Advanced Trading Methods

[gloe]

"I hadn't thought about using this as an end-of-day signal, to avoid intra-day flip flops."

I did look back on the 120 days of intra-day data I have available to me, and cannot really draw any conclusions. Almost every signal to short failed as an "end of day" signal, since the RUT (not to mention the Dow and SPX) has been in a relentless "buy the dip" mode since the mid-summer lows. There simply has been no (or very limited) follow through on selloffs.

This does lead though to the possibility of using this as a "trade in the direction of the daily trend" method. Using the daily 50 CCI (and a close above or below the zero line for at least 5 days) as the "trend", one would only take the long signals since the trend changed last summer, going to cash when there is a short signal, just in case, but then getting back long on the next long signal as the short signals had no follow through. During extended periods of chop, such as 2004, one would mostly be in cash, which would have been a good thing.