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glgene
534 posts
msg #103966
Ignore glgene
12/23/2011 5:46:37 AM

Kevin,

Using your XLI vs. XLU (ROC) barometer for trading the broad market:

1) Do you use daily, or end-of-day Friday weekly Info?

2) If XLU is the result, do you prefer to buy XLU, or go cash?

3) If 0 is the result, my assumption is that cash would be the trading preference. Correct?

4) Anything else we should know re: your XLI vs. XLU barometer?


You do great work here! We all appreciate it!!

Gene in OH

glgene
534 posts
msg #103998
Ignore glgene
12/25/2011 11:26:35 PM

Kevin, ?

Kevin_in_GA
4,548 posts
msg #104001
Ignore Kevin_in_GA
12/26/2011 2:00:15 PM

1) Do you use daily, or end-of-day Friday weekly Info?

2) If XLU is the result, do you prefer to buy XLU, or go cash?

3) If 0 is the result, my assumption is that cash would be the trading preference. Correct?

4) Anything else we should know re: your XLI vs. XLU barometer?
++++++++++++++++++++++

1) weekly

2) XLU

3) Correct

4) No, except that it is not the most profitable system I have if one looks back 5-10 years. The TAA system crushes all of the others, which is why I use it.

mahkoh
892 posts
msg #104060
Ignore mahkoh
12/30/2011 5:58:01 PM

Kevin,

In your pairs universe, would things like the removal of CPWR from the S&P 500 or a possible buyout of VMC have consequences for those stocks?
And have you checked out www.Pairtradefinder.com yet and if so what do you think of it?

Kevin_in_GA
4,548 posts
msg #104096
Ignore Kevin_in_GA
12/31/2011 6:48:37 PM

Removals from the S&P 500 or buyouts would delete those pairs from the "universe".

Yes, I own PTF and use it to track these pairs at the settings I chose (35 day look back, enter at delta > 2, exit when delta crosses back to 0). The pairs were selected using a different program called pairmetrics (www.pairmetrics.com).

Kevin_in_GA
4,548 posts
msg #104113
Ignore Kevin_in_GA
1/1/2012 11:29:19 AM

Web site has been updated for the end of 2011. I'll probably tweak the layout a bit to make it more user-friendly and to give me a little more room to add comments and additional data.

Also thinking about adding in a new system - still playing around with one or two concepts that are more focused on short term trades rather than longer term investing.

Happy 2012 to everyone.

Kevin

mahkoh
892 posts
msg #104580
Ignore mahkoh
1/21/2012 7:48:39 PM

Kevin,

Noticed you removed the pairs trade section from your website. Is this permanently or do you plan to evaluate and reimplement an improved version? There were a few big losses in the portfolio, in my view mainly due to sector risk (going short financials HBAN and ZION while the sector was in rally mode) and trading the same stock in several pairs (I believe HAS) basically doubling the risk.


Kevin_in_GA
4,548 posts
msg #104590
Ignore Kevin_in_GA
1/22/2012 6:37:21 PM

I'm in London at the moment and will not be able to update the web site for a few days. I will be removing the pairs trading section and replacing it with the Monday gap up/down system instead. This (I believe) is more in line with the focus of my trading strategies - set and forget, no action needed most days.

I agree with your comments as well - for a market neutral strategy that is supposed to beat the market with lower volatility, it has not really delivered over the last two months.

Kevin

Kevin_in_GA
4,548 posts
msg #104778
Ignore Kevin_in_GA
2/1/2012 10:02:16 PM

Just a reminder - web site has been updated to reflect current trades in all systems. Gap up/down systems should be fully in place by this weekend. Until then you can use any of the filters I have set up here - TAA, Sector Rotation, and Gap Up/Down are fully explained and can be run from here.

Thanks,

Kevin

Kevin_in_GA
4,548 posts
msg #105074
Ignore Kevin_in_GA
2/20/2012 5:22:34 PM

Web site has again been updated.

Gap up and down systems are in place as the only "trading" systems. The TAA and Sector Rotation systems are still strongly signaling to stay in Equities for now. Also the Blog has been updated -

Kevin

Site - www.statisticalinvesting.com

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