Matt’s Breadth Indicator (as I like to call it) has turned yellow for the first time since I developed it. We have been solidly in ‘red’ territory since May 2015. What does yellow mean? It means maintain the status quo (in this case, stay out of the market). Ten days above the threshold in a row and we move to ‘green’ territory. Stay tuned, fingers crossed…
Read more here.
So in this last post, I data-mined the hell out of the S&P500 index (well ok SPY) and found an “anomaly”: every time SPY drops more than 1% from the previous close to the current close, you wait (that’s Day 0). You then buy at the close 13 days later, and sell at the close of Day 14. This showed significantly better return than if you did the same thing but owned all the Day 16s instead. Here’s the graph from the last post.
But with only 177 samples of data between 2010-2015, that’s probably just a fluke….right?
Continue reading Data Mining vs Out of Sample Data