Thursday, 6 March 2008

New Combo NASDAQ 100 Setup Bullish, New Heating Oil Setup Bullish for Early April

Just updated my Latest Signals page table with some new trading setups I'm looking forward to trading. First, I took another look at my NASDAQ 100 setup based on the Commitments of Traders reports. (In case you didn't know, these are the little-known government numbers that tell us how the big boys are positioned in the derivatives markets.) I wondered what would happen if I combined the signals for my best setups for the small traders and commercial traders, and sure enough, a great new setup was born. The Sharpe ratio is a pretty swinging 4.1, compound annual ground rate is 27.6 percent, Robust Sharpe is 3.4 and regressed annual return is 27.0 percent. The confidence intervals are on the table. Sweet numbers! That setup has been bullish since the Feb. 5 COTs report.

Also new on that table is my revised setup for heating oil. That one is based on trading in the same direction as the large speculators. They're not always the dumb money, it turns out. The results are also pretty nice. Sharpe 1.8, CAGR 36.4%, Robust Sharpe 2.2 and RAR 43.9%. It works with a six-week trade delay and just flipped to bullish for execution on the open of Monday, April 7. See you back here Friday afternoon with signals from the new data.

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