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I figured out a way to do my benchmarks a lot faster – so I’m going to continue to post them after all.  I like keeping an eye on them because you can often lose the forest for the trees if you know what I mean.  Max continues to grow at a great pace and is definitely where I should be placing most of my time – so I’ll be spending time on that!  Ok – onto the system results.

MR1 was the bigger winner in March.  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 March-09: 0.5%
  • Return YTD: -1.4%
  • Current holdings: IEF,GLD,SLV

TREND1:

  • Return for Feb-09: 1.5%
  • Return YTD: -1.3%
  • Current holdings: IEF, AGG

MR1:

  • Return for Feb-09: 2.3%
  • 2009: -6.0%
  • Current holdings: See blog for updates.

Benchmarks (from Feb 27,2009 till March 31,2009):

  • S&P500:
    • March-09: 8.54%
    • 2009: -11.67%
  • DOW:
    • March-09: 7.73%
    • 2009: -13.30%
  • Nasdaq:
    • March-09: 10.74%
    • 2009: 2.09%
  • IWM (proxy for the R2000):
    • March-09: 7.41%
    • 2009: -14.60%
  • EFA (proxy for developed foreign markets):
    • March-09: 8.39%
    • 2009: -16.21%
  • EEM (proxy for developing foreign markets):
    • March-09: 16.86%
    • 2009: -0.64%

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

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Well it took me way too long to get up these stats – and, sadly, I think I’m going to have stop posting them due to time constraints.  The new reality of having a newborn, combined with my job really picking up steam has left me with much, much less time than before.  I’ll try and continue to update the basic stuff – but this will be the last month for the comparative stats – just takes me too long to put together.  If anyone really screams I’ll update them, but I get such a small amount of feedback on these strategies at the moment – probably because they have struggled in this bear market – that it just doesn’t seem to be worth the time.

MR1 was the bigger winner in January and it is the big loser here in February.  Stats are below.

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 Feb-09: 1.3%
  • Return YTD: -2.9%
  • Current holdings: IEF,GLD,SLV

TREND1:

  • Return for Feb-09: -0.9%
  • Return YTD: -2.6%
  • Current holdings: IEF, AGG

MR1:

  • Return for Feb-09: -10.6%
  • 2009: -5.3%
  • Current holdings: See blog for updates.

Benchmarks:

  • S&P500:
    • Feb-09: -10.99%
    • 2009: -16.44%
  • DOW:
    • Feb-09: -11.72%
    • 2009: -19.52%
  • Nasdaq:
    • Feb-09: -6.68%
    • 2009: -8.65%
  • IWM (proxy for the R2000):
    • Feb-09: -11.98%
    • 2009: -13.73%
  • EFA (proxy for developed foreign markets):
    • Feb-09: -10.39%
    • 2009: -22.69%
  • EEM (proxy for developing foreign markets):
    • Feb-09: -6.27%
    • 2009: -14.98%

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

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Looking for the reversal

ATARDECER EN LA LAGUNA
Image by Julián Contreras via Flickr

Just a little update here: VIX looks stretched here – and I’ve got a buy on a system based on the McCellan Oscillator which, in the past, has had a success rate of around 70% but started to fall apart in October.  So, bottom line, I’m looking for a positive day tomorrow.

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Not much to say about January except that it sucked.  I didn’t even really realize how bad the month was until I ran the numbers below.  Skills Index is still on sell, and I’ve been testing whether you should take the trade in the index on the breakdown or on the pullback – the answer is not so simple, so I’m exploring a scaling-in methodology – more to come.

MR1 continues to perform the best of the strategies – not surprising given the current market conditions that clearly favor mean-reversion over trend or momentum.

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 Jan-09: -2.2%
  • 2008: -2.2%
  • Current holdings: TLT,IEF,GDX

TREND1:

  • Return for Jan-09: -1.9%
  • Return YTD: -1.9%
  • Current holdings: IEF, AGG

MR1:

  • Return for Jan-09: 2.6%
  • 2009: 2.6%
  • Current holdings: See blog for updates.

Benchmarks: Benchmarks have been moved to Worden data – so your results may be slightly different.

  • S&P500:
    • Jan-09: -8.57%
    • 2009: -8.57%
  • DOW:
    • Jan-09: -8.84%
    • 2009: -8.84%
  • Nasdaq:
    • Dec-08: -2.59%
    • 2008: -2.59%
  • IWM (proxy for the R2000):
    • Dec-08: -9.67%
    • 2008: -9.67%
  • EFA (proxy for developed foreign markets):
    • Dec-08: -13.73%
    • 2008: -13.73%
  • EEM (proxy for developing foreign markets):
    • Dec-08: -9.29%
    • 2008: -9.29%

As always – thanks for reading and I hope you have a good February.

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Israeli pediatric...

Image by Getty Images via Daylife

Despite my best efforts to kill the patient (aka my accounts), I think he/she/it is still alive – finally, I’ve got some better movement in the systems area.  Nothing that makes me want to run out and throw all my money at them, but hey, it’s a start.

November has finished up with MR1 basically flat, while MOMO1 and TREND1 seem to have finally caught onto to something – namely bonds and gold.  Both of them are in bonds, and MOMO1 has held gold since October and continues to hold it (we’ll find out more next week when we re-rank the ETFs).

Now, as I’ve mentioned over and over – I haven’t been trading these systems in November because the master signal is off.  The master signal (aka Skills Index) flipped to an on position briefly, then off again.  But things change fast in this market, so I’ll note that the Skills Index just flipped back on.  Only problem here is that the market is so obviously overbought I don’t plan on adding to any positions right here.

I’m also waiting for the systems to trade above their 50d moving average in terms of their equity curve as well.  So MOMO1 is about there, TREND1 isn’t, and MR1 slightly above it at this point.

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 Nov-08: 9.3% (does not include dividends)
  • Return YTD: -23.2%
  • Current holdings: SHY, TLT, GLD

TREND1:

  • Return for Nov-08: 3.6% (does not include dividends)
  • Return YTD: -30.1%
  • Current holdings: IEF

MR1:

  • Return for Nov-08: -0.5% (does not include dividends)
  • Return YTD: 5.3%
  • Current holdings: See blog for updates.

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

  • S&P500:
    • Nov-08: -4.71%
    • YTD: -38.96%
  • DOW:
    • Nov-08: -2.6%
    • YTD: -33.44%
  • Nasdaq:
    • Nov-08: -6.91%
    • YTD: -42.1%
  • IWM (proxy for the R2000):
    • Nov-08: -2.29%
    • YTD: -37.64%
  • EFA (proxy for developed foreign markets):
    • Nov-08: -2.23%
    • YTD: -46.8%
  • EEM (proxy for developing foreign markets):
    • Nov-08: -1.67%
    • YTD: -54.15%

As always – I welcome any questions or comments you might have, and I hope you caught the move up last week!

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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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Well, I’ve been hugely busy with my day job, so the blog has had to take a bit of a backseat.  Add to this the fact that my wife and I are expecting our first child and you can probably understand why the posting has been less frequent.

I’ve also been working on how to modify the existing strategies to work in these kind of markets.  I spent a bunch of time on the MOMO1 strategy in particular, because there was a similar (though not as bad) sell-off in the system during the last bear market (around 2000-2002) – so it strikes me that the strategy, overall, doesn’t work well during bear markets where everything is going down.  Or, as they say, in a panic all correlation approaches 1.

So for August (and a bit of Sept), I’ve decided to post the trades as they would have happened using the old system while I continue to work on the new versions.  Hopefully this is helpful.  In the meantime, MOMO1, TREND1 and MR1 are all out of commission pending review.

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 August-08: -7.7% (does not include dividends)
  • Return for Sept-08 (up to 09-10-08): -1.5%
  • Return YTD: -14.3%
  • Current holdings: RTH, IYT, IWM

TREND1:

  • Return for August-08: -0.2% (does not include dividends)
  • Return for Sept-08 (up to 09-10-08): -3.6%
  • Return YTD: -12.5%
  • Current holdings: IWO, XLV

MR1:

  • Return for August-08: -12.3% (does not include dividends)
  • Return for Sept-08 (up to 09-10-08): 1.7%
  • Return YTD: -4.2%
  • Current holdings: FXE, QQQQ.

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

  • S&P500:
    • August-08: 1.55%
    • YTD: -16.08%
  • DOW:
    • August-08: 1.28%
    • YTD: -15.05%
  • Nasdaq:
    • August-08: 2.06%
    • YTD: -15.97%
  • IWM (proxy for the R2000):
    • August-08: 3.77%
    • YTD: -5.83%
  • EFA (proxy for developed foreign markets):
    • August-08: -4.30%
    • YTD: -24.37%
  • EEM (proxy for developing foreign markets):
    • August-08: -9.36%
    • YTD: -28.37%

Not much to say beyond this report – so hopefully I’ve have some updates over the next month or so.  One thing I may do is change from reporting just on my systems to more board market metrics that I track as a way of providing other info to readers that they might find useful.  So more to come and thanks, as always, for stopping by.

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