So. . . as I'm fiddling around with the 3 finger lead system I realized that it might be interesting to test the short side of this concept for mean reversion to the NYAD. Since using the NYAD for these comparisons is a bit risky because of the characteristic skewed volatility, I used QQQQ, DIA and GE as Data 2,3 and 4. I could have chosen other candidates for data 2-4, and you are welcome to explore the possibilities of this lead/lag system that follows the pack.
Rereading the text accompanying the original 3 finger lead post should clarify the intent of the code.
While the short side doesn't trigger a lot of trades (less than 1 a month), the holding time of 12 days means you are actually exposed for about 37% of the time.
TS2000i code is shown below:
Inputs have been optimized for IWM (as usual) and must be re-optimized when using other data 1-4.Blogger has again refused to let me post the open code due to the <> symbols. Sorry. I'll try and post the open code in the comments section later today for you copy and pasters.