what we do
Our focus is on the development of proprietary geodesic models that characterize the behavior of leveraged long/short ETFs in pairs trades using first principles of Hamilton-Lagrange-Euler mechanics. Because of tracking errors & daily compounding phenomena, equal weightings of leveraged ETFs in a pairs trade are virtually never 50-50. Daily data & graphics will show subscribers where neutral pair weightings have moved along the path of the pairs geodesic thereby providing multiple market direction & re-balance indicators.
SDS-SSO Subscriber AM Alert for April-14-09
| Dear Subscriber,
here's a re-cap.
while doing the PID analysis on the SDS-SSO model, i discovered some model characteristics that presented an opportunity to further analyze their behavior to different types initial conditions. i asked myself what would happen, with the controls in place, if i started a pair trade in the middle of a sharp advances or declines. so i did just that for the neutral and ultra performance scenario. what i found was the neutral scenario was over-damped and didn't respond to controls as well as the aggressive scenario did. this neutral model became un-responsive to control measures and the amount of re-balancing was unrealist for an effective trading scenarios.
so i've "pulled out all the stops" so to speak and expanded the number of variations of models to test under several different initial condition possibilities. so far i've crunched data trough a number of the model variations but more to go. talk about number fatigue - everything on the screen i was looking at started to all look the same. what a good nights sleep will do.
anyway, i feel i've made good progress and will have more to report later. the current version of the model you all are using is still valid for this environment. every now and then models needs to be re-tested to be sure there aren't any hidden historical or future gotchas waiting to knock a wheel (or two) off the wagon. i will update the current spreadsheet and will submit it for download tonight. i'll also send another alert today as an update on the model re-characterization.
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Disclaimer
Equity Informatics is a developer and service provider of proprietary financial equity pricing models & trading methods. The company familiarizes subscribers with the basic thesis of our models, provides subscribers with daily neutral pair weightings and methodologies on how to use the data as intended. subscribers shall not share any information obtained from equity informatics with any other party. use of these services are granted only to and intended for the benefit of the subscriber. Equity Informatics does not offer the sale of equities nor do our trading models constitute trading advise. It is incumbent on potential clients to perform due diligence and seek a professional financial adviser to help you determine whether subscribing to the company's services are suitable for your financial situation and level of risk. No guarentees of performance are expressly or implicitly offered nor does Equity Informatics guarantee the accuracy of market information used to provide model data to our client. equity informatics does not assume responsibility for lost principal, lost gains or tax consequences.
Copyright (c) 2009 Equity Informatics, LLC. All Rights Reserved.
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