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Archive for October, 2008

Akinori Iwamura #1 slaps a lat...

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My beloved Red Sox are done for the year.  Such is life.  I said at the start of the season that their pitching didn’t look strong enough for the post-season, but they did great with what they have and I’m still happy with the team.  The Rays are a great team and I wish them well in the World Series, although my friend Kevin has been waiting for the Phils so long that I almost want to root for them.

I’ve got a custom index I created that is creatively called the “Skills Index”.  I haven’t mentioned it prior to this because it was heading down – and I wanted to bring it up when we had a significant event.  So, today was that event.  I overlay a 15dma on the Skills Index.  If SI is above the MA, we are on an overall market buy.  Today we had the crossover.

Here’s a picture:

So as you can see – we’ve just bearly made it over.  What else is going on?  Well, on the last big down, we had a divergence in new lows – not surprising as we made a higher low (at least on the S&P 500 – the NDX touched the prior low).

Only issue – volume was very light on this upswing.  Makes it a bit suspect.  But the strategy will be the same either way.  Wait for a sell off that brings RSI2 back to a reasonable level and then start buying.

Now let me be clear on one thing: I don’t know if this is a start of a new bull market or not.  Hell, no one knows.  But I think we might have a trade.

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What a time it has been for the market – obviously most people are struggling at I’ve read that upwards of $2 trillion dollars have been knocked off of 401k accounts.  As I would expect, all of my strategies, as they are outlined, are struggling – some more than others, but overall pretty bad.  However, as I mentioned in my last email, I’m not trading them – basically my strategies are all in the “off position” at the moment.  So I’m trading a little here and there but I have no long term holding at this point and won’t until something changes more radically in the market to trigger my overall system indicators to turn to the “on” position.

But what I did want to do is keep publishing the monthly results.  I hate it when people publish strategies that just “magically” disappear when they start doing badly.  So I’m holding myself to that standard.

Onto the results…again, pretty disappointing.  MR1 did well in September, but this has been followed by an equally disastrous beginning in October – the strategy is down about -11% in October so far, joining MOMO1 and TREND1 in the house of shame.

As I mentioned in my last update, my day job has been taking up more and more of my time (damn that day job) – but I’m working on a piece on utilizing value and momentum stock performance as a way to judge when to be in the market. I’ve been trying to work on a specific technique – having the trading strategy adapt to conditions using methods similar to those outlined by Michael over at MarketSci.  Alas, the programming in Amibroker is a bit beyond my skills and thus I’ll probably publish the first half of it without that technique.

As normal, you’ll find the individual strategies pages (MOMO1, TREND1, MR1) have updated equity curves, statistics and current holdings. As was true of my last update – all the trading systems below assume an Interactive Broker‘s-like commission plan – for these, it is .01 cent per share with a $1 dollar minimum.

MOMO1:

  • Return for Sept-08: -8.7% (does not include dividends)
  • Return YTD: -22.9%
  • Current holdings: SHY, TLT, GLD

TREND1:

  • Return for Sept-08: -11.9% (does not include dividends)
  • Return YTD: -30.7%
  • Current holdings: None – out of the market (all on it’s own!)

MR1:

  • Return for Sept-08: 11.4% (does not include dividends)
  • Return YTD: -4.5%
  • Current holdings: See blog for updates.

Benchmarks: All my benchmarks are from Google Finance – so your results may be slightly different.

  • S&P500:
    • Sept-08: -9.08%
    • YTD: -31.64%
  • DOW:
    • Sept-08: -6.0%
    • YTD: -28.67%
  • Nasdaq:
    • Sept-08: -11.64%
    • YTD: -33.09%
  • IWM (proxy for the R2000):
    • Sept-08: -7.95%
    • YTD: -25.89%
  • EFA (proxy for developed foreign markets):
    • Sept-08: -11.44%
    • YTD: -39.17%
  • EEM (proxy for developing foreign markets):
    • Sept-08: -14.68%
    • YTD: -46.13%

As always – I welcome any questions or comments you might have, and I hope the market isn’t killing you!

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