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 - July 14, 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
even with the tiny move up in the S&P 500 index today, the model indicator switch back to a weak bearish bias. but i don't think it will vacillate much longer. since june 16th the market has been more bearish than bullish. when i look at the RSI plots of SDS & SSO, the indication now in retrospect has been a directionless market. sentiment on the street is rapidly changing indicated by the VIX dropping from a high of 33 to 25.02 in 5 trading days. that's roughly a 32% change. i have added a new time series on the geodesic chart starting with coordinates from today's data. the new time series data is annotated in yellow squares. see below. tomorrow i will update the cooresponding scatter plot of the paramters rates of change to coincide with this new time series and include it in the spreadsheet from here out. unlike the last time few times when the direction bias changed for a day and flipped right back, my sense is the market is about to make a fast move up in the short-term. this judgment has more to do with how earnings results have been beating to the upside. even though reporting just got started, i don't see anything at this point that will change the current optimism. so consider curtailing (not eliminating) whatever hedges you have to the downside. the model will have to catch-up with the market. watch the time series on the above chart progress in future updates. | | |
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.
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