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Friday, February 27, 2009
Thursday, February 26, 2009
Stock market timing update
The roadmap looks quite bearish and check out how over the last few days the S&P has declined and the VIX has also declined, this is not normal. The S&P and VIX usually have a very strong inverse relationship, when the S&P goes down the VIX usually goes up. This is usually bearish for more details click here. Unfortunately, our S&P and NDX models are long but the VIX model just flipped long.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. No open orders.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. No open orders.
The VIX Model is long as of the close on February 26th. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Ripe Trades Feb 27th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Daily breakout trades Feb 27th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AKAM,AMZN,ERTS,RYAAY,SPLS,
VRTX) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are hereOne thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend.
To get a free analysis of trend click here.
VRTX) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are hereOne thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend.
To get a free analysis of trend click here.
Wednesday, February 25, 2009
Gold looks like a short
Gold has rallied from $700 in November to $1000 just a few days ago, I think its gotten ahead of itself and looks like it will probably pull back down to around $900 for the following reasons.
1) Sentiment is too bullish. This is a one sided trade and in my opinion sentiment can only shift to the bear side. Im sick of seeing and hearing the commercials for government gold. This has to be a sign of a top in bullish sentiment.
2) Comparison valuations are very high. If you compare the spread relationship of gold to stocks or gold to bonds or gold to CRB or gold to the dollar index the valuations are at historically high levels.
3) Seasonally gold usually peaks around this time of year and troughs around July.
4) The commercial traders aka hedgers have been selling. This is the smart money in the market and historically it pays to trade in the same direction as the hedgers.
Last year around this time of year was a good example of the last time gold was relatively expensive compared to stocks, bonds, $ index, CRB index while near a seasonal peak with commercial traders selling and sentiment was extremely bullish. The bearion I mean bullion declined around 30% after those conditions were present last year.
Gold looks like a good short down to around $900, Id use new highs as the stop.
1) Sentiment is too bullish. This is a one sided trade and in my opinion sentiment can only shift to the bear side. Im sick of seeing and hearing the commercials for government gold. This has to be a sign of a top in bullish sentiment.
2) Comparison valuations are very high. If you compare the spread relationship of gold to stocks or gold to bonds or gold to CRB or gold to the dollar index the valuations are at historically high levels.
3) Seasonally gold usually peaks around this time of year and troughs around July.
4) The commercial traders aka hedgers have been selling. This is the smart money in the market and historically it pays to trade in the same direction as the hedgers.
Last year around this time of year was a good example of the last time gold was relatively expensive compared to stocks, bonds, $ index, CRB index while near a seasonal peak with commercial traders selling and sentiment was extremely bullish. The bearion I mean bullion declined around 30% after those conditions were present last year.
Gold looks like a good short down to around $900, Id use new highs as the stop.
Ripe Trades for Feb 26th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Thursday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Daily breakout trades Feb 26th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AKAM,AMGN,AMZN,BIIB,CELG,ERTS,
ESRX,FMCN,GILD,PETM,RYAAY,SPLS,VRTX) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
ESRX,FMCN,GILD,PETM,RYAAY,SPLS,VRTX) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
Stock market trading model update
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. No open orders.
The VIX Model is short as of the close on February 18th. This model will cover the short and get long at the close tomorrow February 25th if the VIX stays greater than 42.84 or if the VIX closes greater than 44.67 or if the VIX closes greater than the VIX open.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Tuesday, February 24, 2009
Ripe Trades for Feb 25th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Wednesday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Click this link for the list of ripe trades
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Click this link for the list of ripe trades
Daily breakout candidates Feb 25th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AKAM,AMGN,AMZN,BIDU,BIIB,CELG,
ESRX,FMCN,GENZ,GILD,HANS,PETM,RYAAY,SPLS,VRTX,XRAY) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
ESRX,FMCN,GENZ,GILD,HANS,PETM,RYAAY,SPLS,VRTX,XRAY) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Stock market trading model update
FYI the short term system got long today @ 755 , this short term trade will exit on a first profitable open exit at tomorrows open Feb 25th if the S&P futures open above 755, otherwise the stop loss is 739.9.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is short as of the close on February 18th. This model will cover the short and get long at the close tomorrow February 25th if the VIX stays greater than 44.28 or if the VIX closes greater than 45.49 or if the VIX closes greater than the VIX open.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Monday, February 23, 2009
S&P a potential buy for Feb 24th
The current price pattern in the S&P and spike in VIX set up a short term bullish scenario for the S&P if tomorrow February 24th the S&P futures open below 755. This pattern has occurred 48 times and 47 of the trades have been wins when using the below entry and exit criteria.
FYI our intermediate term S&P model and NDX model are long at higher prices from Feb 11th so this short term pattern is a nice confirmation trade while those intermediate term models are in a big drawdown.
If Open is less than 755 then Buy @ 755
Exit 1st profitable open or 2% stop loss
Below are the performance results of the current short term S&P setup based on 1 big contract trades since 1982. (click image to enlage)
Out of the 4 short term trades that have hit since we started this blog, we made 15pts on the Jan 15h long entry, lost 17.3 pts from Jan 13th long entry, lost17 pts on November 18th, but made 52 pts on the win from October 28th Net, the short term system is up 32.7pts in 4 trades.
Let Ripe Trade back test your trading concepts , Click Here.
Ripe Trades Feb 24th
A big list of only long setups is probably a bullish sign for the major indices.Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Tuesday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Click this link for the list of ripe trades
Daily breakout candidates Feb 24th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AKAM,ATVI,BIDU,BIIB,CELG,ESRX,GENZ,HANS,VRTX ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Stock market trading model update
Im quite bullish short term on the market here because of the Ripe Trade long setup skew, S&P and NDX models being long at higher levels, oversold condition, overbought bonds, overbought VIX and -359 reading on McClellan oscillator, which is close to a record low. To see the historical S&P tendency after some of these conditions click here.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th.
The VIX Model is short as of the close on February 18th.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Sunday, February 22, 2009
Daily breakout trades Feb 23rd
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. (AKAM, AMGN,BIIB,ESRX,GENZ,HANS ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Ripe Trades Feb 23rd
A big list of only long setups is probably a bullish sign for the major indices.Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008.
These are the stocks that qualify for Monday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Friday, February 20, 2009
Leveraged and inverse ETF pitfalls
I had a friend call the other day complaining about his ETF trade. In February of 2008 he bought QID which is an ETF that tracks 2x the inverse of the NDX, he is up 23% on his trade , but the NDX has declined 38% over this period and he should be up 2x that amount 76%. My friend is pissed because he way underperformed 2x the inverse of the NDX by 53% and left a lot of money on the table. There are a ton of other examples and Im sure most of you have your own horror stories. Check out the SKF ( 2x inverse of financial index) its down 22% since Nov 21 while the XLF is down 34% an underperformance of 78%. The SPY is down -48% since Jan 2008 but the SDS a 2x inverse S&P fund is only up 77% which is a 29% underperformance. The list goes on and on.
The best way that I can explain this underperformance of leveraged and inverse ETFs is that they are designed to track the underlying index based on a 1 day performance, these ETF’s wont track well over longer periods of time. As an example if we compare SPY vs SSO ( SSO tracks 2x the SPY ) lets assume both ETFs start at $100 per share and the SPY is up 10% to $110 and SSO is up 20% to $120 on day 1 , on day 2 SPY goes down 10% to $99 and SSO goes down 20% to $96. The 2 funds tracked well on a daily basis yet the 2 day return for SPY was -1% and SSO was -4%.
Below is a chart that shows the 1 day percentage change of QLD versus a 1 day percentage change of 2x the QQQQ. You can see that on most days the 1 day percentage change is very close.
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Want to know what to trade and when to trade? Click here
The best way that I can explain this underperformance of leveraged and inverse ETFs is that they are designed to track the underlying index based on a 1 day performance, these ETF’s wont track well over longer periods of time. As an example if we compare SPY vs SSO ( SSO tracks 2x the SPY ) lets assume both ETFs start at $100 per share and the SPY is up 10% to $110 and SSO is up 20% to $120 on day 1 , on day 2 SPY goes down 10% to $99 and SSO goes down 20% to $96. The 2 funds tracked well on a daily basis yet the 2 day return for SPY was -1% and SSO was -4%.
Below is a chart that shows the 1 day percentage change of QLD versus a 1 day percentage change of 2x the QQQQ. You can see that on most days the 1 day percentage change is very close.
The next chart shows how $100 would have grown in QLD since January 2008 versus how $100 using margin to buy 2 x the amount of QQQQ, margin interest was not accounted for. You can see that QLD and 2 x QQQQ track quite closely in the beginning then as time goes on the tracking widens.
Want to know what to trade and when to trade? Click here
My advice is that if you are going to trade the leveraged and inverse ETFs then trade them over a very short period of time. Let Ripe Trade back test your trading concepts , Click Here.
Thursday, February 19, 2009
Securities transaction tax
Some members of congress are trying to pass a securities transaction tax for trading ( stocks, bonds, options, futures). They are trying to impose a .25% transaction tax to the value of securities traded. They have labeled this bill `Let Wall Street Pay for Wall Street's Bailout Act of 2009', full details of this bill can be read here.
This is a tax on the value traded not on gains, if you trade 100 shares of GOOG @ 345 you have to pay .25% on $34,500 win loss or draw, trade 1 S&P futures contract you’ll have to pay $488 in tax whether you make money or not on your trade. If this bill goes through it would be terrible for us traders and for the market. Most of us will probably stop trading and that would widen bid ask spreads and suck the liquidity out of the market which would have a devastating impact.
Lets not let this bill get passed, give your congress person a call, mail them a letter you could also sign this petition here.
Please contact your local senators and voice your disapproval:
http://www.senate.gov/general/contact_information/senators_cfm.cfm
Please contact your local Representatives and speak your mind:
http://www.house.gov/house/MemberWWW.shtml
This is a tax on the value traded not on gains, if you trade 100 shares of GOOG @ 345 you have to pay .25% on $34,500 win loss or draw, trade 1 S&P futures contract you’ll have to pay $488 in tax whether you make money or not on your trade. If this bill goes through it would be terrible for us traders and for the market. Most of us will probably stop trading and that would widen bid ask spreads and suck the liquidity out of the market which would have a devastating impact.
Lets not let this bill get passed, give your congress person a call, mail them a letter you could also sign this petition here.
Please contact your local senators and voice your disapproval:
http://www.senate.gov/general/contact_information/senators_cfm.cfm
Please contact your local Representatives and speak your mind:
http://www.house.gov/house/MemberWWW.shtml
Ripe Trades Feb 20th
A big list of only long setups is probably a bullish sign for the major indices.Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Daily breakout candidates Feb 20th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AKAM,AMGN,BIDU,BIIB,ESRX,FMCN,
GENZ,HANS,PETM ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
GENZ,HANS,PETM ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Stock market trading model update
Im quite bullish short term on the market here because of the Ripe Trade long setup skew, S&P and NDX models being long at higher levels, oversold condition, overbought bonds, overbought VIX and -250 reading on McClellan oscillator. To see the historical S&P tendency after some of these conditions click here.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is short as of the close on February 18th. This model will stop opt of the short position @ 56.22
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Wednesday, February 18, 2009
VIX allocation as a hedge part 2
As a follow up to our post on using the VIX as a hedge for the S&P , I wanted to post a few quick thoughts. You can read the original post on how to use the VIX as a hedge for stock investments, here.
Below is a chart that compares the S&P 500, a fixed 70% allocation in S&P and 30% allocation to VIX and a monthly rebalance with 70% allocation in S&P and 30% allocation to VIX. You can see that the monthly rebalance significantly outperforms with less drawdown risk, however the monthly rebalance underperforms the weekly rebalance that is pictured here Since 1993 a $100k investment split $70k into S&P and $30k into the VIX then rebalanced with a 70%/ 30% split monthly would have grown to $635k. As a comparison the weekly rebalance strategy turns $100k into $1,261,000 and just buying the S&P turns $100k into $248k.
Below is a chart that compares the S&P 500, a fixed 70% allocation in S&P and 30% allocation to VIX and a monthly rebalance with 70% allocation in S&P and 30% allocation to VIX. You can see that the monthly rebalance significantly outperforms with less drawdown risk, however the monthly rebalance underperforms the weekly rebalance that is pictured here Since 1993 a $100k investment split $70k into S&P and $30k into the VIX then rebalanced with a 70%/ 30% split monthly would have grown to $635k. As a comparison the weekly rebalance strategy turns $100k into $1,261,000 and just buying the S&P turns $100k into $248k.
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The next chart shows a daily rebalancing concept using the new VIX ETF ticker VXX. A 55% VXX allocation and 45% SPY allocation was assumed and rebalanced daily. The VXX tracks the short term VIX futures so it has significantly less volatility than the VIX spot, thus we increased the allocation to 55% from the 30% VIX spot allocation that we mentioned in prior studies. In the very limited amount of time that we were able to test this concept since January 29, 2009 the daily rebalancing strategy significantly outperforms the S&P with much less drawdown risk. During the short periods of time when the S&P was up the daily rebalancing strategy underperformed.
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The next chart shows a daily rebalancing concept using the new VIX ETF ticker VXX. A 55% VXX allocation and 45% SPY allocation was assumed and rebalanced daily. The VXX tracks the short term VIX futures so it has significantly less volatility than the VIX spot, thus we increased the allocation to 55% from the 30% VIX spot allocation that we mentioned in prior studies. In the very limited amount of time that we were able to test this concept since January 29, 2009 the daily rebalancing strategy significantly outperforms the S&P with much less drawdown risk. During the short periods of time when the S&P was up the daily rebalancing strategy underperformed.
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S&P a potential buy for Feb 19th
The current price pattern in the S&P, spike in VIX and spike in the long bond set up a short term bullish scenario for the S&P if tomorrow February 19th if the S&P futures open below 770. This pattern has occurred 52 times and 51 of the trades have been wins when using the below entry and exit criteria.
FYI our intermediate term S&P model and NDX model are long at higher prices from Feb 11th so this short term pattern is a nice confirmation trade while those intermediate term models are in a drawdown.
If Open is less than 770 then Buy @ open
Exit 1st profitable open or 2% stop loss
Below are the performance results of the current short term S&P setup based on 1 big contract trades since 1982. (click image to enlage)
Let Ripe Trade back test your trading concepts , Click Here.
FYI our intermediate term S&P model and NDX model are long at higher prices from Feb 11th so this short term pattern is a nice confirmation trade while those intermediate term models are in a drawdown.
If Open is less than 770 then Buy @ open
Exit 1st profitable open or 2% stop loss
Below are the performance results of the current short term S&P setup based on 1 big contract trades since 1982. (click image to enlage)
Let Ripe Trade back test your trading concepts , Click Here.
Daily breakout candidates Feb 19th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( AMGN,APOL,BIDU,BIIB,CHKP,ESRX,FMCN,GENZ,HANS,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
Ripe Trades Feb 19th
A big list of only long setups is probably a bullish sign for the major indices.
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Thursday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Thursday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.
These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model update
Im quite bullish short term on the market here because of the Ripe Trade long setup skew, S&P and NDX models being long at higher levels, oversold condition, overbought bonds, overbought VIX and -180 reading on McClellan oscillator. To see the historical S&P tendency after some of these conditions click here.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is short as of the close on February 18th.The stop is 56.22.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Tuesday, February 17, 2009
Daily breakout candidates Feb 18th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIIB,CA,CHKP,ESRX,FMCN,GENZ,GRMN,
HANS,ISRG,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
HANS,ISRG,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
Ripe Trades for Feb 18th
A big list of only long setups is probably a bullish sign for the major indices.
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Wednesday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market tradiing model update
Im quite bullish short term on the market here because of the Ripe Trade long setup skew, S&P and NDX models being long at higher levels, oversold condition, overbought bonds, overbought VIX and -180 reading on McClellan oscillator. To see the historical S&P tendency after some of these conditions click here.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is long as of the close on February 13th.This model will sell the long on a stop @ 48.38 and or sell the long and get short at tomorrows close February 18th if the VIX stays below 51.18 or if the VI X closes below 48.66 or if the VIX closes below the VIX open.
Monday, February 16, 2009
Ripe Trades Feb 17th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Monday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Daily breakout candidates Feb 17th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,BIIB,CA,CEPH,CHKP,ESRX,FMCN,
GENZ,GRMN,HANS,HSIC,NIHD,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
GENZ,GRMN,HANS,HSIC,NIHD,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
Stock market trading model update
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is long as of the close on February 13th.No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Friday, February 13, 2009
Thursday, February 12, 2009
Daily breakout candidates Feb 13th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,CA,CEPH,CHKP,FMCN,GRMN,
HANS,NIHD,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
HANS,NIHD,SHLD ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
One thought on the breakout candidates is to incorporate trend and only take buy signals of stocks in an uptrend and sell signals for stocks in a downtrend. To get a free analysis of trend click here.
Ripe Trades Feb 13th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model update
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is short as of the close on February 11th. This model will cover the short and get long tomorrow if the VIX stays greater than 41.21 or if the VIX closes greater than 41.25 or if the VIX closes greater than the VIX open.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Wednesday, February 11, 2009
Daily breakout candidates Feb 12th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,CEPH,CHKP,DTV,FMCN,GENZ, GRMN, HANS,NIHD,TEVA ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Ripe trades for Feb 12th
There is only 1 Ripe Trade setup for tomorrow February 12th which is a short ticker OB Ripe Trade short limit price @ 11.73
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model update
The S&P Model is long as of the close of February 11th. No open orders.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The NASDAQ model is long as of the close on February 11th. The stop is 1126.5 on the NDX futures, good for the day only.
The VIX Model is short as of the close on February 11th. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Tuesday, February 10, 2009
Ripe Trade will back test your trading idea
We have been asked by a number of people to back test their personal trading strategies, we love doing this type of work but cant test every idea. We appreciate and would like to continue to receive suggestions on further research but we can not test everything. When we aren’t trading we spend a great deal of time testing our own ideas , however we will find the extra time to test your trading ideas for a fee of $100. Click on the education tab here for examples of research done on our own ideas.
Let history reveal the truth and verify your intuition. The guidelines are simple, if you have a trading strategy that you believe has worked but want to verify the idea via a back test, let us do the work for you. Check out this post which describes some of the steps involved in backtesting. We will test your idea on the entire history of data available. You will receive a performance report and equity curve with an explanation of the performance metrics. You will receive an optimization report which shows how different variables of your strategy have performed with the optimal variables highlighted. We will make suggestion on what will make the idea better. You only pay after the work is done via a Paypal donation , the donation button is located on every page in the upper right corner. We can usually turn a project around in a couple of days. If you aren’t fully satisfied with the quality of our work then don’t pay, no questions asked.
We wont test using economic data or fundamental data, these data points are often revised after the reports and we don’t have a great source for the data.. If the back test is beyond our capability we will let you know within 24hrs.
Have history reveal the truth on your trading strategy and put our experience to work. Send emails to RipeTrade@Gmail.com
Let history reveal the truth and verify your intuition. The guidelines are simple, if you have a trading strategy that you believe has worked but want to verify the idea via a back test, let us do the work for you. Check out this post which describes some of the steps involved in backtesting. We will test your idea on the entire history of data available. You will receive a performance report and equity curve with an explanation of the performance metrics. You will receive an optimization report which shows how different variables of your strategy have performed with the optimal variables highlighted. We will make suggestion on what will make the idea better. You only pay after the work is done via a Paypal donation , the donation button is located on every page in the upper right corner. We can usually turn a project around in a couple of days. If you aren’t fully satisfied with the quality of our work then don’t pay, no questions asked.
We wont test using economic data or fundamental data, these data points are often revised after the reports and we don’t have a great source for the data.. If the back test is beyond our capability we will let you know within 24hrs.
Have history reveal the truth on your trading strategy and put our experience to work. Send emails to RipeTrade@Gmail.com
Daily breakout candidates February 11th
Wow the crystal ball was working well last night , as you may recall yesterday we mentioned that today would probably be a down day and a large range day, we were correct on both.
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,CHKP,DTV,FMCN,GENZ,
HANS,RIMM,TEVA ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU,CHKP,DTV,FMCN,GENZ,
HANS,RIMM,TEVA ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Stock market trading model update
The S&P Model is short as of the close of February 9th. This model will cover the short and get long the S&P at tomorrows close February 11th if the VIX stays below 48.12
The NASDAQ model is flat and in cash. This model will get long at tomorrows close February 11th if the VXN stays below 46.69 or if the VXN closes below 45.86 or if the VXN closes below the VXN open.
The VIX Model is long as of the close on January 22nd. This model will sell the long and get short the VIX at the close tomorrow February 11th if the VIX stays below 48.12 or if the VIX closes below 46.67 or if the VIX closes below the VIX open.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Monday, February 9, 2009
Daily breakout candidates Feb 10th
Check out the almost perfect doji days in the S&P, NDX, DJIA today, this type of action when the open is near the close is often indicative of large range bars in the days to come, this possible volatility may help some of these breakout setups get going.
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CHKP,FMCN,HANS,RIMM
TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( CHKP,FMCN,HANS,RIMM
TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Ripe Trades for February 10th
Only shorts set up for tomorrow this skew coupled with the overbought indices and oversold bond market must have bearish implications for the market, note our intermediate term model got short the S&P at the close today.
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Tuesday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model update
The S&P Model is short as of the close of February 9th. No open orders.
The NASDAQ model is flat and in cash. No open orders.
The VIX Model is long as of the close on January 22nd. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Sunday, February 8, 2009
S&P 500 a potential short for Feb 9th
The current price pattern in the S&P and sharp decline in the long bond and VIX set up a bearish short term scenario if tomorrows open in the S&P futures is above Fridays high of 869. This pattern has occurred 37 times and all 37 instances, the S&P has declined when using the entry and exit criteria below. FYI our intermediate term (1-7 day) S&P model is in cue to get short at tomorrows close if the VIX stays above 41.2 and the RipeTrade setups have a skew to the short side with 13 short setups and only 1 long setup, I think this supports this short term bearish S&P pattern.
If open is greater than 869 then SS @ open
Exit 1st profitable open or 2% stop loss
Out of the 4 short term trades that have hit since we started this blog, we made 15pts on the Jan 15h long entry, lost 17.3 pts from Jan 13th long entry, lost17 pts on November 18th, but made 52 pts on the win from October 28th Net, the short term system is up 32.7pts in 4 trades.
The performance results are based on the S&P futures data since 1982.
If open is greater than 869 then SS @ open
Exit 1st profitable open or 2% stop loss
Out of the 4 short term trades that have hit since we started this blog, we made 15pts on the Jan 15h long entry, lost 17.3 pts from Jan 13th long entry, lost17 pts on November 18th, but made 52 pts on the win from October 28th Net, the short term system is up 32.7pts in 4 trades.
The performance results are based on the S&P futures data since 1982.
Daily Breakout candidates Feb 9th
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU, FMCN,HANS,TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( BIDU, FMCN,HANS,TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Ripe Trades for February 9th
Below you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Monday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model Update
The S&P Model is long as of the close of February 3rd. This model will stop out of the long position @ 864.5 and or sell the long and get short at the close tomorrow February 9th if the VIX stays greater than 41.2
The NASDAQ model is flat and in cash. No open orders.
The VIX Model is long as of the close on January 22nd. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Thursday, February 5, 2009
Daily Breakout candidates Feb 6th
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. (CTSH,FMCN,HANS,INFY,INTU,
LEAP,RIMM,TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
LEAP,RIMM,TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
Ripe Trades for February 6th
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.
Above you will find a list of long and short candidates. Historically these long and short setups have performed quite nicely when using the entry levels specified next to the ticker and the exit rules below. Here is the real time out of sample performance review of the Ripe Trade results for the year 2008. These are the stocks that qualify for Friday with the entry price limits specified , good for the day only.
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.
These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Stock market trading model Update
We have been posting pictures of attractive females alongside of the breakout candidates. We want to make sure that we aren’t turning away anyone from this blog because of these pictures. Please take a moment to answer the poll question at the upper right had corner of this page.
The S&P Model is long as of the close of February 3rd. This model will sell the long and get short tomorrow February 6th if the VIX stays greater than 42.32
The NASDAQ model is flat and in cash. No open orders.
The NASDAQ model is flat and in cash. No open orders.
The VIX Model is long as of the close on January 22nd. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
Wednesday, February 4, 2009
VIX hedge allocation for S&P
With the launch of the new VIX exchange traded funds ( ticker VXX, VXZ) I wanted to find a way to work them into an asset allocation mix. The VIX has historically had a very strong negative correlation to the S&P. When the S&P goes down the VIX usually goes up. This strong inverse relationship makes volatility a great asset class for diversification.
The problem with typical asset allocation proposals of stock, bond, international, value, growth, large cap, small cap, etc is that in times of panic when you need the protection the most, everything gets perfectly correlated and all the asset class’s go down at the same time.
Due to the large negative correlation between the VIX and the major equity indices a relatively small allocation to the VIX would have significantly improved the risk-return profile of the S&P 500. In the 2006 paper “Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX Derivatives” Gang Dong writes “that by allocating approximate 7% portfolio weight on a hypothetical derivative linking to VIX index, the portfolio approaches its optimal risk adjusted return ratio.” This optimal 7% allocation is based on a fixed portfolio that doesn’t get rebalanced. The full paper is here.
Subscribe to RipeTrade, details here!
The problem with typical asset allocation proposals of stock, bond, international, value, growth, large cap, small cap, etc is that in times of panic when you need the protection the most, everything gets perfectly correlated and all the asset class’s go down at the same time.
Due to the large negative correlation between the VIX and the major equity indices a relatively small allocation to the VIX would have significantly improved the risk-return profile of the S&P 500. In the 2006 paper “Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX Derivatives” Gang Dong writes “that by allocating approximate 7% portfolio weight on a hypothetical derivative linking to VIX index, the portfolio approaches its optimal risk adjusted return ratio.” This optimal 7% allocation is based on a fixed portfolio that doesn’t get rebalanced. The full paper is here.
Subscribe to RipeTrade, details here!
The VIX is a mean reversion machine so a weekly rebalancing seems like a more logical approach than a fixed portfolio. I worked up a rebalancing strategy to allocate X% in VIX and Y% in SPY then rebalance to the same X/Y allocation percent weekly. Below is a chart that shows how the various allocations would have grown since 1993, based on a $100k account. A 30% allocation to the VIX and 70% allocation to the SPY would have only suffered a maximum 14% peak to trough drawdown and grown a $100k account into $1,261,750 which is a 17% annual growth rate. As a comparison a $100k account invested entirely into SPY would have suffered a max 48% drawdown and would only be worth $250 k which is a 5.89% annual growth rate.
I think the VXX will track the VIX more closely than the VXZ. Remember both VXX and VXZ track the VIX futures so you should expect less volatility when compared to VIX cash.
Read the 2nd part of our VIX hedge allocation here.
The VIX is a mean reversion machine so a weekly rebalancing seems like a more logical approach than a fixed portfolio. I worked up a rebalancing strategy to allocate X% in VIX and Y% in SPY then rebalance to the same X/Y allocation percent weekly. Below is a chart that shows how the various allocations would have grown since 1993, based on a $100k account. A 30% allocation to the VIX and 70% allocation to the SPY would have only suffered a maximum 14% peak to trough drawdown and grown a $100k account into $1,261,750 which is a 17% annual growth rate. As a comparison a $100k account invested entirely into SPY would have suffered a max 48% drawdown and would only be worth $250 k which is a 5.89% annual growth rate.
I think the VXX will track the VIX more closely than the VXZ. Remember both VXX and VXZ track the VIX futures so you should expect less volatility when compared to VIX cash.
Read the 2nd part of our VIX hedge allocation here.
Subscribe to RipeTrade, details here!
Daily Breakout candidates Feb 5th
Here is a list of stocks that meet the breakout trade setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( FMCN,HANS,INTU,LEAP,RIMM,SRCL,
TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
An even balance of long and short Ripe Trade setups and a pretty large list of Breakout setups, probably indicates a confused market.
TEVA) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.The real time 2008 performance results are here
An even balance of long and short Ripe Trade setups and a pretty large list of Breakout setups, probably indicates a confused market.
Ripe Trades for February 5th
There is only one long setup for Thurssday with the entry price limits specified , good for the day only. No changes to the market timing models so I wont post.
ASH- Entry price for Ripe Longs Level 1 6.67 , Entry price for Ripe Longs Level 2 6.255
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
ASH- Entry price for Ripe Longs Level 1 6.67 , Entry price for Ripe Longs Level 2 6.255
Long Exit rules – Exit at the close on the day when a 2 day RSI close is greater than 50 or exit on the first profitable open with a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.
Short Exit rules - Exit at the close on the day when a 2 day RSI close is less than 70 or exit on the 1st profitable close with a 1 day delay. The 1st profitable close with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st close that is less than my entry price.These setups don’t have a stop loss, our research has showed through back testing that this strategy works best without a stop loss. A few ways to limit the risk without a stop loss are 1) Position Size - lowering your position size lessens risk. 2) Watch out for single sector exposure, don’t let one single sector become too big a percentage of your account. 3) Consider using options for blowout protection. For longs consider buying way out of the money puts and for shorts consider buying way out of the money calls. This will create a catastrophe stop that protects you even if the stock has an extreme overnight gap.These setups are for education and entertainment purposes only this is not a recommendation or solicitation. Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment adviser before making any investment decisions.
Tuesday, February 3, 2009
Levered and inverse ETF list
Below you will find a list of all the levered and inverse ETFs. Man there are a ton of these things 1x, 2x and 3x ETFs New products are coming out everyday, my favorite are the 2 that track the VIX which are VXX and VXZ.
Want to know what to trade and when to trade? Click here
This is the list of levered ETFs (Click Image to enlarge)
Subscribe to RipeTrade, details here!
This is the list of levered ETFs (Click Image to enlarge)
Subscribe to RipeTrade, details here! This is the list of inverse ETFS ( Click image to enlarge )
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