Testing A/D Volume

Couple of weeks ago I back tested my buying power selling pressure calculation. The results of those tests are here! This week I would like to perform a few cursory back tests on my dollar weighted advancing minus declining volume (indicator box on top of price).


  1. 10 day Rate of Change of the moving average is greater than zero
  2. Dollar weighted A/D volume is greater than the moving average
  3. Sell if the A/D volume drops below the moving average

Previous tests were run against small caps (IWM) and for our definition of the bull market period which began in November of 2009 and has not had an exit signal since. So let’s begin with IWM

Returns are just OK about the same as buy and hold. Let’s test against the SPDR XLK Technology:

This one falls way short of buy and hold, not good. We are however, just testing a very strong bullish period giving buy and hold a strong advantage. How about a portfolio of 12 SPDRs: XBI, XHB, XLB, XLE, XLI, XLK, XLP. XLU, XLV, XLY, & XRT.

A good trend following system will have more losers than winners, we fit. The returns rotating the portfolio bests the individual tests, a plus. Draw-downs still a little steeper than I would like.

When all is said and done with this on going project I am sure we will end up combining data points to arrive at trade signals.