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Horus : can you explain what the odball does, never heard about it, thanks Walter. |
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Just finished reviewing the system so I'll jump in if that's OK.
You work with the close on the the hourly of the Advancing Issues (NYSE) data with a 7 period (7 trading hours) ROC. It's an 'always on' system in that you're always in the market (which disqualifies it immediately from my toolkit).
According to the published details, you review and potentially take a position every hour, which indicates potential pyramiding, but elsewhere it refer to a 'constant number of conteracts' so I guess I'm reading that part incorrectly.
Where the RoC on the Advancing issues is greater than a 3 percent increase, you close any short and take a long.
Where the RoC on the Advancing Issues is less than a 1 percent increase, you close any open longs and take a short.
It is suggested you use the S&P futures to allow the NYSE close Advancing Issues data to be utilized on that day in the futures.
It has performed well and it has perfomred badly on my back-test review. Pretty much the same as my randon coin toss system has.
YMMV