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

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.

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.