Roundup: DVI Indicator

04Aug10

This is a roundup of our recent posts analyzing the DVI Indicator, a contrarian intermediate-term indicator from CSS Analytics (click to calculate).

>> Basic Long-Only Strategy

Test of a simple strategy that goes long when the DVI is below the midpoint (50%) that has outperformed the market in terms of risk-adjusted returns and drawdowns.

>> Extreme DVI Readings

Test of how the market performs following other more extreme DVI readings (besides just the midpoint).

>> Up vs Downtrending Markets

Tests how DVI performance has differed in up versus downtrending markets and presents a simple modified strategy that has outperformed the original.

>> Indicators as “Concepts”

Compares DVI to our own intermediate-term indicator to make the point that we should view indicators as “concepts” and spend our time finding other concepts, not other redundant indicators.

Happy Trading,
ms

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