ETF Prophet

In the daily hubbub of trading I sometimes neglect to credit those who have encouraged and inspired my forays into the quant realm  as well as those who have helped me become a better programmer and object oriented researcher.  My old blogging buddy Brett Steenbarger told me.”If you’re the smartest one in your group then [...]

This is an update of current performance of the Mosaic models versus SPY and the RM version is showing its stuff in the midst of our little pullback.  Keep in mind that these values are based on a rolling 1000 day lookback so 4 Yr APR and 2012 targets will change each week as the [...]

As promised Saturday this is the QQQ study using a simple RSI4 support/resistance trading system over the past 16 months.  Note that the setup inputs are revised to 20 and 88 to accommodate the more volatile nature of the Qs versus the SPY.  The system generates a few more trades than the SPY version and [...]

Building on this week’s post by Frank Hassler in which he defined a simple but elegant equity building strategy using weakness in the RSI2 to accumulate positions in SPY I ran additional RSI studies with the goal of identifying short term trading opportunities in SPY using a similar RSI support/resistance approach. And, whereas Frank used [...]

This is a follow up on the earlier XLF/TLT Legacy post.  The z bands got pushed to the outer limits Thursday and ETFR issued a new mid morning trade alert.  This is a narrow range setup with an anticipated excursion of (N Days) = 5.  In the earlier post we saw what happens when the [...]

In conjunction with yesterday’s post this is the short side of the Mosaic 3 Finger setup, where Highest is replaced with Lowest and > is replaced with <.  Perhaps surprisingly, the Reverse model produced similar performance metrics to the Long side model. Given the positive momentum in the SPY since the 2009 crash you might [...]

A few years ago I published a series of TradeStation systems which I called the BZB Dirty Dozen.  I have revived, modified and merged one of those studies with the signal engine that drives Mosaic.  This post reflects the long biased side of the equation and uses the fundamentals of DOW theory to help identify [...]

First..an update of Mosaic’s performance last week relative to SPY.  I’ve added a few metrics to help understand the differentials here along with a Max Drawdown value for each.  Last week was a chance for Mosaic to demonstrate its risk management attributes as the larger indices adopted a skittish behavior at the 13K mark.  Keep [...]

Bonds have been a bit squirrely lately as the financials have surged so here’s a quick look at recent activity one of our most reliable pair trades -  XLF/TLT.  As of today’s close we are flat both positions.  Note the last trade of record…a substantial loser which was easily avoided by simply following the fixed [...]

This is an expanded performance table comparing the incremental moves in Mosaic, Mosaic RM and SPY over the past 12 weeks.  As noted previously Mosaic is engineered to move like a turtle, not a rabbit.  Mosaic also uses no chart analysis. The values in the last 3 columns represent the total gains (1.45 = 145%) [...]

Mosaic Blue details are flushed out a bit more in this week’s update.  Note the portfolio components.  The precise allocation of capital to each position depends on our risk comfort level and this example reflects a balance of commodities, tech and bonds. Similar results can be achieved applying other sector proxies but the robustness of [...]

  This is a new direction for the Mosaic Project that takes market neutral engineering and skews the portfolio components and position sizing to create an upward sloping equity curve.  This positive bias gives the model an increased edge to outperform the SPY and further limits downside risk.  Mosaic Blue requires considerably less option strategizing, [...]

This is a graphic comparison of SPY versus Mosaic versus LT6 (a Mosaic model skewed to the upside). LT6 has a built-in equity curve signal line (MOM21) that determines when to increase or decrease net position size.  Keep in mind that these are NOT rotation models.  The components of LT6 and Mosaic are the same [...]

This is the other side of the Mosaic equation…the hedging ETFs.  Keep in mind that our goal is to create a market neutral position and then collect premium decay and any possible price appreciation while at the same time limiting our downside risk.  Note that VIX is included in our hedging portfolio.  This ETF is [...]

We’re getting some mixed signals on GDX and with the TrendX Z signal reversing to the upside this morning so we closed the open Short position for a modest $98 gain. It’s unusual to see this signal reverse before hitting the lower support line but HEY!, surprises are the name of the game in this [...]

If this looks a lot like the Lazy Man metrics dashboard, that’s because it is.  What I’m trying to do is determine which of my target ETFs display the greatest momentum, strength of trend and relative strength.  I’ve built all the metrics in Worden Bros. Telechart 2011, the mothership of FreeStockCharts.  I can do more [...]