Average True Range Spread Model Buy Signal

Dean Christians

2021-10-25

The Average True Range Spread Model for the S&P 500 ETF (SPY) registered a new buy signal at the close of trading on 10/22/21. Let's assess the outlook for large-cap stocks.

The Average True Range Spread Model for the S&P 500 ETF (SPY) registered a new buy signal at the close of trading on 10/22/21.

Let's assess the outlook for large-cap stocks.

Please see the following concept note for details on the model. Click here.

CURRENT DAY CHART

TRADING STATISTICS

The trading statistics in the table below reflect the optimal days-in-trade holding period of 41 days. When I run optimizations for trading signals, I cap the max number of days at 42.

HOW THE SIGNALS PERFORMED

Besides the 1-week time frame, performance looks solid with several notable risk/reward profiles.

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