Market finally turns to long NDX and Short INDU: on the rise

Smallcap and growth stocks have been oversold. Markets are on the rise

QTD Performance

Recent performance update

Pairs trading continues to perform well.

Live performance of the flagship model

Up to today at 11:30 Mountain Time.

Please also note that market-neutral returns are uncorrelated with the timing returns.

Flagship models says: Short NDX long INDU, market will fall

Perfect entry point at 10am on August 31, 2015:

Choose better entry points with trend following systems

While the market rally continues, Signals of the long NDX short DOW and the implied long SPX appeared on August 20 are still in negative territory. This suggests us that entry points are very important.

Fortunately, we have the trend following system both for indices and pairs.

The above chart shows the system that combines the pairs trading model shown on this blog and a trend following system. Instead of opening the pairs position at 12:30 on August 20, we could wait until the system shows a buy signal at 12:45 on August 24. As a result, instead of making 0.5%, the pairs would make 1.5% so far.

For the SPX timing, we also have a trend following system:

We won't buy SPX until 9:55 on August 27. The result? Trading on SPX would up over 1% instead of still down 3.38%.

Another note, the FX signal system is also online.

The sell off is over. Smallcap and growth stocks are oversold. Long NDX and short Dow, market is likely up

The previous sell signal (short NDX long Dow) from July 31 gained 2.44% in S&P 500, 0.5% in ETF pairs trading and 2.5% in futures trading. The YTD timing win ratio is 88.9% on S&P 500 Index.