Thursday 3 January 2008

S&P 500 Spreadsheet Updated With Improved Setup

I've just updated the S&P 500 sample spreadsheet on my "DIY" page (see link on the right) with my new setup for this index, which uses different parameter values and includes a price filter to improve the profitability and statistical robustness. The setup flipped to bearish with last Friday's Commitments of Traders report, but since the S&P 500's 50-week moving average remains sloped upward, the setup went to cash instead of selling the index short.

Since I just developed this new setup and missed the boat by a few days on selling my SSO ProShares leveraged SP500 position, I'm going to look for a good place to sell based on the technical price action.

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