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 8, 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
at this phase in the market cycle, small changes in theta result in larger changes in ||vector c||. looking at the chart, we are at the very tail end (right most pt) of the bottom leg of the plot. the points here are fanning out, sort of what you would expect to see as outliers in a probability plot. these points are infact outliers since the majority points are densely packed together at the apex of the curve.
again, note the symmetry of the plot and how our most recent point is further down the x-axis than any other point in the upper half of the plot. the dates of the data go back to around feb-2008 so today we are most extreme (widest spread) between neutral weights in the model. i will show a similar plot of the DXD-DDM in another commentary which will show there is a little ways to go before maximum spread is achieved.
also, look at the chart plotting diff c & diff theta vs. time. diff c is the percent rate of change of ||vector c|| and diff theta is the percent rate of change of angle theta. keep an eye on when those two plots cross y = 0. they cross the x-axis coincidently and is the point at which the phase shifts directions or we are at the apex of the plot. phase shifts are basically synonomous with polarity changes. consequently there are similarities with this relationship and the PID-7 ultra re-balance indicator. i'll show this in an upcoming commentary.
this is probably a good time to be closer to neutral than otherwise. reason being we are in extreme ranges in neutral weight spreads and a portfolio with neutral weightings will be positioned immediately to benefit from a phase shift or polarity change. a prudent method of doing this is to maintain a small neutral position and let the market tell you when it's time to put more money in portfolio.
| | |
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.
Posts
No comments:
Post a Comment