Tuesday, January 29, 2019

A Delta Neutral 20 Year Treasury model...01.29.2019

Looking to increase our toolbox of DN models in order to diversify income possibilities ....here's the TLT versus TBT model.  Keep in mind TBT is leveraged 2x inverse to TLT so the limit stop has to be double TLT and the trailing stop also has to be double TLT's.  The linearity of this model is truly outstanding and the overall max continuous drawdown is also attractive...especially when you consider the equity curve of the benchmark TLT when seen in a buy and hold situation.

Sunday, January 27, 2019

Update for Delta Neutral....01.27.2019

Returns have flattened out on the QLD/QID delta neutral model as volatility has followed a decline.
It's still my go to model in this environment of uncertainty and now earnings season is kicking off so expect some sparks.  Just for comparison I've included the metrics for a 1 beta DN model trading SPY against SH (the ETF SPY inverse).  Again, this mode has a value of 1 beta while the QLD/QID model has a beta value of 2.

Tuesday, January 22, 2019

PONZO Update for TLT and an XLU butterfly....01.22.2019

Here is the last of our PONZO toolkit...TLT...the 20 year Treasury long ETF and another of our favorite butterfly plays.
As mentioned yesterday a possible XLU butterfly debit setup is shown below.  As with most butterfly trades risk is limited and little trade maintenance is required.  This is a 3 week trade with nice odds unless the market really tanks....always a distinct possibility in this volatile environment.

Monday, January 21, 2019

PONZO Updates for XLF and XLU....01.21.2019

Following last week's PONZO forecasts here are the last 2 sector ETFs we will be tracking for a while...XLF (financials) and XLU (utilities).  XLF has been hot for the last week but PONZO suggests a cautious or hedged position near term.  On the other hand XLU looks especially promising for butterfly traders ....a strategy that has been a consistent money maker over the last 2 years.
Tomorrow we'll look at a couple XLU butterfly setups.....credit and debit....using our PONZO generated support /resistance bands.

Thursday, January 17, 2019

PONZO Updates for SLV, GLD and XOM....01.17.2019

Following yesterday's SPY/QQQ forecasts here are the forecasts for silver, gold and oil (via XOM).
A few high profile names came out today with rosy prospects for gold this year and the PONZO chart certainly supports this.  If looking for a safety net GLD looks to be a better bet than SLV (right now) while global economic slowdowns may sustain the current neutral outlook for oil.
Tomorrow ...the financials and utilities via XLU ...my favorite butterfly play.

Wednesday, January 16, 2019

PONZO Updates for SPY and QQQ......01.16.2019

Here are the new Ponzo Updates for SPY and QQQ.  These forecasts have been eerily correct over the past couple years and mostly these are reserved for commercial clients.  Ponzo was one of the very few forecasting models that predicted Amazon's streak from $1000 to 1850 along a defined growth path. 
See PONZO explanatory link in the right side panel.
Tomorrow we'll look at a few other PONZO models that might help shed light on the possible decoupling of the SPY and QQQ over the next few months.

Sunday, January 13, 2019

Delta Neutral Update and Momo vs MR for QLD

The market's been in a bit of a funk last week so we didn't get any trade triggers.  Vol may pick up this week if POTUS goes for the Emergency funding option and Dems go ballistic.  Well see.
As an aside here also are the QLD  performance metrics for our VIXEN TF (volatility momentum) and VIXEN MR (volatility mean reversion) models.  It's more than surprising to me that the metrics aren't all that different....you just have to pick one or the other....or go the safe route and play DN.
Always keep in mind that the VIXEN models are NOT based on price parameters but are based solely on daily volatility analyzed using a toolbox of range algorithms.

Sunday, January 6, 2019

Delta Neutral ALT Limit Stops....01.06.2019

Here's a look at what happens to our performance metrics as we adjust the value of the limit stops.
Our current "Best Odds" indicate a 3.8% value ....which I tend to discount by almost 30% based solely on discretionary gut feelings and the historical long term value of the QLD limit stop of 2.5%.
Without further comment here are the metrics using alternate values of 2.5, 3.0 and 3.5%.
Note how increasing the stop value decreases the number of triggered trades and affects the linearity.

Thursday, January 3, 2019

Delta Neutral Update....01.03.2019

Am ugly day that had a morning reversal potential but the sellers took hold as the day wore on and the overnight session is now also in the red.  No news is good news so we're likely to see more of this type of big range whip action for a while.

Tuesday, January 1, 2019

Delta Neutral Update...01.01.2019

A new year and new possibilities but the same old delta neutral preference.  Things could get rocky this year but we don't care (from a trading standpoint). The surge on the 26th changed the QLD benchmark situation dramatically but one day does not make a portfolio and that's the opportunity cost of a  DN strategy.
Best wishes for all in the coming year...we might need it.