New Robot model ?

[rosum@sympatico.ca]

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

[asomani]

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).

[Pascal]

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).

Here are two return tables (with stats included, but no pivots).
The LT signal is for both linked to the 20DMF.





SPY data is until May 20 (when I did that work). IWM is until yesterday.
Both start in August 2007

Pascal

[Adriano]

Commodities, Treasury, VXX, all good IMHO. If leveraged even better, but liquid. Personally not interested in SPY or QQQ.

[EB]

Another benefit of XOP is it is well diversified. XLE is 30% (approx) Exxon and Chevron alone, so it is likely to be more correlated with large cap indexes.

[Rembert]

XOP seems to be a good overall candidate indeed.
http://www.etfscreen.com/corrsym.php?s=xop

XOP (SPDR Oil & Gas Expl & Prod)
0.65 IWM
0.50 GDX
0.57 Average

[Pascal]

XOP/XLE are correlated by 0.94

XLE and IWM are correlated by 0.66 XLE/GDX: 0.55
XOP/IWM: 0.66 XOP/GDX: 0.50

Since I have all the underlying for XLE, while I still would have to include many small stocks for XOP, since ERX/ERY are 100% correlated to XLE, while DIG/DUG are only 0.94 correlated to XOP,
and finally, since the volume is 4 times higher on XLE...

I believe that I will try to work out the XLE robot.

Pascal

[Rembert]

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.

[Pascal]

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.

Yo are entirely right. I need to work on the underlying and see if the EV patterns can help us get an edge. So for example, I would not know how to work on a VXX or treasuries model. I'd need to start from scratch.

Also for TAN, how many people in our group are really trading TAN?
GDX/IWM are traded by many and have a low correlation.


Pascal

[Rembert]

>>Also for TAN, how many people in our group are really trading TAN?<<

Probably not many. I've never traded TAN myself. But I would start doing so if there'd be a profitable robot for it. I'm also not saying it should be TAN, but my preference if there is to be a new robot is for something that has a low correlation to the existing ETF's. I think it will be difficult to find an ETF that is currently traded by many members and has low correlation to IWM/GDX.

After all, diversification of low correlated but individually profitable systems is the only free lunch there is on wallstreet.