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Archive for the ‘TREND1’ Category

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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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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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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Or, taken to the woodshed, or, well, pick your favorite analogy.  Bottom line, all the strategies took it on the chin this past month and have given back their gains for beginning of the year and then some.  In one way, this isn’t unexpected – momentum strategies always have trouble “at the turn” when there is a major change in trend.  But it was even worse than that due to the high concentration of the portfolios (for MOMO1 and TREND1) in the energy and materials sectors.  I’ve known for some time that momentum strategies tend to do better in bull market periods and I think that remains the case.  So what to do now.  Well, I’m looking at a bunch of ways to modify the strategies going forward.  To begin with, I’m going to start using a Chandelier exit on my MOMO1 trades with a wide stop to keep me out of future trouble.  I’m also looking at a forcing diversification in the portfolio by requiring allocations to certain sectors – I’ll talk more about that in future.

When I started this blog, I wrote about how it was designed to “keep me honest” and I also want to be honest with the readers of this blog – so I’m publishing the data.  I’ll continue to update on the strategies going forward as well.

Anyway, enough excuses – 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 June-08: -22.8% (does not include dividends)
  • Return YTD: -6.3%
  • Current holdings: IBB, OIL, IWM
  • Notes: People following this strategy should rotate out of DBC and UNG.

TREND1:

  • Return for June-08: -24.7% (does not include dividends)
  • Return YTD: -9.3%
  • Current holdings: IWO
  • Notes: Only one holding as of this time.

MR1:

  • Return for June-08: -11.0% (does not include dividends)
  • Return YTD: 5.9%
  • Current holdings: GLD.
  • Notes: Even MR1 couldn’t save my portfolio for destruction.

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

  • S&P500:
    • July-08: -1.41%
    • YTD: -14.91%
  • DOW:
    • July-08: -0.18%
    • YTD: -15.2%
  • Nasdaq:
    • July-08: -0.2%
    • YTD: -13.79%
  • IWM (proxy for the R2000):
    • July-08: 2.41%
    • YTD: -7.67%
  • EFA (proxy for developed foreign markets):
    • July-08: -4.19%
    • YTD: -17.41%
  • EEM (proxy for developing foreign markets):
    • July-08: -5.43%
    • YTD: -16.34%

So, the only good news here is that the portfolios continue to outperform all the benchmarks on a year-to-date basis, but I don’t take much comfort in that.  Clearly I’ve got some work to do – you’ll be seeing more on that in the coming months.

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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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It was another good month across all three published strategies – you’ll find the individual strategies pages (MOMO1, TREND1, MR1) have updated equity curves, statistics and current holdings.  But as will be the norm going forward, I’ll update the monthly performance here.

MOMO1:

  • Return for May-08: 11.5% (does not include dividends or commission charges)
  • Return YTD: 19.0%
  • Current holdings: EWZ, SLX, OIL – no change from the prior month

TREND1:

  • Return for May-08: 5.5% (does not include dividends or commission charges)
  • Return YTD: 13.7%
  • Current holdings: UNG, PPA

MR1:

  • Return for May-08: 5.5% (does not include dividends or commission charges)
  • Return YTD: 25.1%
  • Current holdings: IEF, TLT (changes frequently)

Benchmarks:

  • S&P500:
    • May-08: 1.18%
    • YTD: -4.53%
  • DOW:
    • May-08: -1.42%
    • YTD: -4.71%
  • Nasdaq:
    • May-08: 4.55%
    • YTD: -4.89%
  • EFA (proxy for developed foreign markets):
    • May-08: 1.19%
    • YTD: -2.28%
  • EEM (proxy for developing foreign markets):
    • May-08: 3.16%
    • YTD: 0.67%

So – by just about any measure we beat the major benchmarks – please let me know if there is a specific benchmark you’d like me to compare the strategies.

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