Updated Indicator Test

I just reanalyzed the relation between the XLE 0.1 ema and the SPY 10 days later for the period 4/20/04 to 8/21/07 (today is the 23rd). I also analyzed the 20 day after SPY results.



The 10 day correlation is -.27. The 20 day correlation is -.32. These are quite high and encouraging.



There also was a perfectly monotonically increasing return 10 days later in the SPY as the XLE 10 day e.m.a. decreased, and a fairly good increasing return 20 days later:



XLE 0.1 ema ----------------------SPY 10 days later----SPY 20 days later


< -.56 ____________________ 1.45 %____________2.98%

< -.44 & > -.56 ______________1.06 % ____________1.80%

< -.31 & > -.44 ______________0.97 % _____________2.01%

.14 & > -.31 ________________ 0.86 %_____________1.39%

< .45 & > .14 _______________ -0.04 %_____________0.12%

< .53 & > .45 _______________-0.24 %_____________0.69%

< .62 & > .53 _______________ -0.39 %____________-0.28%

> .62 ____________________-0.49 %____________-1.27%

Average 10 day SPY return 0.4 %. Average 20 day return 0.8 %.


As of today's close, the XLE 0.1 ema is 0.01 so we are slightly positive (by interpolation).