Monday, 30 November 2015
The uptrend is fading
YTD the average holding period is about 13 days. Since last uptrend signal appeared on Nov 16, it has been 14 days. It's not surprised that in this morning, the model gives us a downtrend signal. Pairs trading (long NDX short DOW) gained 1.1%, while buying S&P 500 Index would net 3% in last two weeks.
Thursday, 19 November 2015
2015 YTD Live performance
While we still have one more month to end the year of 2015, we can celebrate the wonderful live performance of the Index Pairs Trading and Its Implied Timing Ability.
Saturday, 14 November 2015
Well predicted urgly week
The S&P 500 Index dropped 3.6% in the week of November 9 - 13. Well, this selloff is well expected and predicted by our models.
The pairs trading model suggested to short NDX and long INDU on October 30, which implied that the equity market was likely to drop in the near future.
The index timing model showed a sell signal on Novermber 5. Even though there was a short-live buy signal before the market close of Novermber 11, a strong sell signal followed the market open on Novermber 12.
When both models point to the same direction, the market is very hard not to follow the trend.
The pairs trading model suggested to short NDX and long INDU on October 30, which implied that the equity market was likely to drop in the near future.
The index timing model showed a sell signal on Novermber 5. Even though there was a short-live buy signal before the market close of Novermber 11, a strong sell signal followed the market open on Novermber 12.
When both models point to the same direction, the market is very hard not to follow the trend.
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