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 23, 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.
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Today's Commentary
well, needless to say S&P 500 index is on a rocket somewhere. in my opinion, the index is at the outer limits and about ready to enter the twilight zone.
ok, enough subjective talk. the S&P 500 closed up 2.45%, the highest of the 3 major averages for today. S&P 500 RSI broke 70 for the first since as far as i can see. the amplitude of vector-c is virtually one trading day away from maxing out the high in the middle of june-09. diff c, the daily rate of change of the amplitude of vector-c has maxed out levels going past all the volatility in the last 12 months. the daily scatter plot coordinate of diff c vs diff theta is way out range in the 4th quandrant. so get ready for the first case of instant teleportation to the other side of the universe or this baby is going down.
either way, i am keeping my pairs trade as close to 50:50 as possible. i've let the ratio drift to 47 SDS & 53 SSO & then re-balancing back to 50:50 by buying the weakest ETF. this keeps your gains safe and if there is a sudden ride down, probability is higher that SDS will change faster than SSO. this means the pair will still increase in value. that's why it's so important to keep plenty of cash available. be very careful out there!
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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.
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