No. of Recommendations: 9
Given data has continued to fill in since then, do you think 99, 114, or some other number is best? I would guess that any number roughly in this range is within the error bars, but thought I'd ask.I wrote some python code about 6 years back to explore questions like this. You can find it here:
github.com - Dying Bullish EuphoriaI've also got some spreadsheets you can download there.
There are actually two parameters: M (looking for a new M-day high)and N (in the last N days). This program found that SPY returns are maximized for M in the range M=138-142, and N=214. If the algorithm is restricted to M=N my recollection is that 114 was best, but just by a hair. But in 6 years the optimal parameter values could have changed. And of course they change significantly when considering a different index (e.g. IWM, NAS).
John
