Post #826 by Baltassar on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I was able to essentially duplicate the weighted NH-NL signal that came out of the GTR1 spreadsheet.

I would be interested to know how to do this, since, as was discussed on the old board, there are many possibilities. Stockcharts and Barcharts provide readily available versions of NHNL, but they calculate it differently from GTR1, and from each other. In practice I'm not sure the difference matters much, but knowing how to calculate the only back-testable version would be helpful.

Baltassar

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