As long time readers of my blog know, I often use a market timing
indicator in my strategies. My favorite one, and a simple one, is using
the 200 day moving average on either the SPY or S&P 500 Index. I
recently ran into these posts, Using Market Breadth To Gauge Market Health (Part 5) and Matt’s Breadth Indicator.
Matt’s Breadth Indicator (MBI) intrigued me because I had not seen
something like this and conceptually it is simple. I also liked that it
was not “easy” to test or optimize on. Therefore hopefully not many
people would be using this indicator and I could potentially find better
values.
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Good Quant Trading,
Cesar
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