Craig, I'm afraid I'm not going to be too much help with the details of what GTR1 is doing with the lags. I may have once known some time ago, but memory has faded...!

In a previous post (#859), I showed some manual research I did on weekly returns of QQQ given NHNL values produced by GTR1 as of Friday close, since in general I knew that these values would be available sometime over the weekend (back when Robbie was able to update data regularly). I then used next-trade-day close prices in calculating QQQ returns. In this way, I was pretty sure I was avoiding hindsight bias. I was interested to see that with QQQ at least, there seemed to be a 'Goldilocks' range of NHNL values, neither too high nor too low, when QQQ performed the best over the following week.

Todd

Mechanical Investing FAQ

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