Post #5700 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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RayVt

I think it is working as expected.

If you download the daily values and look at cycle 2 on 20220127 it has a value of 11200.67. For the next 20 days it increases by a few cents each day as the cycle is invested in T-Bills(??? not sure if that is correct but some short term instrument) as the stock total was zero.

On 20220128 cycle 3 goes to cash etc. up to cycle 8. Cycle 9 does not go to cash.

Regarding the number of overlaps changing each day, the overlaps are calculated for the cycle trade day. On 19851024, cycle 3 is calculated and there are 3 overlaps. These stocks are held for 20 days. On 19851025, cycle 4 is calculated and there are 2 overlaps. These are held for the next 20 days in cycle 4.

Aussi

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