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Indicator Love is Back!: The DV Smoothed Double Stochastic Oscillator

September 9, 2009

Here is a preview of the results for the DV Smoothed Double Stochastic Oscillator for the last 3000 bars. Note that the default setting for the stochastic is 10 days.Both long and short signals work well on an annualized basis, and extreme levels of the stochastic are very accurate predictors for next day returns whether going long or short. The edge is very significant:

  CAGR Stdev Sharpe DVR
buy <.5, short >.5 18% 22% 0.82 0.77
buy<.2 sell above .2 8% 12% 0.72 0.69
short>.8 cover below .8 5% 10% 0.51 0.48
     

Average

Strategy Winning %  Next Day Ret
Long<.05  64.29% 0.28%
Long<.05 C>1yr MA 66.00% 0.45%
Long<.1 63.70% 0.32%
Long<.1 C>1yr MA 67.00% 0.54%
Short>.9 56.40% 0.17%
Short>.9  C<1yr MA 58.00% 0.60%
Short>.95 57.00% 0.26%
Short>.95 C<1yr MA 63.00% 0.86%
One Comment leave one →
  1. Christian permalink
    September 11, 2009 2:05 am

    Looks very interesting. It would be really nice to know how to calculate this indicator🙂

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