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Predictive power of SCTR, any hard data?
I am trying to see if anyone has done any studies of correlation between buying securities with high SCTR and the rate of success or return per trade?
I did a bunch of long only runs with simple trading strategies on SPY, QQQ, IWO, XHB, XBI and DXJ for 2012-2015. I tried to see if trade success rate and return correlates with a high SCTR at the time of entry. What I found is that, if anything high SCTR was actually a detrimental factor in the rate of return, and marginally helpful in improving success rate.
See attached for my results.
Any feedback would be appreciated!