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 - August 10, 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
no particular commentary on the S&P 500 index action today. however, the model is beginning to show signs of weakness, again, in the index rally. the most important charts to watch this week are the SDS-SSO geodesic chart and the corresponding parametric rates of change chart. see below. first the parametric rates of change chart. the slopes of the 2 lines have been in the process of pointing to intersect each other for 8 trading days and the rate has picked steam today. the point in time when they intersect or cross each other will be a signal indicating a change in market sentiment. the next change would be from bullish to bearish. trying to project when this will happen exactly is a fools game. the dynamics of the market are not deterministic and if a change in sentiment does happen, there's nothing stopping the market to change it's mind and change sentiment again. so keep and eye on this chart on a regular basis. the chart of the geodesic shows how far the rally has extended itself in the last 3 weeks. the point at which the yellow coordinates depart from symmetry with the top line is a point i call "lost in space." the euphoria of an economic recovery has spilled over into buying at a point where the S&P 500 index has already retraced 50% from it's lows in march. this week the treasury has planned t-bill & bond auctions so expect to see money flow into them for protection that would have possibly flowed into equities. disclosures: my pair ratio currently is 70% SSO & 30% SSO. however i have reduced my overall exposure to the pairs trade by decreasing my long holdings in both SDS & SSO. the pairs trade is 2:1 over long holdings in the following ETFs in another account: BIV, BND, IEF, IEI, TLH, TLH & UUP. the 2:1 ratio could possibly change lower by the end of the week. | | |
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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