Some Anomalous Results...

From time to time we get some anomalous results, and today is one of those times. Our programs were constructed based upon futures prices, and those markets often trade 23 hours per day, 5 days per week. The ETFs trade over a shorter time frame. So, one of last night's new trades is ahead on the ETF and behind on the future, and 2 are ahead on the future and behind on the ETF. In any event, the reason is the timing differences between the markets. Over time, for those signals that last, the results will converge.

The same phenomenon caused four of last night's signals to be stopped out overnight. The stops the computer generates are calculated dynamically 24 hours a day. Therefore, those four signals technically never generated an ETF position. Those closed positions are shown in the table below.

Symbol Entry Out Profit Days
CDM10 97.93 98.13 200.00 1
ECM10 134.76 134.88 150.00 1
SFM10 94.16 94.30 175.00 1
SIK10 17.39 17.43 200.00 1

The remainder of the new signals are shown in the table below, along with the existing program-generated positions.

Open Positions Symbol Entry Stop Close Profit Days
Long Cotton CTK10 70.34 78.40 79.54 $4,600 55
Long Cotton BAL 34.02 37.80 38.35 12.7% 55
Long Russell TFM10 608.50 651.20 681.00 $7,250 43
Long Russell IWM 61.66 65.40 68.39 10.9% 43
Long Platinum PLJ10 1534.90 1571.30 1626.10 $4,560 34
Short Euro ECM10 136.78 135.46 134.14 $3,300 15
Short Euro EUO 20.20 20.90 21.11 4.5% 15
Long Copper HGK10 341.15 349.90 353.55 $3,100 2
Long Copper JJC 47.49 47.85 48.35 1.8% 2
Long Aussie ADM10 90.90 89.35 91.17 $270 1
Long Aussie FXA 92.24 90.20 92.04 -0.2% 1
Long British BPM10 149.75 146.63 150.64 $556 1
Long British FXB 150.46 146.16 150.16 -0.2% 1
Long Crude Oil CLJ10 82.50 81.00 82.37 -$130 1
Long Crude Oil OIL 26.38 25.96 26.40 0.1% 1
Long Gold GCM10 1110.60 1088.20 1105.70 -$490 1
Long Gold GLD 108.57 106.26 107.97 -0.6% 1

There is one new signal for tomorrow: buy the Canadian Dollar, with symbols CDM10 and FXC. It is the same signal that was stopped out last night; its record is now 35 wins for 35 trades. The average time in the position was 12 trading days, or a little over two weeks. The data spans the period from 2/1/2000 to 3/30/2010.

With so many positions, we'll need to modify the methodology for calculating the BLOG's rate of return, so the quarter-end results will be delayed a few days. If you wish to see how the return was calculated, look at the post for March 9. Three readers of the BLOG gave great input on methodology.

I very much appreciate the emails that I have received; the input has been excellent.

If you wish to be notified of new posts, let me know at bassanalytics@live.com. I will send you an email every time there is a new post.

Any views expressed herein are provided for informational purposes only and should not be construed in any way as an offer, an endorsement, or inducement to invest.

The quotes and symbols used in the BLOG are believed to be reliable, but no guarantees are made with regard to the accuracy.