I have observed that the 1-day model has had reasonably frequent trades
over the last few months.
I understand that this 1-day model has backtested with a greater return,
however the frequency of trades is going against the statement of "trading at
most a few times a month" in addition to additional commission costs.
This frequent trading is also counter productive when trading funds (like
my 401K) as there is also 1 day delay in the order being processed.
With that in mind, how is the 5-model progressing with the thought that
it is less volotile that the 1-day with a longer term viewpoint?
Also, is it correct that the 5-day signals have a 2 day delay? I.e. If
the ANO goes cash today, you wait 2 days before acting?
Any other thoughts, input or comments most welcome.
Volatility has been extremely high lately so I am not surprised that the
1-day model has changed trading position more than "a few times a month." This
is a 1-day model and if it was 100 percent accurate, it would be changing position
The 5-day model has a smaller return mainly because it doesn't
change position as often as the 1-day model. The intent of the 5-day
model is to give you a longer term perspective of the market's direction.
I don't trade on this model but it does at times influence the size
of my posit ion. The 1-day model is our standard and we base our performance
data on its results. The 5-day model does have a two day delay and
your example above is correct.