Friday, January 25, 2013

New T6 Test LAB,, 1.25.13

Here's a first look at the new T6 Test Lab...developed as part of my explorations for a new AB tactical allocation model.  This lab has it all...the ability to test proportional positions and a momentum algortithm.
The 2 year and shorter term (3 month) metrics have been realigned and new interactive charts have been added to assist in diagnosing potential risk exposure.

The goals for using this test lab are:
1.  Trade the top 1 or 2 with the best short term (3 month) metrics.
2.  Maintain a core portfolio of bond and equity ETFs to select a variable 6 components model.

If any of the 6 components develop a down slope RSQ they will be removed from the portfolio and replaced with another components that is up slope.
This rotation is accomplished once a week after Friday's close.
The periodic reshuffling of the model components will require a separate performance tracking program (yet to be developed) but the current format looks very encouraging.  What's not shown here is a top 6 metrics panel which, over 2 years, delivers results superior to SPY with considerably less volatility.

The T6 Lab offers a way to look at the markets adaptively based on 3 variables:
1. Proportions of capital deployment
2. Momentum of the components
3. Ability to replace under performing components with issues more in sync with current market trends
As you may suspect, the actual layout on the screen is these 2 panels side by side but, for the sake of clarity, I've broken the screen apart and posted in a vertical 2 screen format.