As part of my recent hedge fund strategy formulations I've made some adjustments and additions to the Mosaic toolbox of market tactics.
Here they are in a nutshell and going forward all four signals will be posted daily on the subscriber site. The M3 site will be revised later this week to reflect the underlying logic and risk management philosophy of these new models and for the short term I'll also continue to post the daily LM and M3 signals as a sounding board for the new regime of models.
The first 2 models focus on a single ETF/ETN.....either SPY or XIV and the signal is either on or off with a specified limit stop....which we've examined previously as far superior to a simple stop loss. These are mean reversion algorithms looking to buy on weakness and sell on strength.
The later 2 models, a refined M3+ and a new M4 retain the sliding beta approach and are momentum based models looking to buy strength and sell higher. M3+ contains SHY, our cash proxy and uses a slightly slowly momentum algorithm than M4. M4 has no SHY component so the vested bias is much more defined. Once again we utilize defined limit stops to mitigate drawdowns. These are just thumbnail descriptions of the models...there be more details in the revised site this week and next.
