Position Date Return Days Call
BKI 5/31/2011 -4.20% 71 Hold
CFI 6/22/2011 -4.97% 49 Hold
SE 6/27/2011 -11.26% 44 Hold
AWR 7/5/2011 -6.24% 36 Hold
CLH 7/6/2011 -11.65% 35 Hold
GCI 7/14/2011 -30.35% 27 Hold
AGO 8/5/2011 -19.93% 5 Buy
DISH 8/10/2011 -2.10% 0 Hold


Mousetrap Return -11.34%
S&P Return -12.41%

Mousetrap Annualized -124.08%
S&P Annualized -135.83%

Annualized Advantage 11.76%


The “Mousetrap” is barely limping along in the almost unprecedented decline in the market. As a long-only model, I suppose outperforming the S&P is good enough…


Timing model.

The good news is that the market decline helped me complete the confirmation testing on my timing model. The bad news is that I couldn’t put the timing model online until it was confirmed “out of sample.” Frankly, I didn’t BELIEVE the timing model, so the most I could do was use it as a hedge. I’ve mentioned on occasion that the sector to short was XLF, and then a few weeks ago I mentioned that the short sector was XLE. But I was not ready to share it until I was finished with the alpha testing.

So, now I have it ready. Only problem is that the market is WAY oversold, and it is not time to time the market until a short reversal from the new trend. The markets typically rally toward their long term moving averages, and then roll over for a final decline.

That would be around 1250.

In any case, the timed model is simple: no stock selection. It’s either long or short a single sector ETF and stays long or short until the business cycle trend changes. We are now in a bear. The short sector is XLE. When we have some kind of rally I’ll activate the selected short and post those changes along with the “Mousetrap”. And, while I’ve BEEN short the energy sector, I covered most of my short positions today.

But I do plan to re-enter the timed trades and share them in real time. I’ll also track the results as I do so, in the same way as the Mousetrap model.

That will leave two models: one timed, and one untimed; something for the long term investors (untimed) and the technical traders (timed).

In the meantime – enjoy the bounce. Len Mansky tells me it isn’t ready yet – but I will not use my timed model long in a bear market. So it’s on hold until the next clear short signal.

Tim