Timothy Clontz
01-29-2012, 08:27 AM
Condition Bear Market Limit
S&P Target 1020
Small Portfolio IAU & XLF 10.86%
Hedge XLU -1.59%
Position Date Return Days Call
SE 6/27/2011 19.54% 215 Hold
CLH 7/6/2011 21.36% 206 Hold
GCI 7/14/2011 11.83% 198 Hold
CSGS 10/3/2011 29.75% 117 Hold
NLY 10/25/2011 2.50% 95 Hold
DD 10/27/2011 4.88% 93 Hold
KBR 10/27/2011 10.42% 93 Hold
VG 10/27/2011 -29.73% 93 Buy
TTM 11/30/2011 38.95% 59 Hold
BT 1/4/2012 2.58% 24 Hold
S&P Annualized -3.24%
Small Portfolio Annualized 16.38%
Mousetrap Annualized 18.55%
Hedged Annualized 16.15%
A couple of minor changes to make the model easier to read.
The first two lines are the S&P condition and price targets. You’ll note I removed “rally” because the money-flow is favoring bearish (defensive) sectors, with the notable exception of utilities (XLU), which I am shorting on the hedged position. The full “Mousetrap” portfolio is divided in ten equal investments, with VG still in the “Buy” position. Below that are the annualized returns, comparing the Small Portfolio, the Mousetrap, and the Hedged Mousetrap with the S&P.
The basic concept of the portfolios is find the greatest breadth and volume divergences in 9 sectors (for the small portfolio) and 98 industry groups (for the full Mousetrap). The small portfolio invests in one sector ETF and one secular ETF (gold in a secular bear and bonds in a secular bull). The full portfolio selects the stock with the best fundamentals in each of the 10 best industry groups.
The live test began on 5/31/2011, to see if the fundamental filter was synergistic with the technical selections. So far there does appear to be positive synergy, but only for a larger trading account that would not be significantly affected by trading costs.
All three optional portfolios are soundly beating the S&P500, confirming this live test as a successful approach to beating the market.
Now about that market…
The rally is overbought, and we are due for a retracement. That said, the “Bear Market” is EXTREMELY close to changing to a bull market on my models, and could do so as early as this week. In other words, the market should stall but will probably not crash.
This is not a natural market. The U.S. has never experienced this degree of massive intervention from the Fed. No currency as influential as the Euro has ever imploded before. We are wildly outside of anyone’s model, including my own.
May Bernanke have mercy on us all…
Tim
S&P Target 1020
Small Portfolio IAU & XLF 10.86%
Hedge XLU -1.59%
Position Date Return Days Call
SE 6/27/2011 19.54% 215 Hold
CLH 7/6/2011 21.36% 206 Hold
GCI 7/14/2011 11.83% 198 Hold
CSGS 10/3/2011 29.75% 117 Hold
NLY 10/25/2011 2.50% 95 Hold
DD 10/27/2011 4.88% 93 Hold
KBR 10/27/2011 10.42% 93 Hold
VG 10/27/2011 -29.73% 93 Buy
TTM 11/30/2011 38.95% 59 Hold
BT 1/4/2012 2.58% 24 Hold
S&P Annualized -3.24%
Small Portfolio Annualized 16.38%
Mousetrap Annualized 18.55%
Hedged Annualized 16.15%
A couple of minor changes to make the model easier to read.
The first two lines are the S&P condition and price targets. You’ll note I removed “rally” because the money-flow is favoring bearish (defensive) sectors, with the notable exception of utilities (XLU), which I am shorting on the hedged position. The full “Mousetrap” portfolio is divided in ten equal investments, with VG still in the “Buy” position. Below that are the annualized returns, comparing the Small Portfolio, the Mousetrap, and the Hedged Mousetrap with the S&P.
The basic concept of the portfolios is find the greatest breadth and volume divergences in 9 sectors (for the small portfolio) and 98 industry groups (for the full Mousetrap). The small portfolio invests in one sector ETF and one secular ETF (gold in a secular bear and bonds in a secular bull). The full portfolio selects the stock with the best fundamentals in each of the 10 best industry groups.
The live test began on 5/31/2011, to see if the fundamental filter was synergistic with the technical selections. So far there does appear to be positive synergy, but only for a larger trading account that would not be significantly affected by trading costs.
All three optional portfolios are soundly beating the S&P500, confirming this live test as a successful approach to beating the market.
Now about that market…
The rally is overbought, and we are due for a retracement. That said, the “Bear Market” is EXTREMELY close to changing to a bull market on my models, and could do so as early as this week. In other words, the market should stall but will probably not crash.
This is not a natural market. The U.S. has never experienced this degree of massive intervention from the Fed. No currency as influential as the Euro has ever imploded before. We are wildly outside of anyone’s model, including my own.
May Bernanke have mercy on us all…
Tim