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3 thoughts on “Contact Me”

  1. Hi Matt,

    Have you ever looked at a monthly cross similar to 5/21? I ask because I’ve been looking at this on ETF Replay and find that a MA cross of 5 and 21 months gives good results, lowers the DD quite a bit and looks like the kind of trend following strategy that I want for my core holdings.

    Happy New Year!
    Vance

    1. Hi Vance and thanks for your comment. Sorry for my delayed response.

      You’re suggesting that I try this as part of a breadth diffusion test on index constituents, or just on the index itself? For this type of testing I’m not really interested in looking at various MA curves of the index itself. My goal was to see if there was anything to be gained by looking at the individual stocks that make up an index (or broader index, such as the Russell 3000), to see if they might provide insight on the index’s future moves.

      I could do a breadth diffusion indicator that compared stocks that had their MA[x] over/under their MA[y] curves. That would provide the type of information I’m looking for. Since crossings happen relatively rarely, there wouldn’t be much signal generated from looking at MA curve *crossings* of the index constituents. That’s why I think you might be simply talking about an MA cross of the index itself. But no, I haven’t looked at those (yet). 🙂

      Thanks!

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