On an earlier post I got a question about trading gaps. For each day I calculate a potential trade for the Rabbit and the Turtle.
Since there is a target holding period for each stock and some additional internal metrics for both technical and fundamental considerations, I calculate a trading gap that will shrink over time. So, if I have a very favorable gap I may make a trade some days (or weeks) early because of the gap. If there is no gap I'll wait out the day and not make a trade.
For the Rabbit the potential trade setup is to sell ASTE and buy AMWD if there is a 7% or better gap toward the end of the day.
For the Turtle the potential trade setup is to sell UPLMQ and to buy SPLS is there is a 10% or better gap toward the end of the day.
Also, the 2016 returns for the Turtle was substantially higher than those for the Rabbit. The Turtle is set for an average holding period of 1920 days, and the Rabbit for 108 days. It appears that the holding period for the Rabbit is too short for fundamental conditions to overcome technical ones, and if the underperformance continues through the end of this year I will combine the two models into a single model of 20 stocks set for the longer holding period.