etfmsolutions: A SPLV vs SH pair and/or DN Trade....11.03.16

Thursday, November 3, 2016

A SPLV vs SH pair and/or DN Trade....11.03.16

Following up on our previous SPLV/SH pair trade post here are the current metrics from both a pairs and DN perspective. Both issues have almost identical prices (likely to change substantially in the near future) and both SPLV (SPY low volatility ETF) and SH display very similar limit stop values per OpStop...+/- .4 That correlation helps make makes this pair very attractive..
Note the 98% linearity on the DN model.
The pairs model only reflect 6 months time whereas the DN model reflects 2 years so YES, the pairs model is more profitable but is based on a completely different set of risk parameters.
More detail on this interesting pair in future posts.
Click once on each panel to enlarge>>>>

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.

NOTE: Posted risk exposure indicators, signals and metrics apply to Mosaic models only. They are not directly correlated with price movement in the major market indices and can not be used to forecast directional changes in those instruments.
Each Mosaic model is a unique blend of risk factors and must be treated accordingly.

TRENDX is a proprietary Mosaic market signal that blends volume, RSI, momentum and rate of change.

ETF Mosaic Solutions and the editors of Mosaic Solutions are neither an investment advisory service nor registered investment advisers or broker-dealers and do not purport to tell or suggest which securities or currencies readers should buy or sell for themselves.
This site and related software products are for research and educational purposes only, and nothing herein should be construed as an offer to buy or sell, or as a solicitation of an offer to buy or sell securities, or to provide individual investment advice.

Investing is risky and past performance, whether actual or tested, is no guarantee of future results.
Any quantitatively derived allocations referenced herein should only be starting points for conducting your own research.

You are responsible for your own trading decisions and resultant gains or losses. When in doubt, please seek professional guidance from a registered adviser who can respond to your personal needs and risk profile.