Monday, 27 April 2009

Tweaked S&P 500 Setup Bearish

Spent the weekend taking another look-see at my trading setups based on the Commitments of Traders data. I wanted to apply a few new optimization techniques to the existing setups made easier by some additional automation I've added to my Excel spreadsheets. The results are on the latest signals table. I've made slight adjustments to each of my three setups for the S&P 500, gold and crude oil. The backtested returns are a little weaker, but the key measures of robustness I'm looking at (see the far right hand part of the table) are superior for these new setups. The current signals for gold and crude are the same as for the old setups, but my S&P 500 signal is now bearish for its second straight week. I've also just posted a new S&P 500 spreadsheet at my DIY guide page so you can take a look for yourself.

4 comments:

Anonymous said...

Alex, Today You changed from CASH TO BEARISH on the S & P this week "the setup overall is therefore in cash again, for a third week." Please explain.. Thanks E

Alex Roslin said...

Hi E,

The new setup gave a bearish signal for the open of April 20, so this is setup is in its second week of being bearish. The previous setup was still in cash this week, as described in my post from last Friday. The two setups have slightly different parameter values, as you'll see if you take a look at the notes to my latest signals table and my DIY Guide page.

Regards,
Alex

Dan T. said...

Thanks for the intra-week update. How did the commercials vs. retail compare in their longs/shorts or is that in the table and I'm just not reading it right.
Thanks again Dan T

Alex Roslin said...

Hi Dan,

The details I posted for last Friday's data are all the same for this new setup. It uses almost the same parameter values for both the commercials and small traders - just slightly different signal lines, but the same moving averages and trade delays.

Regards,
Alex