Monday, December 14, 2015

A Weekly Version of M11...12.14.15

This is a version of M11 using weekly bars so you only have to rotate positions once a week.
As with the old T2 model if a position is stopped out you just wait until the following Tuesday AM to open new positions. We have to set the stops a bit higher than the daily model since we are covering risk for a week (on a cumulative basis).  The M11 portfolio is the default daily model and the limit stops are arbitrarily set at 2% for all inputs.  This is the mean reversion mode.
Note the highlighted 7 year returns and the differential risk exposure of SPY against M11.
This is a top 4 sort which works fairly well in conjunction with the full beta spectrum inputs.
Click once on dashboard to enlarge.>>>>>