Post #4859 by mungofitch on the US Policy board

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It uses a 9-Day Weighted Moving Average (WMA). The thresholds for turning to bearish or back to bullish are not a fixed zero per my own backtests of what is optimal. I suggest anyone using it to do the same sort of testing to arrive at what they consider optimal.

I'd add to that, if you're going to use a cutoff other than zero, I recommend expressing the NH-NL difference as the percent of issues before comparing to your constant - the number of stocks changes a lot over time, so an absolute ticker count is probably not what you want if you want a long backtest to behave the same way now.

Jim

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