Correction: A version of this post I put up late Friday said incorrectly that Nikkei goes bearish on Monday. The latest signals table had it correctly. The setup goes to cash. Sorry about the error.
Friday, 11 September 2009
Gold Rally Over? Trouble Also Seen for Nikkei, Bond
Some new signals in my trading setups based on today's Commitments of Traders report. See my newly updated latest signals table for the gruesome details. Don't have much time for a lengthy update, but suffice to say gold bugs will not be pleased! Oops. Nikkei also goes to cash on Monday's open. Plus, an older time-delayed signal puts my 30-Year Treasury Bond setup into the bearish column, too (meaning interest rates expected to rise). Have a good weekend, and be sure to check in early next week for my portfolio update.
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7 comments:
Hi Alex, are we still a bull on the SnP ? Your chart points to this, Im just currious if you can point out to me when you think the SnP bullish data as suggested goes Bearish with respects to the date you go back to cash in the SnP. Whats interesting is OIL makes up a good chunk and the BKK Banking Index will be important because financials represent over 13% of the S&P 500 index. So if OIL/Energy stocks are in retreat and so is the Banking Index.... do we have much upside left. Some say a pullback 15/16/17, then POP on the 18th or so, then down then finish strong into 1st week of OCT
Thanks as always for your feedback
Hello
Love your site, and have been watching it and studying your approach and results, which needless to say have are quite impressive.
One question I don't see any info on is the "portfolio allocation %" Do you have a methodology to come up with those percentages?
Does the percent of your portfolio correspond to the likelihood of success of your backtested signals? Or is it based on other allocation principles that can be studied?
Again, congrats on your success and I continue to learn a great deal from your posts and methodology.
Next week is opex. So that probably distorts things just a little bit as option sellers try to reverse the underlying equity's direction.
Any thoughts on the DXY dollar index?
Hi Joseph,
No sign of problems for SPX in the COT data yet, though as you can see from the latest signals table figures the commercials and small traders are slowly reversing course. On the other hand, that's when the signals make their backtested money.
Regards,
Alex
Hi Anonymous,
Please see the notes to the backtesting results table. The stop under stops and portfolio allocation explains how this is calculated. The stop is based on the average return of the setup in backtesting minus two standard deviations of the results. The portfolio allocation is based on not risking more than one percent of total assets in any single trade.
Regards,
Alex
Hi In Debt...,
Apologies - no. I've got no sense of that data as I don't have any setups worked up around it. Without that prism, the data is not very meaningful to me - or at best, not tradable.
Regards,
Alex
Understood. I'm just stating that to consider your readings in context for the week. All sorts of funny games happen on opex.
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