Sunday, November 26, 2006

Week 48

IMS system:

Short signal in QQQQ.
We have been working with this program in two areas:
- Integrating this system with our trend tracker program, results are really "exciting". Back testing of last 7 years successful, next step is to optimise parameters avoiding "over fitting".

- Optimising the parameters of the IMS program alone avoiding the so called over fitting, any optimisation should only improved past results as a whole (7 years) but also in individual years.

Profunds system:

Interestingly enough the Internet fund is the best trend, but other programs seems to indicate consolidation at least, so we pass. This week the fund with all the green lights are: uupix, gvpix, fdpix, and bmpix.
Bmpix has given so far the expected results. We keep it, tracking day by day its trend.
As we wanted some exposure to non us markets we will open tomorrow Uupix, and as a third fund in our portfolio we choose Gvpix although we certainly expect a lot of Fdpix.
As said in previous post, enpix is a long term position (we hope ! ).

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Lead Industry:
This week the honor goes to $xau. Last week Iyt didn't have the result we expected, it had a negative variation of 0.1% in price.

Saturday, November 25, 2006

Signal execution recap.

IMS system:

To keep program records straight, the closing long signal is 44.25 (Nov 21st), that is 1.2% profit.

In reality and as indicated, this signal was played using Tepix (see post Nov 15, at 29.73) which was closed on 22 nd Nov for 30.40 (previous post and pure luck!). Profit 2.3%. Tepix is a good vehicle to use in long signals of the IMS system, the profits increase but also losses.

Profunds system:

As posted in Nov 12, enpix was opened in Nov 13 (40.27).

Wednesday, November 22, 2006

New signal

IMS system:

Got a short signal to be executed Nov 21, eod. I think this is the shortest duration of a signal.

Sunday, November 19, 2006

Week 47

IMS sytem:

Long QQQQ.

Profunds system:

Believe it or not the Internet fund continues in the top best trends, for this week the best are: inpix, tepix and cnpix which seems ready for another push up.

Industry leaders:

Playing around with my rotation models, put together the major US indexes and to my surprise the model works much better than when applied to exchanged funds. After the break out of Transports, that is the leading industry. We will follow the performance of IYT as a possible way to play that card.

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Wednesday, November 15, 2006

Updated signals

IMS system:

No so updated !!. I skipped to update the system and I found today that we got a long signal yesterday to be executed as usual eod. To keep consistency with the reporting system of the program, that date will be kept in the records, in reality I will be executing the signal today eod. BTW I will do it using Tepix as vehicle not QQQQ. That means that last signal was a looser (-4.6%), the second this year.

I will be working trying to integrate the IMS system with my trend program, see below, that has been long in QQQQ since Aug 16. However look how the trend strength is close to maximum levels, maybe further up move is limited. The aim is to validate the IMS system with the trend in this program, "eye balling" suggest it is a good idea but only back testing will give us a prove.

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Sunday, November 12, 2006

Week 46

IMS system:

You already know, it is short QQQQ.

Profunds system:

I was waiting the opportunity to be in oil and now we got a good trend. We expect to keep this position until end of Feb 2007. To be opened on monday eod.

Best trends are enpix, utpix, inpix and pmpix. Interestingly repix seems to bounce next week. Below you can see part of the trend analysis.

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Friday, November 10, 2006

Systems update

IMS system:

stays short in QQQQ

Profunds system:

As indicated, bmpix was opened (Oct 30 th, 43.83) and repix was closed (Nov 1 st, 53.50). As the programs to evaluate the funds, have increased in number we will continue running them in a weekly base to identify, if any, the best trend. Once the position is open, the exit point will be set and we will follow only opened positions during the week to quickly react to trend deterioration.
The second change we decided to try, is to keep open positions if their trend remains positive although maybe not the best (let run the winners). We will keep a maximum of 3 positions open.

Sunday, November 05, 2006

Week 45

IMS system:

Remains short in QQQQ.

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Profunds System:

Best trends Pmpix and Tcpix. We have made some changes in the way we trade Profunds, to be explained in a following post. Closed Repix and hold bmpix.
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