronounced with 3x Bulls than non leveraged ETFs. The CO win rate of a little better than 50% compared with the CC rate of a little less.

With these signals, prospects for tomorrow seem a little weaker than usual during this spectacular period but still not bad. Note the buy and hold CO numbers. They are approaching an average daily increase of 1%.

Good thing nothing crazy is going on in the world because that would make these numbers seem weird.

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