Monday, January 26, 2015

SIGMA...Looking for Index Leaders...01.26.15

Here's a look at SIGMA, a version of M3 that looks at SPY, QQQ, IWM, DIA, XLU, and TLT on a rotational basis.  We all know that the major indices have their own unique ebb and flow patterns and this model seeks to capitalize on those vagaries.  Turns out there is an advantage in trading the top momentum index using a simple .7% daily money management stop. I'm always looking for simple models to help gain an edge and this one looks like it might be useful if only for sheer ease of use,
The other attractive feature of this model is the containment of drawdown (50% of an unfiltered SPY)