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Musings on RROC

October 12, 2009

In part 2 we will take a look at ways to improve this baseline strategy using fundamental data. One important note about the simple 5-day strategy presented is that while it does well even over longer periods (the long only does over 30%, and the hedged portfolio does close to 40%) it is too erratic  to be used in its simple form for most traders. The drawdowns are not tolerable for my liking–nor are they likely to be acceptable to most traders. Nonetheless, it is a good way to think about adding to or improving existing strategies. There are several ways to do this from using longer-term RROC combined with short term and combining different RROC measures with indicators. This is just the tip of the iceberg as they say, and a more complex Level 3 or 4 analysis reveals some unique ways to transform this data into useable applications that truly blow away standard methods using only technical indicators. When my new site DV Indicators  is up and running, some proprietary research will be presented to subscribers as well as trading systems rotating across individual stocks in the S&P500, and the sector spyders. To receive an early bird discount of 20% off all new DV indicator products and subscriptions, as well as some freebie research on zone trading and the DVTrsi trading system, email us at dvindicators@gmail.com

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One Comment leave one →
  1. Bill permalink
    October 12, 2009 11:27 pm

    David

    i got your DVRAC indicator, but wonder how do you trade it.

    pl explain when u have few moments
    thanks
    Bill

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