The model had a today the second lowest score day over day delta change since inception. Short-term this has historically lead to light bounces, see below for the walk forward analysis from 1 day to 50 days (formatted numbers):
The model had a today the second lowest score day over day delta change since inception. Short-term this has historically lead to light bounces, see below for the walk forward analysis from 1 day to 50 days (formatted numbers):
It’s amazing that three of those occurrences were in 2017 when the market had almost no draw downs.
I can explain that one: during a shallow, steady trend up (like most of 2017), all moving averages tracking the spreads will tend to be closely bunched and 1-3 day relatively small but persistent moves, will cause the score to degrade very fast. But also to go back up equally fast if the move is taken back…in a “V” recovery.