Combo-MF Position Sizing

[manucastle]

Thanks for publishing this table: I did not take the time to do it myself, as I have been busy with the RT system.
This table makes sense.

If you want to trade only some signals of each XLX, I believe that it is important to dig a few more data:


1. On the signal correlation

XLX are all part of the S&P500 group, which means that they are probably highly correlated. How correlated are for example the Bought Oversold signals of each component? Is it interesting to trade them all, to concentrate on the first three signals for example or to trade the most volatile of the these XLX.

2. On the XLX and 20DMF Correlation

Each XLX model is based on the weighted MF of each stock that is included into the XLX component. The model is somewhat different from the 20DMF, which is mainly a sector based model.

It could be interesting to see if for each component, the Bought OS or Shorted OB signals are issued concurrently, earlier or later than the 20DMF signal. Is it then better to wait for a 20DMF confirmation signal or to already invest some money in the XLX, before having a market confirmation?


3. On the XLX and your combo Correlation

You can do the same work with your own combo strategy.

A comment on GDX

On a final note, we can see that GDX EOD is performing poorly for Buy/Short signals. This is due to the whipsawing character of the ETF on an EOD base. The RT signal works much better, especially combined to the LT/ST edge calculation for each trade.

Thank you for your work.



Pascal

Just to be absolutely certain Pascal, from the recent work carried out by PdP and you, are we to disgerard the Robot's EOD GDX signals going forward and only use the RT signals when available ?


Thanks in advance.

Trev

[pdp-brugge]

As my new back tests are showing now, I will be using 5 of the 9 sub-components of the S&P sectors: XLB, XLF, XLI, XLK & XLY besides my Combo-MF.
Finding valid ETFs for these sub-components is easy except for XLY. XLY is the Consumer Discretionary Select Sector SPDR Fund. Stock-Encyclopedia.com gives UGE and UCC as double ETFs for respectively Consumer Goods and Consumer Services. I am a bit puzzled which one to choose: UGE or UCC

Can anyone advice?

PdP

[lisa]

pdp,

pascal, paul duncan, or someone else could probably advise better, but it looks to me like the composition of UCC http://finance.yahoo.com/q/hl?s=UCC+Holdings is more similar to XLY http://finance.yahoo.com/q/hl?s=XLY+Holdings than UGE http://finance.yahoo.com/q/hl?s=UGE+Holdings

lisa

[pdp-brugge]

Lisa,

Thanks for the reply. Indeed, UCC looks better in terms of composition. I will use UCC for my back-tests.
I hope to report my progress soon.

PdP

[pdp-brugge]

UCC is not so good to trade. Certain days, there is no volume at all. I think that the quotes for UCC that I get from Reuters (I use MetaStock EOD) are not reliable for UCC.
For the XLY model, I will use the single ETF XLY for my back tests.

[manucastle]

Just to be absolutely certain Pascal, from the recent work carried out by PdP and you, are we to disgerard the Robot's EOD GDX signals going forward and only use the RT signals when available ?


Thanks in advance.

Trev

Pascal,

Did you miss this question ?

Trev

[Pascal]

Pascal,

Did you miss this question ?

Trev

Yes indeed! I had missed it!

My previous work has shown that the RT signals are better than EOD, especially when combined to LT/ST edge calculations.

This recent works show that if you take EOD signals, better trade the extreme signals (Buy Oversold or Short Overbought.) These signals lead to good return.

So, in conclusion, I believe that it is best to trade RT extreme signals (BOS and SOB)


Pascal

[manucastle]

Yes indeed! I had missed it!

My previous work has shown that the RT signals are better than EOD, especially when combined to LT/ST edge calculations.

This recent works show that if you take EOD signals, better trade the extreme signals (Buy Oversold or Short Overbought.) These signals lead to good return.

So, in conclusion, I believe that it is best to trade RT extreme signals (BOS and SOB)


Pascal

Thanks Pascal.

Trev