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 - June 3, 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 and the other major averages gave up some gains from earlier this week. buyers managed to pick the averages up significantly off their lows in the last hour of trading. this means to me that buyers want to take some profits but aren't ready to give the reins over to sellers yet and sellers are very squeezed right now and there doesn't seem to be any catalyst to the downside other than everyone is piling into the market.
while i format the back-test data to go into the subscriber spreadsheet, i've still included a chart of the neutral performance scenario. i've also included some charts i don't regularly include to help refresh where we've statistically been over the last year.
1. i've included a chart of the trailing 12 day standard deviations of SDS & SSO. the deviations just hit a bottom and look like they want to start rising again. this metric is not tied directly to the model but i keep a close eye on the trends.
2. i've included a chart that plots several lines with a flat green line tracking the x-axis. this chart is something i watch very closely to determine if SDS & SSO can be normalized to obtain a neutral performance based on weights and rates of change. if the green line ever moves off zero, it's generally not good for the model. we're fine here.
3. i've included a chart plotting the neutral weights & the magnitude of vector-c vs. time. for now, consider the magnitude of vector-c as a component measure of volatily. the spread in neutral weights, magnitude and direction (theta) should all be looked at as a combined measure of volatility. i will include more discussion of this topic soon.
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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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