Our portfolio gained ground as the Silver ETF led the way.
PORTFOLIO SYMBOL ENTRY CLOSE STOP PROFIT DAYS
Long British BPU10 155.34 154.76 148.67 -$363 17
Long British FXB 154.68 153.91 147.85 -0.5% 17
Long Silver SLV 18.36 19.50 19.31 6.2% 15
Long Copper JJC 44.52 46.09 45.12 3.5% 13
Long Soyoil BOZ10 40.86 41.68 38.52 $492 2
There were no positions exited today.
Here we go again. What is the last thing I wish to do tomorrow? Short the powerful Russell 2000 Index. I have a signal to do just that. Right in the middle of a great rally. Also, the signal is a little marginal on statistics. It has generated 12 wins out of 12 trades historically, for 100%. Note that this is hardly credible statistically. Also, the initial ETF stop is 3.7% for 20% of the portfolio. I am bit scared on what it might do to our returns. However, I was hesitant on our signals earlier this year to short the Euro Currency based upon a nine for nine record, and it turned out to be one of the best trades of the year.
I want to report a revision in the rate of return for the end of August. The originally quoted year-to-date return was 9.6%; it is now restated to 9.2%. The annualized return drops from 14.8% to 14.2%. However, the same returns measured TODAY are now 10.6% with annualized 15.8%. This is in large part due to our signals on silver and copper. Note that each ETF position is assumed to comprise 20% of the portfolio. This means that we aren't always utilizing all of our capital in the ETF side of the world.
The following was suggested this week by my long-time friend, Dave:
I just finishing testing the relative percentage gains on the algorithmically generated futures signals, versus the percentage gains on the ETFs. As you will recall, the futures data were used to back-test the systems. We then apply those same trades to the ETFs, hoping that the small timing differences won't matter. Based upon almost 300 pieces of live data, I have verified that the ETF return was ever so slightly better than the futures. The difference was the smallest measurable quantity for our purposes, .1%. This result may not always be true, but happens to be true for this year, which is exactly what we had hoped. As we already know sometimes the futures trade turns out better and sometimes the ETF trade turns out better. In some instances, one may lose money while the other one makes money.
Special thanks to Dave.
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.
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