Sentiment Risk On/Off Indicator Buy Signal
The Sentiment Risk On/Off indicator registered a range rank reversal buy signal at the close of trading on 6/3/21.
THE CONCEPT
The sentiment risk on/off indicator range rank model identifies when the indicator reverses from a bearish to bullish condition. The model will issue an alert based upon the following conditions.
SIGNAL CRITERIA
- The sentiment risk on/off indicator range rank crosses below 5%.
- The sentiment risk on/off indicator range rank crosses above 68.5%
The range rank for the indicator utilizes an 84-day lookback period. So, the signal triggers when the risk on/off indicator was in the lower 5% of its range over the past 84 days and then rose to within 68.5% of its range over the past 84 days.
Please click here for a link to the sentiment risk on/off Indicator page on the website.
Let's take a look at the current chart and historical signal performance.
CURRENT DAY CHART
The trading statistics in the table below reflect the optimal days-in-trade holding period of 22 days with a hypothetical execution on the following day open. When I run optimizations for trading signals, I cap the max number of days at 42.
HOW THE SIGNALS PERFORMED
Signal performance looks promising with several notable z-scores. I would also add that it performed well on a short-term basis during bear markets. I would tip my hat to the validity of what Jason and Eric built.
