The current winner is the RM version of the LM model, which went to cash on 10.5.12, the same day the TAQK RM version went to cash.
The present momentum rankings are all skewed to bonds and SH (the SPY inverse) as the markets do a little "pop and drop" at today's open. For now cash is looking like a smart position until we see whether this is just a "correction" or the beginning of a major slide...which will experience periodic rallies of hope (and market manipulation) along the way down.
The XLF/TLT pairs trade (both sides) was exited at yesterday's close and we'll look at the results of that trade on Monday when we continue a more thorough study of the pair dynamics. This turned out to be an abbreviated trade, only 4 days, whereas our expected excursion was 5 days but you take what you can get in this game and the exit signal turned out to be precocious in light of today's TLT retreat.
I'm working on a small portfolio of high probability pair trades that I hope to include in future daily Newsletter posts. If the markets do start a slide then these short term boutique type trades are one place to nickel and dime up the equity line with minimal risk exposure.
