Wednesday, June 29, 2011
Wednesday, June 15, 2011
Below is a chart that shows some of the recent intermediate term S&P model, trades.
Year to date the “Ripe Trade” setup had 46 trades with 43 wins or a 93.4% win rate. The average of all winning and losing trades was a net 2.9% , assuming you could have taken each trade one after the other a $10,000 account would have compounded into $35,000. The Biggest win was 10.9% profit and the biggest loss was -6.6% .
Year to date the “Sharpe Idea” setup had 75 trades with 67 wins or an 89% win rate. The average trade made +4.9%, assuming you could have taken each trade one after each other a $10,000 account would have compounded into $280,000.The biggest win was 19.4% and biggest loss was -4.8%
Below is a summary of the recent Ripe Trade and Sharpe Idea setups.
This is the YTD equity curve of all the Ripe Trades.
YTD our VIX model is up 27% when using the etf VXZ for longs and VXX for shorts. If you couldn't get a VXX borrow to short a XIV long would have performed just as well.
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Monday, June 13, 2011
Below is the hypothetical performance of $100 invested in this strategy since 1986. You can see that the strategy outperforms buy and hold in both performance and maximum peak to trough drawdown and the strategy is only invested in the NDX 9.5% of all trading days, the rest of the time the money would have been safely sitting in cash earning interest. The performance results don't reflect commission, slippage or any interest earned while in cash.
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Sunday, June 12, 2011
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Wednesday, June 8, 2011
The breadth of the market is real oversold ala very low McClellan Oscillator readings, historically this has been a good indicator for buys.
Short term S&P setups - These short term S&P trades are usually 1-2 days in duration and predict large moves they are usually correct ~90% of the time. Out of the 17 short term trades that have hit since we started the blog we made money on 14 trades for a total profit of 191.2 S&P points. Some samples here!
Monday, June 6, 2011
This is a momentum based strategy that switches between non correlated asset classes. There has been so much research showing that momentum works, academics no longer doubt its value. When non correlated trading vehicles are added to a momentum strategy it increases historical returns and reduces the historical volatility.
Historically, the “Optimal Momentum” concept of buying the best performing asset class out of a basket of loosely correlated asset class’s has annualized a return of 17.2% since 1977 with a maximum monthly drawdown of -25%. As a comparison the S&P has only annualized a return of 8% with a maximum monthly drawdown of -52.5%.
This image is from the“Optimal Momentum” white paper
Using ETF’s this strategy would have annualized gains of 20.8% since 2003 with a maximum peak to trough drawdown of -12% . As a comparison a buy and hold in the S&P would have annualized gains of 7% with a peak to trough drawdown of -52%.
This image shows how this strategy has performed since 2003, using ETF’s.
You can receive the monthly signals to this model by monitoring the rules on your own or by getting the simple buy and sell reminders emailed to you through signing up to any one of our subscription services.
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Wednesday, June 1, 2011
This is the description as per the Lit Wick website
Stick Sandwich Bullish- How to Identify it:
- The first day is a black day
- The second day is a white day that trades above the close of the first day
- The third day is a black day with a close equivalent to the first day
As always if the term “Long” is used in the description, we will define “long” as a range that is greater than the 20 day moving average of range. When we test the pattern in a uptrend, we define uptrend as a close greater than the 50 day moving average and yesterdays 50 day moving average is greater than the prior days 50 day moving average.
We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the "Stick Sandwich" pattern setup and 3 variations of the pattern , the exit was at the open 5 trading days after entry.