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 Model Update - May 29,2009
Dear Blogger, thank you! again for subscribing to the S&P 500 long/short ETF Model and welcome to new members who just joined and new list subscribers. today's analysis is available for download:
ignore the missing data error message that may pop-up when opening up the file. Excel for Windows looks for metadata that Excel for Mac doesn't generate.
if you ever misplace your login, send me a message using the email you originally provided when subscribing through paypal. visit the blog for an archive of all subscriber updates and alerts. the archive is search-able and comments can be posted by everybody. | | Today's Commentary
the S&P 500 index made a late day rally to close +1.36% for the day, +3.62 for the week & +5.31% for the month of may-2009. very impressive numbers.
with respect to the model, time is beginning to wipe off some dust from the rear view mirror. the PID-5 optimization algorithm is slightly missing the mark during the last week or so of trading. the may 20th neutral re-balance call may have turned out to be too early. also, the polarity chart used with PID-5 has been crossing signals back and forth while the RSI chart for each ETF has maintained bias toward SSO during this period of "no-mans-land" (range bound) trading.
on the other hand, the PID-7 optimization algorithm has been moving toward calling a neutral re-balance but is yet a little ways from crossing the x-axis which is consistent with trends in the S&P 500 index. PID-7 has signaled a polarity change for the ultra scenario but again perhaps a bit premature. the integral component "I" of PID-7 is on a similar trajectory as with the neutral scenario. so another 2 - 4 weeks of trading may reveal the better optimization algorithm.
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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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