Hard to tell but it looks like in some cases the data that is
causing the ratio to cross might be on the next bar which would
indicate that the actionable entry would be after that move. Have
you tried backtesting (even if manually) with entering say at the
open following the ratio cross?
BOIL / UNG ratio
Posted by flmaia on 10th of Jan 2013 at 03:33 pm
Hard to tell but it
Posted by bkout3 on 10th of Jan 2013 at 03:38 pm
Hard to tell but it looks like in some cases the data that is causing the ratio to cross might be on the next bar which would indicate that the actionable entry would be after that move. Have you tried backtesting (even if manually) with entering say at the open following the ratio cross?
You are likely right
Posted by flmaia on 10th of Jan 2013 at 04:40 pm
The crossing occurs based only in the averages of the prices. For larger time-frames it is more critical, like in the 60 min and daily.
I don't use it as an automated system, just as a visual help for some leveraged ETFs.
I never backtested it, but can tell that the indications are a lot helpful in the decision making process.
If you have an automated backtesting tool I would be open to work with you on this analysis.
Thanks,
F Maia