read the post again man - I just ran the backtest!
other answer is that the daily SPY and ES systems use a fast
length typically for the exhaustion short like an 8 SMA. Not
sure why I never tested a longer length like the 20 but I didn't,
it is what it is. What prompted me to test was that Intra day
someone sent me some statistics in an email about # consecutive
days above a 20 MA and so I ran my own test using the 20 day MA to
see what I get with my code.
If the Exhaustion short was
daily exhaustion stats on SPX, I ran a quick backtest ...
Posted by pebs on 9th of Feb 2018 at 02:49 pm
If the Exhaustion short was part of the SPY system, how come it didn't signal a short trade in Nov or Jan? Or maybe I'm not understanding this?
read the post again man
Posted by matt on 9th of Feb 2018 at 02:56 pm
read the post again man - I just ran the backtest!
other answer is that the daily SPY and ES systems use a fast length typically for the exhaustion short like an 8 SMA. Not sure why I never tested a longer length like the 20 but I didn't, it is what it is. What prompted me to test was that Intra day someone sent me some statistics in an email about # consecutive days above a 20 MA and so I ran my own test using the 20 day MA to see what I get with my code.
clear now?
the same exhaustion 20 MA
Posted by cuqui69 on 9th of Feb 2018 at 03:00 pm
the same exhaustion 20 MA trade applies for longs?
no, have not tested that.
Posted by matt on 9th of Feb 2018 at 03:03 pm
no, have not tested that.