Thursday, August 16, 2012

New Situations and T 5 Page 8.16.12

This is the new Situations page although I won't be posting the lower multichart unless we are discussing a different blend of ETFs.  I've merged the MRSI and Delta Band signals into a rotation model that has worked out well in the past.  Depending on your particular focus...long term, short term,. equities, and or options...this little matrix should provide a unified approach.

Situations are designed to be used independent of the larger Mosaic models, to provide quantified opportunities for short term traders and to help track how the markets are behaving on a day to day basis.
The top 2 charts reflect the long term (2 year) and short term (6 month) performance of a Top 5 model (T 5)  that rotates every Friday's close into the 5 top ranked ETFs from our little 11 ETF basket.  The continued top ranking of XLE, XLK and QQQ means there were actually only a couple trades to stay with the top 5 and it is unusual for the portfolio rankings to deviation radically from week to week. There's 18 trading days of rankings provided to aid in the transparency of market behavior. 

The data fields are pretty self explanatory.  Send me a note with any questions.
The Momentum/Relative Strength rankings are based on my own blend of 2 RSI and 2 exponential moving average algorithms.  There are no programmable stops for the T 5 system.
As with the larger Mosaic models the goal of the Top 5 is to beat the S&P with considerable less drawdown risk.  This is more of an active system than TAQK, for instance...although as mentioned above....sometimes there really are no trades necessary at the end of the week.

We're conducting backtesting over the weekend to determine whether position rotation on Monday's open provides better or worst results than the Friday close rotation and those results will be posted next week.