2014 LEV Leader Performance

[Riskslayer]

Hi-

Pascal and I have agreed to start a new thread to track 2014 LEV performance. Here are the results from the first 2 trading day of 2014.






Next, I will post weekly results in a reply.

Shawn

[Riskslayer]

Hi-

Here is the 1st full week of performance and when I started trading a funded acct on this strategy.

Shawn

Mon, Jan 6, 2014:



Tu, Jan 7, 2014:



Wed, Jan 8, 2014:



Th, Jan 9, 2014:



Fri, Jan 10, 2014:



Shawn

[Riskslayer]

Hi-

Here is the 2nd week of 2014 performance.

Shawn

Mon, Jan 13, 2014:



Tu, Jan 14, 2014:



Wed, Jan 15, 2014:



Th, Jan 16, 2014:



Fri, Jan 17, 2014:



Shawn

[Riskslayer]

Hi-

Here is the 3rd week of 2014 performance.

Mon, Jan 20, 2014 (MLK Holiday):

Tu, Jan 21, 2014:



Wed, Jan 22, 2014:



Th, Jan 23, 2014 (computer issues only allowed me to record close-to-close stats):



And, that brings us up to date. We will do daily from here on.

Shawn

[Riskslayer]

Hi-

I wrote less than 2 weeks ago that on Jan 13, 2014, the LEV Leaders suffered a loss of -3.79%, the 3rd largest close-to-close decline since I started recording results May 7, 2013.

In that post I noted, Oct 8, 2013 @ -4.01% was the worst day, and the 2nd worst day was May 22, 2013 @ -3.82%

Well, Jan 24, 2014.. is now in the top spot on the largest single day loss @ -4.36%

In the course of 10 trading days, the largest and 4th largest single day losses occurred. I suspect that a statistical analysis would find such an occurrence perhaps unremarkable, but as a discretionary trader I take note of this.. and, this puts me on guard for further market declines.

This is not an unusual comment considering that Pascal's 20d MF Real-Time system has been on a short signal since Jan 13, 2014.

I wonder whether the onset of the Fed Taper is going to improve the performance of the 20d MF short signals and return the markets to more *normal* conditions for which many of our various tools have been honed, .e.g +10% corrections occurring with more regularity.



Shawn

[Riskslayer]

Hi-

After running the real-world acct on this strategy, I realize the best estimate of performance is to take the open-to-close % from the 1st day, and then close-to-close for the other 4 groups. So, e.g. today, the -2.66% is formed from the average of -2.23% (open-to-close) for the Jan 27, 2014 group, and then close-to-close values from the other Jan 24, Jan 23, Jan 22, and Jan 21 groups because these names were held overnight. If you guys have any Q's let me know.

Results for Mon, Jan 27, 2014:



Shawn

[csayantan]

hi

how will it perform in Nifty or BSE / Nse Stocks?
Any trade history on that?

thx
CS

[Riskslayer]

Hi-

I have not done work on exchanges outside the marketsmith.com database - which is comprised primarily of US names. Note today there are 2 Brazilian companies and an Indonesian ETF as today's LEV leaders- these names are all traded on US exchanges.


Each night, a universe of about 2,400 names are scanned. The universe of stocks was pulled from the marketsmith.com database according to minimum price and volume cut-offs. I do that in April and Nov each year b/c there are new ipo's and mergers that change the composition. I will be doing the April re-creation of the universe of stocks soon.

These names are the highest beta names in the marketsmith database (the top 4 names with 3 month RS +95) that have shown large institutional accumulation over the last 20d (the LEV work).

I traded these names for a couple of months at the beginning of 2014, and suffered rather large drawdowns - the paper results and actual trading results only varied by about 0.07% per day due to slippage, commissions, etc.. So, I consider the paper results to be representative of actual results. At this time, I cannot recommend this methodology as a mechanical trading system. Pascal has suggested an overlay for market direction would improve results, e.g. if the 20d is on a sell, do not go long.

In any event, I find this list of names helpful in my personal trading as a watch list (e.g. it uncovered TSLA early for me) and most particularly, as an early indicator, of market performance - on daily and intraday timeframes. For example, in the first 10-15 min of the trading day, if the LEV leaders are deeply red, its highly likely that its going to be a bad day in the market. We can also see the LEV leader performance has been quite poor for weeks, and now the indexes are cracking.

Thanks,

Shawn

[Riskslayer]

Hi-



Shawn

[csayantan]

hi

What is the basic idea behind LEV Ladder?
How you are taking trade decision using it?

thx
CS