Denny - Thank you for sharing yout thoughts and pointing to Dan’s work. This is how I have been tagging the 6 market phases using 200 and 50 day MA position and slope:
SMA(50,0,#Bench) > SMA(200,0,#Bench) and benchclose(0) > SMA(50,0,#Bench) and SMA(50,0,#Bench) > SMA(50,10,#Bench) and SMA(200,0,#Bench) > SMA(200,10,#Bench) //Bulish
benchclose(0) < SMA(50,0,#Bench) and SMA(50,0,#Bench) > SMA(200,0,#Bench) //Warning
SMA(50,0,#Bench) < SMA(50,10,#Bench) and SMA(50,0,#Bench) > SMA(200,0,#Bench) and SMA(200,0,#Bench) > SMA(200,10,#Bench) //Distribution
SMA(50,0,#Bench) < SMA(200,0,#Bench) and SMA(50,0,#Bench) < SMA(50,10,#Bench) and SMA(200,0,#Bench) < SMA(200,10,#Bench) //Bearish
benchclose(0) < SMA(200,0,#Bench) and benchclose(0) > SMA(50,0,#Bench) and SMA(50,0,#Bench) >= SMA(50,10,#Bench) and SMA(200,0,#Bench) < SMA(200,10,#Bench) //Recovery
benchclose(0) > SMA(200,0,#Bench) and benchclose(0) > SMA(50,0,#Bench) and SMA(50,0,#Bench) > SMA(50,10,#Bench) and SMA(200,0,#Bench) >= SMA(200,10,#Bench) //Accumulation
I am planning to evaluate which factors work best in each of these phases. Any thoughts on how P123 can be used to efficiently do this would be appreciated.
Dan - I like how you have organized the evaluation using moving average. It would be worthwhile to run the factors and identify when alpha moving average turns for a factor. It would be interesting to use MA crossover or MACD of % alpha to switch between factors. The approach of downloading the data in Excel is certainly one way I could use to test the average alpha for each factor across the above 6 phases.
Sevensisters - It has been a long time since I dealt with NN. Over time I have moved away from sophisticated approaches using low number of variables (not a lot of data was available in free form to use in MATLAB or SAS) to simple approaches using a lot of variables (most platforms with historical fundamental data did not allow sophisticated transformations). For some reason, I have been able to find good models that earn high returns using the latter. Maybe with data science and democratization of data becoming a trend, best of both worlds is now within reach for individual investors. I will try to dust up my old project and post it here if I find it.