ROC comparison Utilities and Industrials.

T. Smith,

Great job of simplifying the code and reducing parameters.
We now have a single parameter.
I would rename it from self.VOLA to self.RETURN

Thanks this simplification finally allowed me to figure the whole thing out.

I'm suspicious about the 'change in close price over the last 10 hour bars of xli vs xlu' signal, though, it outperforms as you have it written, but when i change things, like trading at 11am, or not trading when markets are closed, or looking at 11 bars instead of 10, and change the time range of what data is checked, it varies from outperform to underperform benchmark... i suspect the signal is just overfit and not real?  how likely is it that this is a real signal?

I find this idea of a simple risk on risk off in/out strategy super appealing, though. hopefully as i do more digging I'll find something similar that's less suspicious :)

Reminds me of the leadlagreport thing i've read about.