Detecting market tops and bottoms

[Tom K]

System 3

I revised the chart slightly from my last posting. The rules haven't changed, I just looked more closely to confirm actual buy and sell signals. Some of the signals are very difficult to see on a chart covering such a long period of time. Here are the rules once again.

FILTERS:
If the $COMPQ 20day EMA is above the $COMPQ 250day EMA, the sell filter is in effect. If the $COMPQ 20day EMA is below the $COMPQ 250day EMA, the buy filter is in effect. (I actually use the 20, 250 PPO)

BUY:
A. If the sell filter is in effect, buy when the CCI rises above -100.
B. If the sell filter is in effect, buy when the CCI rises above 0.
C. If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy.
D. Buy if the 20day EMA crosses above the 250day EMA.

SELL:
A. If the buy filter is in effect, sell when the CCI falls below +100
B. If the buy filter is in effect, sell when the CCI falls below 0.
C. If the sell filter is in effect, the CCI must first rise above +180 and then fall below +100 to generate a sell.
D. Sell if the 20day EMA crosses below the 250day EMA.



I tested the system by going through the chart signal by signal. Here are the results I came up with

 
                   Close  Points+/- Gain/Loss  
  
 Buy  Mar 7, 1990  432.47  
 Sell Aug 3, 1990  417.46  -15.01    -3.47%  
  
 Buy Nov 9, 1990   341.95  
 Sell Apr 30, 1991 484.72 +142.77   +41.75%  
  
 Buy May 1,   1992 578.14  
 Sell Feb 13, 1993 690.54 +112.40   +19.44%  
  
 Buy Apr 28, 1993  658.16  
 Sell Nov 4, 1993  757.26  +99.10   +15.06%  
  
 Buy Apr 2, 1994   743.46  
 Sell Apr 20, 1994 705.52  -37.94    -5.10%  
  
 Buy May 27, 1994  733.14  
 Sell Dec 9, 1994  719.05  -14.09    -1.92%  
  
 Buy Jan 10, 1995   756.52  
 Sell Sep 26, 1995 1038.05 +281.53   +37.21%  
  
 Buy Jan 19, 1996  1007.01  
 Sell Mar 8, 1996  1063.73  +56.72    +5.67%  
  
 Buy Aug 6, 1996   1128.87  
 Sell Oct 16, 1997 1699.60 +570.73   +50.56%  
  
 Buy Jan 2, 1998   1581.50  
 Sell May 15, 1998 1846.70 +265.20   +16.77%  
  
 Buy Sep 22, 1998 1697.80  
 Sell Feb 17, 1999 2248.90 +551.10   +32.46%  
  
 Buy Aug 10, 1999 2490.11  
 Sell Mar 29, 2000 4644.67 +2154.56  +86.92%  
  
 Buy Apr 28, 2000 3860.66  
 Sell May 25, 2000 3205.35  -655.31  -16.97%  
  
 Buy June 2, 2000 3813.38  
 Sell Oct 4, 2000 3523.10   -290.28   -7.61%  
  
 Buy Oct 15, 2001 1696.31  
 Sell Nov 27, 2001 1935.97  +239.67  +14.13%  
  
 SYSTEM GAIN 284.90%  
 BUY AND HOLD 184.97% (Jan 1, 1990 through Sept 10, 20