Commentary

3/26/21 Current Signals xLH; The Problem

These choppy periods can last for a long time and who really understands the recent couch potato weakness?

I’ve also been looking at ranking stocks based on performance for a long time. One obvious idea is that the best performing stocks for a recent time period of x days, will perform better than average for the subsequent x – y day period. Several academic studies have allegedly shown that this is true.

My research suggests this is questionable, but that might be my having trouble grasping the problem.

Yrmolation is an attempt to deal with that. An investor on Feb 1 who invested in the top sectors based on 111 day CC performance did better than the overall market for the next 37 days.

Instead of playing CC, it would have been much better to buy CO and sell OC during the period.

Leave a Reply