GZ, Scott, etc..
Here some data on that AD Stoc(fast) signal I posted a while ago that I find IMPRESSIVE!!!
Over the last 3 years, trading return is ~161%..vs ~95% buy-n-hold. Note this is only if you're going long and flat (0%) when on a sell...not short!! If you went short on sells via -1.0 beta then you're looking at 270% or almost 55% per year!!
Even more impressive is that you're at risk only ~60% of the time with minimal drawdowns.
Monday's A-D number to trigger a sell is ~ -150.
Below are some of the trade dates.
S,06/19/97
B,06/23/97
S,07/08/97
B,07/09/97
S,07/16/97
B,07/21/97
S,07/31/97
B,08/05/97
S,08/06/97
B,08/13/97
S,08/14/97
B,08/18/97
S,08/20/97
B,08/29/97
S,09/09/97
B,09/11/97
S,09/22/97
B,09/25/97
S,10/07/97
B,10/10/97
S,10/14/97
B,10/17/97
S,10/22/97
B,10/27/97
S,11/05/97
B,11/13/97
S,11/17/97
B,11/24/97
S,12/08/97
B,12/12/97
S,12/17/97
B,12/19/97
S,01/05/98
B,01/12/98
S,01/20/98
B,01/26/98
S,02/18/98
B,02/19/98
S,02/23/98
B,02/24/98
S,03/03/98
B,03/05/98
S,03/20/98
B,03/30/98
S,04/03/98
B,04/08/98
S,04/15/98
B,04/16/98
S,04/22/98
B,04/27/98
S,05/04/98
B,05/07/98
S,05/13/98
B,05/18/98
S,05/21/98
B,05/27/98
S,06/02/98
B,06/03/98
S,06/08/98
B,06/15/98
S,07/08/98
B,07/13/98
S,07/16/98
B,07/29/98
S,07/30/98
B,08/05/98
S,08/10/98
B,08/11/98
S,08/18/98
B,08/31/98
S,09/08/98
B,09/10/98
S,09/16/98
B,09/21/98
S,09/23/98
B,10/01/98
S,10/02/98
B,10/08/98
S,10/22/98
B,10/28/98
S,11/06/98
B,11/13/98
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