Sunday, December 28, 2014

New Lazy Man - SPY version....12.27.14

This is a new version of the Lazy Man model and on a scale of 1 to 10 it's about a 9 for outright laziness.  Lazy Man (LM) can be used as a companion to M3 and in fact it will become a daily feature in the new M3 format to be rolled out in 2015...only a couple days away.
This is a floating 6 month lookback but I'll post the latest 2 year results tomorrow or Tuesday.
Here are some performance stats using a .7% limit stop for the following day based on the close.
 % of positive returns = 67.
Of the 45 losing days 21 sustained drawdown of 2% or less and 15 were stopped out at .7%.
There's only 3 inputs SPY, its inverse SH and SHY...out long term proxy for cash. On a risk scale this model offers very low drawdown (compare to SPY on metrics panel) , few potential surprises, narrow spreads on a robust options chain and no worries about execution of the limit stops.
Since we're only concerned with the # 1 ranked position, that's the only one shown.  The ALERT and PIVOT Trend in conjunction with the P6 and RSQ help gauge the likely odds of the current rankings.