Sunday, February 10, 2019

PONZO Updates for SPY, QQQ and TLT....02.10.2019

Here are the February PONZO forecasts for our index targets...SPY, QQQ and TLT.
Comparing the new forecasts to last month suggest a weakening market in both equities and bonds for the next few months.  This has been somewhat supported by the generally weak tone and forward guidance of recent earnings reports, especially in some of the big tech names.  Industrials are also under pressure while the FED remains the 800 pound gorilla in the bond/treasury market.



Tuesday, February 5, 2019

Delta Neutral S&P model with Schwab inputs....02.05.2019

Here's a way for Schwab users to trade an S&P based DN model and only incur modest commission fees as SCHB (the SPY ETF proxy in Schwab) trades commission free.  Schwab doesn't have an SH proxy (the inverse for SPY) so for now we still have to use the ProShares ETF. 
Performance metrics of this model precisely match those of a SPY/SH pairing so save a few bucks and use this version instead. Max drawdown is extremely low compared to the benchmark.


Sunday, February 3, 2019

Delta Neutral Update for QLD/QID and a dollar/euro pair study

As mentioned previously, the recent decline in volatile as reflected in the ATR and OC spreads has limited our delta neutral equity curve.  We can get back in the game by simply lowering the limit stop per our "best odds" value and, really, the only risk we incur is opportunity costs when the market opens above/below our limit stop and the trades never get triggered.  For now we'll hedge our bets a bit and stick with a slightly elevated limit stop value as compared to the "best odds'.

Also, see below, an update to our classic dollar/euro pair trade using the Z-score analytics.
This is not strictly an either/or trading model...we just look for which side of the trade has the greatest probability of reversing and assume (generally correctly) that the the other side of the pair will react inversely. Pretty good odds on this model with a lookback of 6 months we've had 23 trades, 18 of which have been winners. so a 18/5 win/loss with only minimal drawdown.
Click on chart to enlarge.
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