Thursday, March 13, 2008
Revised Dow Jones Industrials Setup: Still Bearish
I've slightly revised my Dow Jones industrials trading setup based on the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. These are the reports that detail what large trading firms are doing in the futures and options markets. My new Dow Jones industrials setup is still based on fading the large speculators, but with slightly different parameter values than the previous setup. It still went bearish with the Jan. 29 COTs report. It has slightly lower profit results, a Sharpe ratio of 2.6, which is slightly lower than the old's one score of 2.7, but better confidence intervals for profitability and beating the market. Overall, I think it's more robust. Good luck the rest of this week.