Given the recent developments in your BPNYA:CPCE system, I thought it was a good time for an update to my previous post.
As you know, the BPNYA:CPCE Ratio closed at 64 on Thursday. As I understand your method, this brings the system near a Buy signal. Below is a 6-month chart.
Meanwhile, the "MA crossover" version I described in the earlier post triggered a Sell on Friday, July 20. Since you use the BPNYA, I use the SPX as a reference. This trade opened April 11 at 1448 and closed at 1534 for a gain of 5.9%. Using this system, last Friday completed the sixth trade since the inception of the CPCE, and all have been positive with no drawdown.
The total gain from the six trades is 30.9%, as listed below. The 3-year chart plots these six trades. You can't get detail, but it gives you an overview of the MA system.
Oct 04 - Jan 05 -- 6.8%
Feb 05 - Mar 05 -- 2.5%
Jun 05 - Aug 05 -- 2.7%
Nov 05 - Jan 06 -- 2.9%
Sep 06 - Jan 07 -- 10.1%
Apr 07 - Jul 07 -- 5.9%
I recently wrote a post on Timing Indicators, and included a brief mention of your system, though I discussed BPNDX:COMPQ for a more NASDAQ-specific ratio.
This post mentioned that in backtesting timing systems, it becomes clear that even the best ones almost never outperform the control trade of a simple Buy and Hold. While a 30.9% return with no drawdown is excellent, had an investor simply bought SPY and held it from Oct 2004 until Jul 2007, the return was 39.5% -- a gain 27% larger than the MA system.
This is why most market timers now use the 2X ETF's, in this case SSO.
Anyway, I'm looking forward to following your approach to BPNYA:CPCE, as I think dividing the Bullish Percentage breadth indicator by equity put/call is a very clever idea.
Hope you're well.