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Archive for the ‘MR2’ Category

April continued to be dominated by two themes:

  1. None of the strategies I track did much – they’re all pretty much sideways in a market like this.  They have a month up and then a month down.  In terms of MOMO1, this is actually what I would expect – the system performs best in a bull market and despite the rally, we are not yet in a bull market in my view.  It could also be that we are in a very different market – closer to 1930 or 1970 rather than 2000-2008 – so the systems may simply not come back to life for a while.  As such I continue to monitor them and make changes as I see fit.
  2. The little time I have these days is split between my family and my job.

Despite all of this, I’ve been impressed with the rally in the market over the past two months although I have not been as invested as I should have been.

Also exciting this month: Amibroker update that makes doing this reporting much, much easier.  The other really nice feature about the new reporting is that it is customizable – so you can program new charts which is pretty darn neat and something that I used Tradersstudio for.  The individual strategy pages have been changed to reflect the new reporting.

MR1 was the bigger winner in April.  Stats are below.  Disappointing is that all the strategies significantly underperformed the market – I’m not really shocked at this given the huge change in trend during the past month – but it is disappointing nevertheless.

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.  None of these system count dividends.

MOMO1:

  • Return for April-09: -0.3%
  • Return YTD: 3.1%
  • Current holdings: IGN, EWT, HHH

TREND1:

  • Return for April-09: -1.9%
  • Return YTD: -1.8% (includes some of May)
  • Current holdings: AGG, IWM

MR1:

  • Return for April-09: 5.1%
  • 2009: -3.9% (includes some of May)
  • Current holdings: See blog for updates.

Benchmarks (from March 31,2009 till April 30,2009):

  • S&P500:
    • April-09: 9.39%
    • 2009: 2.88% (through May 8th)
  • DOW:
    • April-09: 7.35%
    • 2009: -2.30% (through May 8th)
  • Nasdaq:
    • April-09: 12.72%
    • 2009: 15.06% (through May 8th)
  • IWM (proxy for the R2000):
    • March-09: 15.39%
    • 2009: 3.59% (through May 8th)
  • EFA (proxy for developed foreign markets):
    • March-09: 11.52%
    • 2009: 2.43% (through May 8th)
  • EEM (proxy for developing foreign markets):
    • March-09: 15.56%
    • 2009: 26.51% (through May 8th) – Wow!

As always – thanks for reading and I hope you have a good May!

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The Skills Dat Pay Da Bills album cover
Image via Wikipedia

The Skills Index is back on sell again.  This is a tough market, no doubt about it.  Short term, though, I wouldn’t be adding to short positions here with RSI2 on the SPY down to around 3, and the percent of stocks in the SP-500 with RSI2 of less than 10 approaching 60% – pretty close to other times where we saw reversals.  So what to here?  Well, I’ll watch the trade during the day for a reversal.  Other than that, for short positions I’d look for a retracement on this move to establish positions, but honestly there really has been no strong trend (except the overall down trend), so I’d limit both long and short positions.  I think if you are trading here, keep it small.

Suffice to say that all the positions established in my prior post from MR1 and MR2 are underwater – I’ve got one new position coming from MR2 – QLD.

skills_index_2_17_09

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winter reflection
Image by Qba from Poland via Flickr

Hey all – I’ve got some new setups from MR1 and my new, still in development MR2 that I wanted to share with folks.

MR1: EWJ, OIL – both buy on the open with a 50% allocation to each.

MR2: DDM, DIG, MVV, RSU, SAA, SSO, URE, UWM, UYG – you’ll need to look at each of these to determine your own position size – I use a custom position sizing on this.

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Wow – what a June.  I’d like to apologize for being late on delivering this – between my job and my vacation, I just got behind and it usually takes about 2 hours to put together the information for the update.  Anyway, enough excuses – you’ll find the individual strategies pages (MOMO1, TREND1, MR1) have updated equity curves, statistics and current holdings. One update on commissions – 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 June-08: 2.3% (does not include dividends)
  • Return YTD: 21.4%
  • Current holdings: UNG, DBC, OIL
  • Notes: Wow, dodged a bullet on this one with the rotation on 7/1 – we were in SLX and XME – both of which got hammered by about -9% each.  I’d love to say the system did that – but it was probably some element of luck.  It does, however, illustrate the point “he who lives by the Mo, dies by the Mo” – and points out why this portfolio is only used for a portion of all assets.

TREND1:

  • Return for June-08: 5.3% (does not include dividends)
  • Return YTD: 20.3%
  • Current holdings: UNG, DBA
  • Notes: TREND1 continued to do well – 5.3% is a great month anyway you look at it.  Not much to say about it beyond that.  It held PPA too long and got hurt but still managed a good month on the back of its continued holding of UNG.

MR1:

  • Return for June-08: -4.5% (does not include dividends)
  • Return YTD: 19.6%
  • Current holdings: See blog for position changes.
  • Notes: MR1 had a bad month – no way around it.  It was actually doing very well until the end of the month where it got confused and had several positions down heavily or hitting maximum stop loss.  While the number is bad, it is in the historical range for the system – so I continue to trade it.

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

  • S&P500:
    • June-08: -8.34%
    • YTD: -13.66%
  • DOW:
    • June-08: -10%
    • YTD: -11.9%
  • Nasdaq:
    • June-08: -7.91%
    • YTD: -15.34%
  • IWM (proxy for the R2000):
    • June-08: -6.41%
    • YTD: -12.62%
  • EFA (proxy for developed foreign markets):
    • June-08: -9.67%
    • YTD: -14.29%
  • EEM (proxy for developing foreign markets):
    • June-08: -10.12%
    • YTD: -14.04%

By any measure another great month with market-beating returns in all portfolios – even MR1, which lost money, still out performed all the benchmarks.  So hopefully we’ll continue with a great July.  Have a great 4th of July holiday everyone and posting resumes on Monday!

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So, I bought the IBB as promised this morning.  I did look at the options but they were so thin in the trading I decided to just go with the stock.  Too bad – I’d be up 18-20% on the position already if I had!  As it goes, however, I’m still up, albeit small, on the IBB entry.

This is a great example of why I like system trading.  I never, never would have looked to IBB on day like today – hell, I barely notice it most of the time because it is so up and down.  But my system “found” it and so far it’s been a good call.  Suffice to say I’ve probably now jinxed myself and it will plummet tomorrow.

The XLF trade continues to mull around – my options gained about 4 or 5 cents after being down yesterday.  So, still down on the position.

On the Ultra side, UYG was up quite big early and has settled into being up about 1.3% – a nice start.  Meanwhile, UCC is down about 0.50% as of this writing.  The paper trading on this will continue for a bit.

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Entries on MR2 System

As I’m about to go off to bed, I checked my more experimental system – MR2 – that I’m currently paper trading.

I have UYG (Proshares Ultra Financial) and UCC (Proshares Ultra Consumer Services).  I won’t take the trades but I will note a price and post it to the blog so that I’m keeping myself honest.

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