Wednesday, November 28, 2018

Delta Neutral Update....& Yesterday's metrics......11.28.18

Yesterday's post was a test to see who was paying attention.  Robert, Keith, Sam and a few others noted the apparently huge gains relative to the historical equity curve shown over the last few years.
And that's because I turned the TOP # from 2 (delta neutral) to 1 (trading only the bias signal...either QLD or QID,  not both simultaneously).  Yes...the delta neutral model has had a very good run with the QLD/QID bias doesn't fare as well with the SPY, Russell or Diamonds x2 ETFs.
Nevertheless, hindsight is a great teacher and the delta neutral bias algorithm, which is a multi variable filter based on rate of change, pivot momentum and the SMI Ergodic signal (resident on the site) has done well although there are significant lull periods and stops have to be carefully executed.
For tonight we return to the Lazy Man delta neutral model and metrics.  No excitement here.