Wednesday, January 28, 2015

SIGMA - Part 2....01.28.15

Watching the markets' recent volatility can be more than a little stressful unless you're in cash and since we're always in search of a better trading edge here's the latest on the SIGMA model revealed to readers Monday.
The thinking is that the major bullish indices SPY,QQQ and IWM are always in horse race type of momentum flux, while XLU acts as a neutral risk hedge and TLT provides one of the most widely traded bond hedges.
XLV is added to the mix as one of the most stable (linear) positive momentum issues in the past 5 years, although it may be surprising to learn that it is the rotational leader only 10% of the time.
In typical fashion we looked at a simple returns model with only the AUTO-STOP feature turned on and then examined the returns using the same .7% limit stop integral to the Mosaic Lazy Man model.
Now the same ranking model but with a .7% limit stop>>>>>>>
The limit stop improves the RSQ considerably, lowers the standard deviation and increases net gains across the time frames.This is a simple model to execute and the results are clearly better than a simple buy and hold SPY approach.