Post #830 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I would be interested to know how to do this, since, as was discussed on the old board, there are many possibilities. Stockcharts and Barcharts provide readily available versions of NHNL, but they calculate it differently from GTR1, and from each other. In practice I'm not sure the difference matters much, but knowing how to calculate the only back-testable version would be helpful.

It's probably easiest to just show the spreadsheet. Here's the link, anybody can view it, and copy or download to their own account to muck about with it.

Positive is the buy signal, negative is sell signal.

https://docs.google.com/spreadsheets/d/1KiMrNPrwpT...

My timing backtest assumed you bought at the close based on the signal of that day, presuming you could get the NH-NL figure just before the close. That may give a more optimistic picture than you could get in real life. An extra day lag has a lower return.

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