In spite of a seemingly oversold stock market, the Russell 2000 Index was down 1.5% today. The futures were up $1,270 per contract. The stop has moved way down, and will help to ensure a profit. We recorded the results of IWM, the ETF, as usual. But we also show for illustrative purposes, SHRTY (shorty! isn't that funny) which utilizes 3-1 leverage. Note that its percentage return for the day was 4.4%, which is almost 3 times the IWM return for the day. One of our readers was interested in knowing this. However, SHRTY won't contribute to the return of the BLOG ETF portfolio, since it is leveraged.
In spite of being right on the direction of the stock market, we lost money on the day because our coffee signal was dead wrong, as was our silver signal. That's OK. We are interested in the percentages long-term. We can't make money every day, or even every week. But we seek to be right at least 70% of the time, and make money when the year is over. That's the way the algorithms should work. But there are no guarantees in life......are there?
New Signals:
Our earlier signal to go long the Swiss Franc changed to no signal when data revisions were made by my source. Sorry for any inconvenience. I double-checked, and sure enough, there was a signal generated at 2pm Pacific Time, and now at 7:23pm, there is no longer a valid signal. Sometimes just a slight change in data can cause this. If a formula generates a value that is "just on the mathematical edge," then a slight change can change the signal. Mostly, even with data revision, this doesn't happen because the signal is more squarely in a definitive mathematical range.
Go LONG Coffee: Market On Open. Symbols: KCN11 and JO. Record: 66 wins out of 87 trades for 76%. Stop: about 1.6%. Gulp! This signal causes me consternation because it was a loser last night. Statistically, we shouldn't care about what our last "coin flip" was, since these events are assumed to be independent.
That's it for this evening. Good Health to You!
Our Active and Closed Out Positions Appear in the Table Below:
https://spreadsheets.google.com/spreadsheet/ccc?key=0AtYsMnbdw73BdHZNSXZ4SEhwVlBBbHVBZGdJTWJxV3c&hl=en_US&authkey=CJ_Z_KsF
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. Follow us on Twitter at www.twitter.com/bassanalytics. This BLOG is provided FREE of charge. 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. Past performance is not indicative of future results. Investors should discuss any investment with their personal investment counsel. The quotes and symbols used in the BLOG are believed to be reliable, but no guarantees are made with regard to the accuracy. We may have positions in one or more of the ETFs or futures of the computer-generated signals.
Monday, June 6, 2011
Intra-day Update
The Russell plummeted today, making money for us. TFM11 "locked-in" profits with the stop now at $803.50. Our coffee was stopped out, unfortunately.
New signals: buy coffee, buy Swiss Franc.
Daniel F. Bass, FSA, MAAA
Bass Market Analytics
http://www.bassanalytics.blogspot.com/
http://www.twitter.com/bassanalytics
New signals: buy coffee, buy Swiss Franc.
Daniel F. Bass, FSA, MAAA
Bass Market Analytics
http://www.bassanalytics.blogspot.com/
http://www.twitter.com/bassanalytics
Stops
Futures Coffee Stopped out Overnight thereby invalidating JO.
Short Russell Stop moves down to 808.60.
Daniel F. Bass, FSA, MAAA
Bass Market Analytics
http://www.bassanalytics.blogspot.com/
http://www.twitter.com/bassanalytics
Short Russell Stop moves down to 808.60.
Daniel F. Bass, FSA, MAAA
Bass Market Analytics
http://www.bassanalytics.blogspot.com/
http://www.twitter.com/bassanalytics
Sunday, June 5, 2011
Friday, June 3, 2011
BLOG Rises Today As Stock Market Falls! We get a Stock Market Signal........
The Russell 2000 Stock Index Futures fell another 1.5% today. Our futures portfolio rose sharply as we were long soybeans and soymeal. We had no ETF active positions on Friday. However......
New Signals:
Go SHORT Silver: Market On Open. Symbols: SIN11 and SLV. Record: 16 wins out of 22 trades for 72%. Initial Stop: a shallow .7%.
Go LONG Coffee: Market On Open. Symbols: KCN11 and JO. Record: 66 wins out of 86 trades for 77%. Initial Stop: about 1.6%.
Go SHORT Russell: Market On Open. Symbols: TFM11 and IWM. Record: 35 wins out of 36 trades for 97%. The initial stop is about 1.7%. The market has fallen for 5 consecutive weeks, so caution is warranted here. While the statistical record is very good, there are no guarantees in life except death and taxes.
For the first five months of the year (through June 3, today), one futures contract has earned $58,534 which would annualize to over $138,000. Note: annualization is a mathematical result only, and should not be construed as an expected value or projection. The ETFs have earned 2.9%, slightly below the S&P 500 (without dividends) at 3.4%. This would annualize the BLOG to 6.8% and the S&P to 8.0%. See our BLOG page on "Shortcomings and Limitations" for an explanation of how our calculations are done. Of course, our desire would be to beat the S&P for the year, like we did last year. Only time will tell.
The BLOG's day-to-day fluctuations are much less volatile than the S&P. This is because we have five positions, each of which may be positively, negatively, or non-correlated to equities.
Our Active and Closed Out Positions Appear in the Table Below:
https://spreadsheets.google.com/spreadsheet/ccc?key=0AtYsMnbdw73BdGZrc0pTamxjeTkyQnl1WnQ0dzBWNEE&hl=en_US&authkey=CPGwkbIN
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. Follow us on Twitter at www.twitter.com/bassanalytics. This BLOG is provided FREE of charge. 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. Past performance is not indicative of future results. Investors should discuss any investment with their personal investment counsel. The quotes and symbols used in the BLOG are believed to be reliable, but no guarantees are made with regard to the accuracy. We may have positions in one or more of the ETFs or futures of the computer-generated signals.
New Signals:
Go SHORT Silver: Market On Open. Symbols: SIN11 and SLV. Record: 16 wins out of 22 trades for 72%. Initial Stop: a shallow .7%.
Go LONG Coffee: Market On Open. Symbols: KCN11 and JO. Record: 66 wins out of 86 trades for 77%. Initial Stop: about 1.6%.
Go SHORT Russell: Market On Open. Symbols: TFM11 and IWM. Record: 35 wins out of 36 trades for 97%. The initial stop is about 1.7%. The market has fallen for 5 consecutive weeks, so caution is warranted here. While the statistical record is very good, there are no guarantees in life except death and taxes.
For the first five months of the year (through June 3, today), one futures contract has earned $58,534 which would annualize to over $138,000. Note: annualization is a mathematical result only, and should not be construed as an expected value or projection. The ETFs have earned 2.9%, slightly below the S&P 500 (without dividends) at 3.4%. This would annualize the BLOG to 6.8% and the S&P to 8.0%. See our BLOG page on "Shortcomings and Limitations" for an explanation of how our calculations are done. Of course, our desire would be to beat the S&P for the year, like we did last year. Only time will tell.
The BLOG's day-to-day fluctuations are much less volatile than the S&P. This is because we have five positions, each of which may be positively, negatively, or non-correlated to equities.
Our Active and Closed Out Positions Appear in the Table Below:
https://spreadsheets.google.com/spreadsheet/ccc?key=0AtYsMnbdw73BdGZrc0pTamxjeTkyQnl1WnQ0dzBWNEE&hl=en_US&authkey=CPGwkbIN
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. Follow us on Twitter at www.twitter.com/bassanalytics. This BLOG is provided FREE of charge. 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. Past performance is not indicative of future results. Investors should discuss any investment with their personal investment counsel. The quotes and symbols used in the BLOG are believed to be reliable, but no guarantees are made with regard to the accuracy. We may have positions in one or more of the ETFs or futures of the computer-generated signals.
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