Today's inaugural column is about his and my favorite subject - regression to the mean - which is pretty much my bread and butter and yours too I'd wager. Anyway he has some statistical evidence that shows clearly that buying stocks off their 10-day low is a lot more profitable than buying them off their 10-day high. Well we know that of course. He also said that it would be better if they were above their 200-day moving average.
Sensing a challenge to my never ending quest to turn everyone against the 200 day MA I put together some filters - one using the 200 MA and one using the 90 EMA. Now these are not equivalent but the 90 is my favorite so I wanted to see how it would do. Not as good as the 200 MA. Well!
So I tried one other thing - I required the stock to close at its 10-day low and below the lower donchian band. The 200 MA still won and was hands down the best.
Here's that filter-
show stocks where close is between 15 and 35
and average volume(90) > 500000
and close reached a new 10 day low
and close > ma(200)
and close < lower donchian band(20,4)
And the results were win rate 72% (one trade a day) and ROI 78%. The ROI could be better but the net change over 30 days was a very nice 3.14%. So short term it is pretty efficient and long term it is pretty profitable.