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View Full Version : Sector Selection / IWM comparison, part 6



Timothy Clontz
08-04-2011, 11:39 AM
Part 1, without Billy's pivot help:
IWM 6.51%
XLU 0.91%
Difference -5.60%
Cumulative -5.60%

Part 2, with Billy's pivot help:
IWM -2.21%
XLK 0.00% (i.e. the trade never hit the stop loss and remained active)
Difference 2.21%
Cumulative -3.39%

Part 3, with Billy's pivot help:
IWM -1.79%
XLK 1.31%
Difference 3.10%
Cumulative -0.29%

Part 4, with Billy's pivot help:
IWM -2.11%
XLK 0.00% (i.e. the trade never hit the stop loss and remained active)
Difference 2.11%
Cumulative 1.82%

Part 5, with Billy's pivot help:
IWM -2.39%
XLK -2.00%
Difference 0.39%
Cumulative 2.21%

Part 6, with Billy's pivot help:
IWM -2.93%
XLK -0.20%
Difference 2.73%
Cumulative 4.94%

Pivot only cumulative (Part 2-5) 10.54%

The cumulative difference of all trades is now 4.94% in favor of sector selection.

The cumulative difference of all pivot trades (2-6) is now 10.54% in favor of sector selection.

The difference is starting to become statistically significant -- but this was in a-typical Robot conditions (i.e. a drawdown). We still need to see how it performs in typical conditions, and in short positions as well.

Tim

Timothy Clontz
08-05-2011, 05:48 AM
Since the IWM Robot is in cash, the sector selections are also in cash.

On an anecdotal level, the short sector during this decline would have been XLE, and I see that it did indeed have a significant drop.

But without a Robot signal, I plan to take no action on either XLK or XLE -- not even a squeeze play.

Tim

Timothy Clontz
08-07-2011, 10:36 PM
A possible squeeze play would be long XLK and short XLE, but hedging only really works in a sideways market. Such a play would doubtless lose money simply from the velocity of price movements.

I'll post again here when the IWM Robot gives a new signal. Until then... enjoy the vacation...