Just to bring group up to date, this
system is still in “active” mode. Raw Returns (yellow) are above upper
cutoff. Green is net returns. As you can see, this approach cannot work without
an expectation of follow through once the lines are crossed. Whipsaws will kill
the results. So it has to be correct 1 day ahead of time more often than not.
It is not the purpose of the risk management to predict anything. It only tries
to be right more than it’s wrong.
Regards,
Gene
