Friday, 19 September 2008

Tidal Wave of New Signals

Wow, just the thing to top off a lunatic week: A whole mess of new signals from my trading setups based on this afternoon's Commitments of Traders data. We've got NASDAQ 100, Russell 2000 and copper going to cash, natural gas now bullish and a new signal for gold. And of course, as my posts earlier today and last Friday mention, my BKX Bank Index signal - which was short this week - also goes bullish for next Monday's open of trading. Check out my latest signals table for all the gory details. Gotta go, so hope you survived this past week, have yourself a relaxing weekend and I'll see you (no, I can't really see you) back here early next week with a portfolio update and some highlights from today's new data on trader positioning in the derivatives markets and what it all might mean.

TAGS: gold, copper, NASDAQ 100, Russell 2000, Treasuries, natural gas, 10-year Treasury, BKX, Bank Index, COT, Commitments of Traders, market timing, trading system development, CFTC, Commodity Futures Trading Commission, COTs Timer, out-of-sample testing, walk-around testing

6 comments:

JAL said...

Alex:

I own SKF as well. What I don't understand is that it's at 99.41 right now (friday eve), but they say you can't buy new shares, only redeem existing ones. If so, why was the price moving up & down throughout friday? Also, if your setup has BKK long for next week, are you selling?

Thanks

Alain

Anonymous said...

Alex,

some remarks about your published XLS file für the S&P:

Additional robustness tests:
- You might want to calculate the %OI-Values on your own instead of using the published ones which only have one digit precision. This shouldn't change much in the end.
- You use the Stddev-Function which calculates with 1/(n-1) internally. Try using the one with 1/n gives different results, especially for small n. When adapting the multiplicator (here: 1.65), comparable results should be achievable.

Finally:
- The setup 2 for the small traders do exact the opposite of what's described in remark 23: =IF(EE273>=1,65;("SELL");IF(EE273<=0,9;("BUY");EF272))

Thanks for your inspiring work

Andreas

Alex Roslin said...

Hi Alain,

Not sure either. Details are a little scarce at this point. Yes, I'm selling SKF this morning and going long.

Regards,
Alex

Anonymous said...

guess the us government would be taking over SKF now by buying its shares and shutting it down? there is no other explanation that i can think of as to why you can sell shares of SKF, but not buy t

Alex Roslin said...

Hi Andreas,

Thanks for your note and suggestions. I'll check that out. The note 23 may have been a little unclear, so I've clarified it now.

Regards,
Alex

Alex Roslin said...

On SKF, Morningstar has an item on how it's going to work:

http://news.morningstar.com/articlenet/article.aspx?id=253823&pgid=rss

Regards,
Alex