Monday, 14 January 2008

Portfolio Adjustments: Short S&P 500, Longer Nikkei

Just updated my portfolio page with trades as of this morning. I executed the new bearish signal for the S&P 500 for the open this morning using the 200-percent leveraged ProShares Ultra Short S&P 500 Fund (SDS). I also boosted my Japanese equities holding to reflect my new portfolio allocation for my revised Nikkei setup, which is bullish. And I dumped some other long equities holdings in line with my new dataset for the U.S. Composite Equity Index based on my revised equities setups. This index flipped to bearish with the Dec. 18 Commitments of Traders report.

3 comments:

Paris said...

Mr. Alex Roslin,
I am puzzled about the following :
Suppose that I wish to go long in Citigroup for example. Assuming that DJIA signal is bullish, Citi could rise. But on the other hand. assuming S&P500 signal is bearish, Citi could fall. That can be said for all stocks that are members of both the DJIA and the S&P500 index. What stance do you think someone should take on this issue ?
Thank you for your support on the financial markets.
Mr. Paris

Alex Roslin said...

Hi Mr. Paris,

Thanks for your question. I wouldn't want to advise someone else on what stance to take. My own personal approach to the problem would either be not to take a trade on an individual stock when there are conflicting signals of the kind you described - because my edge is diminished whether I go long or short - or to include other tools in helping make the decision - like the price action.

Another possibility is to follow the setup that matches my broader portfolio goals or diversity best.

In any event, the testing I've done gives signals for those two indices, not any individual components. I think further testing of the COTs data would be needed to reveal which specific setup - or perhaps another one altogether - works best for an individual company.

Regards,
Alex

Alex Roslin said...

Hi Mr. Paris,

Another point occurs to me about your interesting question: Citigroup being a financial stock may tend historically to act differently than the S&P 500 or DJIA as a whole. I haven't studied it, but it's certainly something worth looking into. If so, however, this would reinforce the need to research specific COTs setups for financials.

One possibility would be to test the Treasuries COTs data against financials.

Regards,
Alex