etfmsolutions: T 2 Update...11.3.12

Saturday, November 3, 2012

T 2 Update...11.3.12

We've added something new.. an RSQ equity curve stop. I've always use this little tool to judge the reliability of pair trade spreads so it seemed overdue to apply the same risk management tool to the SITUATIONS model. I've talked about the RSQ before...its and EXCEL function that mimics a least squares linear regression line and has proven it's usefulness in my own trading many times.

I've added a little alert below the short term metrics to reflect whether the mode is Active or Stopped.

The performance metrics reflect the ongoing results if the model is executed per the momentum rankings.
I'm working on revising the metrics to reflect the results if the RSQ stop is obeyed. It's like keeping a second set of books and is requiring a bit of effort. In the meantime...going to cash when the RSQ line is violated will help keep your capital intact.

Monday we'll look at a new version of the Delta Neutral (DN) model based on the QQQ/SH (SPY Inverse) pair. It's actually a whole separate trading module that may be particularly appealing to option traders.

Commentary and Updates

Mosaic Solutions commentary is typically published daily as time permits and market action warrants.
Posts feature Mosaic model updates including delta neutral stops, VIXEN directional trades and PONZO forecasts.

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