Post #153 by FlyingCircus on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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Confirming what metrics define "risk on" in SPX or $COMPQ according to this dude Gayed?

13-period average of weekly spot prices on random length lumber futures and gold as quoted in US dollars per troy ounce and aligned to risk-on when lumber futures outperformed gold futures, as examined weekly.

So how does he apply that to the indexes?
Is it SPX 13wk daily price avg > average lumber or gold 13wk daily $/troy ounce or whatever? So, stocks compared to a commodity?

Or, stocks price to 13wk average and/or 13wk average compared to its own prior average?

FC

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