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Julius de Kempenaer (JdK) Relative Rotation Graphs (RRG) aka JdK RS Ratio
If I were to use these 2 variables, I would just sort a portfolio of stocks or ETFs based on one and then maybe the other, and then buy the top N and short the bottom N. If this gives very negative backtest results, then I would reverse the trade and short the topN and buy the bottom N.
I would rebalance daily, but I may also impose a L day holding period. If I do impose L-day holding period, then I will launch a new portfolio every day, so ultimately I will have L portfolios, with capital allocated equally.
The system stays on the attractor until the butterfly flaps his wings in the storm. Then it (the system) jumps to the next one. The butterfly just 's.
A friend and I once proved that a CAD company's layout/smoother was completely driven by chaos attractors. The developers thought the result always improved with the number of passes, we showed it did not. Once stuck on an attractor 'circle' of nodes it stayed there, so the optimality of the result had nothing to do with the number of passes, just whether it had been through that node before.
Weather and economic/market systems also seem to have much in common on the chaos dimensions, less so on the spiral growth and herding pattern ones.
