Monday, April 27, 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.