This entry was posted on Thursday, June 7th, 2007 at 10:27 pm and is filed under Education, chart patterns, market commentary. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
I had noted that the T2106 (McClellan) indicator in my Worden Telecharts package had crossed below the -200 level. This reading indicates an extremely short term oversold condition. I ran a backtest in Wealth-Lab that tested a trade with these parameters:
- Tested on the SP-500 back to September 1986 when my McClellan data began
- I entered the day following a close below the -200 reading - at the market and at the open
- My exit was when the indicator closed above the zero reading - again at the market and at the open the following day
The results are quite good. 13 trades - all winners. The average holding period was about 7 days. I have included a graphic with the test results and a list of the individual trades. The September 11th related period had the largest Max Adverse Excursion while in the trade.
I took a snapshot of a recent period when a couple entries occured.
And here is what todays chart looks like……….
Clearly we are entering a period of volatility but based on historical tendencies being long here is the trade.
Have a Great Night!
Dave Johnson
June 8th, 2007 at 6:23 am
Don’t tell me you’ve moved away from the light of day trading to the dark side of swing trading
June 8th, 2007 at 7:55 am
Colin
Thats mainly all my previous blog was about. And our public collective2.com system is a swing system.
Google “dayvejohnson on the markets” or click the link at the top that says “daves old blog”
As I have always preached:
multiple syatems
multiple timeframes
multiple instruments
You will be buying won’t you?
June 12th, 2007 at 10:47 am
Curious as to how this McClellan Oscillator is calculated, because I get significantly different results using the standard formula of a 19day EMA minus a 39day EMA of NYSE advancers - decliners.
Thanks,
Rennie
June 12th, 2007 at 11:30 am
Yes the difference in the way Worder Telecharts reports the number - it is based up the use of all NYSE stocks - theY call this indicator T2106. It moves the same way just has different numbers at the extremes versus the McCLellan number.
June 15th, 2007 at 10:56 am
[...] a follow up to my post on the -200 reading on the T2106 indicator and the backtest I ran, it looks like we’ll be adding another winning trade to the list of past winners. The [...]
June 15th, 2007 at 9:39 pm
[...] Let’s look at the graphic I posted last week with the original trade recommendation: [...]