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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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Risk Disclosure: Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

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