Hi Andreas, I'm also trying to define good times to be in the market with my P123 small-cap strategies and when to be out. If you have TC2000, did you ever take a look at their NYSE McClellan oscillator (T2106)? It seems to correlate pretty well with the time periods that I will have a drawdown. Basically above the 0-line is good, below is bad.
Yes, worth looking at, but I do not use it. I analyse my systems with 1-2 factors (for example big cap high beta momentum) in order to determine if I need to hedge. Right now the hedge stays on, but I saw some relative strength in high beta big caps last weeks. Much too early to tell, will take at least a couple of weeks to see and to decide. Besides small cap value momentum not much strength out there right now...
Hi Andreas, I'm also trying to define good times to be in the market with my P123 small-cap strategies and when to be out. If you have TC2000, did you ever take a look at their NYSE McClellan oscillator (T2106)? It seems to correlate pretty well with the time periods that I will have a drawdown. Basically above the 0-line is good, below is bad.
Yes, worth looking at, but I do not use it. I analyse my systems with 1-2 factors (for example big cap high beta momentum) in order to determine if I need to hedge. Right now the hedge stays on, but I saw some relative strength in high beta big caps last weeks. Much too early to tell, will take at least a couple of weeks to see and to decide. Besides small cap value momentum not much strength out there right now...