Pascal/Billy.
Any clues on which new Robot instrument we will get next ?
Trev
Pascal/Billy.
Any clues on which new Robot instrument we will get next ?
Trev
We have been working on a 20DMF based SPY robot.
This Robot produces better returns than the 20DMF, but worst returns than the IWM Robot.
We have decided not to publish this SPY robot for now.
We'll be looking at the QQQ's and/or an energy linked robot.
I wonder what Robot this group would prefer to get.
Pascal
Pascal,
Given the possible monetary defaults and currency debasement that seem to be inevitable it seems to me that the most important service to the community would be Robot that is commidity based.
Mike Scott
Tarzana, CA
Mike Scott
Cloverdale, CA
Mikes idea of a commodity based Robot is a good one. Also a new 3x long/short ETF has just appeared - Direxion Daily Agribusiness Bear 3X (COWS) and Bull 3X (COWL).
For me, any instrument where I can buy a bull/bear 3X ETF is a better choice than not having the ability.
Trev
One robot which IMO would have great value would be a VIX robot.
But I think to build a VIX robot you will completely rethink the internals works of such a robot.
And secondly I can think of a robot for the Treasuries.
Both are great indicators to stock market health and could be a scaffold to the DMF20 model
Ernst
Last edited by ernsttanaka; 06-01-2011 at 08:01 AM.
I'd really like to see a SPY Robot. Are you just shelving it pending more research or do you consider it "off the table" for good?
Thanks,
Bob Atkinson
I would also like to see a SPY robot.
I understand the performance may be worse than the IWM Robot. Possible reasons for this include the general outperformance of small caps than large caps in recent years and the beta of IWM vs SPY (I think the beta of IWM is about 1.18 or so).
Commodities, Treasury, VXX, all good IMHO. If leveraged even better, but liquid. Personally not interested in SPY or QQQ.
While a currency or commodity based robot would be nice. I think Pascal has previously mentioned that it is more difficult (if not impossible) to build a robot on an ETF that doesn't have an underlying basket of stocks. Correct me if I'm wrong on this Pascal.
I'd like to see a robot with a low correlation to the existing robots. If correlation is very high then one might as well just increase position size in existing robots in my oppinion. GDX was a nice complement to IWM in that regard.
Here are some ETF's and their correlation coefficients relative to the existing robot ETF's.
The closer to zero the lower the correlation.
REMX (Market Vectors Rare Earth/Strategic Metals)
0.57 IWM
0.40 GDX
0.48 Average
TAN (Guggenheim Global Solar Energy)
0.43 IWM
0.10 GDX
0.26 Average
XLE (Select Sector SPDR Fund - Energy Select Sector)
0.67 IWM
0.54 GDX
0.60 Average
So based on these numbers I'd like to see a TAN robot.
The correlation info comes from : http://www.etfscreen.com/corrsym.php?s=TAN
You can change the ETF ticker in the url to see the correcation numbers relative to that ETF.