In this post I will test the DV2 with other indicators.

First I tested a simple DV2 system on SPY from 1/1/2000 – 7/30/2012 from Yahoo! Finance data. The rules were:

- Buy/Cover: DV2 < 50
- Sell/Short: DV2 > 50

The orders were taken at the day the signal was generated at the close price. The results were:

All the tests after this use the same test dates, data source etc. as the test above.

**DVI**

The rules are:

- Buy: DV2 < 50 & DVI < 50
- Sell: DV2 > 50
- Short: DV2 > 50 & DVI > 50
- Cover: DV2 < 50

The results:

These set of rules decrease the CAGR slightly yet decrease the MDD by over half.

A different variation of the rules:

- Buy: DV2 < 50 & DVI < 50
- Sell: DVI > 50
- Short: DV2 > 50 & DVI > 50
- Cover: DVI < 50

The results:

Performance deteriorated versus the test above yet still beat the original on a risk/reward basis.

A different variation:

- Buy/Cover: DV2 < 50 & DVI < 50
- Sell/Short: DV2 > 50 & DVI > 50

The results:

Performance deteriorated more.

A different variation:

- Buy: DV2 < 50 & DVI < 50
- Sell: DV2 > 50 | DVI > 50
- Short: DV2 > 50 & DVI > 50
- Cover: DV2 < 50 | DVI < 50

The results:

A different variation:

- Buy: DV2 < 50 | DVI < 50
- Sell: DV2 > 50 | DVI > 50
- Short: DV2 > 50 | DVI > 50
- Cover: DV2 < 50 | DVI < 50

The results:

A different variation:

- Buy: DV2 < 50
- Sell: DV2 > 50 | DVI > 50
- Short: DV2 > 50
- Cover: DV2 < 50 | DVI < 50

The results:

**IBS (or CRTDR)**

I found this indicator with some background information at this QUSMA post. It seemed to be useful as an indicator on its own, and as a filter for other indicators. Just like in the QUSMA post, I use a 3-Day MA of the IBS.

The rules are:

- Buy: DV2 < 50 & IBS < 50
- Sell: DV2 > 50
- Short: DV2 > 50 & IBS > 50
- Cover: DV2 < 50

The results:

A different variation of the rules:

- Buy: DV2 < 50 & IBS < 50
- Sell: IBS > 50
- Short: DV2 > 50 & IBS > 50
- Cover: IBS < 50

The results:

A different variation:

- Buy/Cover: DV2 < 50 & IBS < 50
- Sell/Short: DV2 > 50 & IBS > 50

The results:

A different variation:

- Buy: DV2 < 50 & IBS < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50 & IBS > 50
- Cover: DV2 < 50 | IBS < 50

The results:

A different variation:

- Buy: DV2 < 50 | IBS < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50 | IBS> 50
- Cover: DV2 < 50 | IBS < 50

The results:

A different variation:

- Buy: DV2 < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50
- Cover: DV2 < 50 | IBS < 50

The results:

**RSI(2)**

The rules are:

- Buy: DV2 < 50 & RSI < 50
- Sell: DV2 > 50
- Short: DV2 > 50 & RSI > 50
- Cover: DV2 < 50

The results:

A different variation of the rules:

- Buy: DV2 < 50 & IBS < 50
- Sell: IBS > 50
- Short: DV2 > 50 & IBS > 50
- Cover: IBS < 50

The results:

A different variation:

- Buy/Cover: DV2 < 50 & IBS < 50
- Sell/Short: DV2 > 50 & IBS > 50

The results:

A different variation:

- Buy: DV2 < 50 & IBS < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50 & IBS > 50
- Cover: DV2 < 50 | IBS < 50

The results:

A different variation:

- Buy: DV2 < 50 | IBS < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50 | IBS> 50
- Cover: DV2 < 50 | IBS < 50

The results:

A different variation:

- Buy: DV2 < 50
- Sell: DV2 > 50 | IBS > 50
- Short: DV2 > 50
- Cover: DV2 < 50 | IBS < 50

The results:

Conclusion:

While all the indicators improved the Risk/Reward versus the vanilla DV2 system, the best indicator seemed to be the IBS.