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.
Dear Blogger, as indicated in the summary of stats below, the S&P 500 index ended the week down with increased volatility for the week. the S&P has closed 8 up weeks out of the last 10 since the market lows in early MARCH.
several model indicators are pointing to weaker performance in the S&P 500. 1) the pid-5 PID tuning chart is looking to cross it's x-axis. 2) the SDS-SSO polarity chart is pointing toward a flip in ETF relative strengths backed up by the SDS-SSO RSI chart. 3) the proportional band in the PID-7 tuning chart has crossed it's x-axis. 4) the first derivative of the PID-5 tuning chart is approaching zero from positive territory. 5) SDS & SSO neutral weights are very close to annual all time extreme values 10 weeks after the last extreme at the low.
despite all these indications, the model still hasn't technically called for a re-balance as of friday 2009-05-15. also, the S&P 500 has made these similar indications 4 times already since the market low only to be a head-fake and began moving right back up instead of following through on indications. that's all technical analysis is: indications. however, this time the S&P 500 index has demonstrably moved down with an increase in volatility in the VIX. this week we may see continuation of a long awaited pullback in the preceding "bear market rally."
my course action will be to take a slightly bearish stance relative to the neutral weightings - that is a slight over-weight in SDS. that would be a weighting of about 65% SDS and 35% SSO. this is a good weight distribution to start with if the market does march downward. if this scenario unfolds, the pair weighting of SDS will automatically increase itself to minimize risk if the other scenario takes shape.
---SDS-SSO ultra scenario weekly stats --------------------------- * ultra tracking portfolio DOWN 7.88% for the week * ultra benchmark DOWN 7.78% for the week * ultra tracking portfolio UP 4.71% since inception 2009-04-28 ---S&P 500 Index weekly stats ------------------------------------ * DOWN 4.99% for the week * MFI finished nearly unchanged at 52.72 on a daily basis * RSI finished DOWN for the week to 52.72 from 68.18 on a daily basis * volume finished DOWN for the week to 2590891 * 62.63 pts (6.62%) BELOW it's 200 DMA * 50.93 pts (6.12%) ABOVE it's 50 DMA ---CBOE Volatility Index (VIX) weekly stats ---------------------- * UP 3.34% for the week * 10.64 pts ( 24.31%) BELOW it's 200 DMA * 5.83 pts (14.96%) BLEOW it's 50 DMA * RSI UP 43% from recent lowest level in early JAN-09 MFI - money flow index RSI - relative strength index PID-5 benchmark YTD performance record for neutral & ultra scenarios  PID-7 benchmark YTD performance record for neutral & ultra scenarios  perfromance an actual ultra portfolio of SDS & SSO vs. a spectrum of benchmarks explanation of legend in chart above: ultra benchmark - models analytical backtest performance trading SDS & SSO using the ultra weighted scenario ultra portfolio - performance of an actual portfolio of SDS & SOO tracking the ultra benchmark s&p 500 - performance of the S&P 500 index balanced neutral - models analytical backtest performance trading SDS & SSO using the neutral weighted scenario un-balanced - models analytical backtest perfromance trading SDS & SSO in a totally open-loop scenario (i.e. no re-balancing and no reset to neutral) QAI - the performance of the IQ Hedge Multi-Strategy Tracker ETF. click to see the fund profile as stated on yahoo! finance. | | | | |
Dear Blogger, below are some pertinent stats i gathered for the week that just transpired. ---SDS-SSO ultra scenario weekly stats ---------------------------* ultra tracking portfolio up 9.42% for the week* ultra benchmark up 9.29% for the week* ultra tracking portfolio up 13.67% since inception 2009-04-28---S&P 500 Index weekly stats ------------------------------------* up 5.89% for the week* MFI basically finished unchanged* RSI closed near 12 month high 68.18* 3rd highest up volume week (5.89%) over last 12 months* 25 pts (2.69%) below it's 200 DMA---CBOE Volatility Index (VIX) weekly stats ----------------------* down 9.21% for the week* down 21.15% from 50 DMA* down 26.33% from 200 DMA* was SEP-08 since VIX closed at friday's EOD levels 32.05* RSI up 20% from recent lowest level in early JAN-09 MFI - money flow index RSI - relative strength indexPID-5 benchmark YTD performance record for neutral & ultra scenarios
PID-7 benchmark YTD performance record for neutral & ultra scenarios
**neutral performance coming soon | | | | |
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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