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Tuesday, July 17, 2012
CCI going short...
The CCI system will go short if SPY closes above 135.80. The JTS will remain in cash with another hold signal. This combination moves the JT Comp system to 50% short. Have a good one.
J, is there any evidence in your backtests that the CCI system tends to be early in relation to the JTS? If so, that could be a nice way to refine the Composite System.
I'll do more in-depth analysis on that topic this weekend. In general though I can say the CCI has not routinely exhibited this "too early" behavior. Hopefully these last couple trades have been the exception rather than the rule. I will give it a few more trades before I worry about it. As I mentioned though I'll look more closely at the CCI-JTS relationship.
Thx, JT. Hope it's a sharp short correction into a seasonally weak stretch of days, bcs the LONG-biased status skew is unchanged. (I assume.)
ReplyDeleteYes, still long-biased as long as 21day MA of SPY's CCI remains above 0, which it has been since 6/21.
Deletelooks like CCI is early again, should have waited for the JTS.
ReplyDeleteJ, is there any evidence in your backtests that the CCI system tends to be early in relation to the JTS? If so, that could be a nice way to refine the Composite System.
ReplyDeleteI'll do more in-depth analysis on that topic this weekend. In general though I can say the CCI has not routinely exhibited this "too early" behavior. Hopefully these last couple trades have been the exception rather than the rule. I will give it a few more trades before I worry about it. As I mentioned though I'll look more closely at the CCI-JTS relationship.
ReplyDeleteBTW, looks like JTS is going to go short...especially if we maintain these levels.
ReplyDeleteWouldn't that be awesome...No pressure as the system "is what it is", but I would love to see 100% short today!! Just my vote. Thanks J for posting.
ReplyDeleteIt's gonna be a close one! Looks like it anyway...
ReplyDelete