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 21, 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 weaved & bobbed to close up 0.36%. the index has not had this much bullish momentum since june-01-09 measured by the daily difference between today's & yesterday's diff-c geodesic values. this delta value measures the distance (arc length) traveled along the geodesic path in one day.
as a matter of academics, this illustrates the non-linear relationship between price momentum changes and path momentum changes. we're on the portion of the geodesic path where small changes in price are amplified in terms of distance traveled along the geodesic. this relationship changes as the geodesic coordinates are moving on the path closer to the apex. around the apex, price changes approach a 1:1 relationship with daily arch-length changes. the reason for this non-linearity is the long-term compounding effects in the ETFs. compounding effects do not cancel each out when trading leveraged ETFs in a pairs trade.
now having said all this, the model indicates there's more room for the index to go higher. there's a good likely hood the index will go higher judging the sentiment over earnings. clearly there are always potholes in the road but there is room to go higher. watch levels in the amplitude of vector-c. current level is measured at 0.7446. it has room to go to 0.7600 before i'll raise the yellow flags. assuming current rates of momentum, that time frame may be 7 - 10 trading away from today.
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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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