06/23/2012 Mousetrap - two changes

[Timothy Clontz]

On some further analysis, a partially hedged position has a better reward/risk ratio – especially in bear market sector configurations:



I am cancelling my order to cover the XLK short and to buy XLF.

Right now the model has been fully hedged, but in bear market configurations a half hedge is sufficient: approximately 50% of the long positions.

It’s not EXACTLY 50%, but I’m not going to do the math this morning.

I am still planning to exchange PDLI for FCX, as long as they don’t gap away from each other.

[Timothy Clontz]

Sorry for the confusion. There was an error in my formula that was nagging me, and it took a while for me to get to the bottom of it.

Good thing, too, because I was able to fix something else I had thought of.

I'll be following the formula shown by the purple line until the sector configuration is that of a bull market. At that point I'll revert to the gold line. They both have similar long term results, but the purple is best for the faint of heart...

Currently calling for 110% long XLF and 50% short XLK.

On the full model I'll be 100% long the fundamental selections, 10% long XLF, and 50% short XLK.

[Timothy Clontz]

Bought XLV and sold XLF at 9:58am.

[Timothy Clontz]

Back to financials.

I'll still do END OF DAY trades, but no more day trading.