Copyright reminder: The following note is intended for subscribers. Redistribution in whole or in part is prohibited.

I’ve been researching methods of improving performance of the swing model (specifically sell signals) without tinkering with the underlying methodology. One fact stood out – when sell signals were triggered on consecutive days, those signals were much more likely to succeed. It may come as a surprise that sells can be triggered on consecutive days. This is because the model’s underlying signal was originally developed as a daytrade. Whenever duplicate signals occur the swing model ignores it because it’s already in. But perhaps ignoring is not the right idea, because sell signals that occur on consecutive days have a much better track record than one sell on its own. Below we look at the performance of the ‘double-sell’ variation vs. buy & hold since late 2014, with the model going short when consecutive sells are triggered and long when a single buy is triggered…

Here’s a look at the trade-by-trade performance, with buys & sells separated. I was particularly impressed with the sell signals. Just trading from the short side would have produced about a 45% return in the last ten years during a very strong bull market…

Here’s a look at the Double Sell variation compared to the standard swing model (the chart mistakenly says buy & hold but its the standard swing). Overall similar performance but the ‘double sell’ spent less time in drawdown and made more money with 80% fewer trades (40 vs 200)…

If you’re interested, this link provides a spreadsheet with all signals generated by the swing model since inception (including duplicates).

Copyright 2024 Yang Market Research - All Rights Reserved