ETF Prophet

Update Last week the portfolio saw an increase by 2.76%. For the coming week a number of stocks will be replaced. TLT did quite well given the bullish stock market environment. I will further reduce my TLT exposure.   Portfolio Profile Stocks (long)  84 % Treasuries   16% About Portfolio Trader Read more about Portfolio [...]

. Price Action [neutral] Volatility continues to decrease on multiple time-frames (F) as the market remains overbought (E). A combination of very low volatility within an overbought market triggers a negative signal (J). .. Seasonality [positive] Seasonality is bullish for week 4 (C/D). . Breadth [negative] Market Breadth (J) is up, though significantly overbought. . [...]

Update Last week the portfolio saw an increase by 0.76%. For the coming week a number of stocks will be replaced. Portfolio Profile Cash  0% Commodities 0% Real Estates 0% Stocks (long)  78 % Stocks  (short)  0% Treasuries   22% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found [...]

Price Action [bullish] Volatility continues to decrease on multiple time-frames (C). The market remains overbought on intermediate-term levels, that can be seen as slightly bullish (B/D/E). The expected opening GAP of more than 0.75% provides a bullish edge especially in current trend and volatility conditions (F-H). . Seasonality [bearish] Seasonality is very bearish for week 3 [...]

Update Last week the portfolio increased by 0.42%. For the coming week a number of stocks will be replaced. Portfolio Profile Cash  0% Commodities 0% Real Estates 0% Stocks (long)  77 % Stocks  (short)  0% Treasuries   23% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found here ( [...]

Update Last week the portfolio saw an increase in equity (1.19%) . For the coming week a number of stocks will be replaced. I’m going to add a third system to the Portfolio Trader initiative – read more about it here. The main reason for adding a third system at this point: reducing risk per [...]

. Price Action [negative] The market remains overbought on intermediate-term levels, that can be seen as slightly bullish. Trendstrength continues to weaken, actually it’s at the lowest level (1.58) since the market bottom March 2009. In such an environment overbought levels are negative due to reversion to the mean. . Seasonality [negative] Seasonality is slightly [...]

Read more about [Weekly 360° view] here. Column A:  average weekly return (benchmark) B: intermediate overbought / oversold conditions (using DVI) C: same criteria as B incl. market trend strength filter (TSI) D: same criteria as B incl. volatility filter E: moving averages: close above MA50 and MA200,  MA50 bellow MA200 F: overbought market DVI > 0.5, market opens [...]

Update Last week the portfolio saw an increase in equity (0.42%) while being hedged for a good part of it. ISRG is going to be sold due to it’s very good run recently. The TAA modell is turning from being most bearish into a slightly less bearish setup by adding IYR  (real estates)  to the [...]

With this post I’m going to close 2011.  Bellow you find a list of the most popular posts. Let me know what you want me to write about in 2012 by sharing your thoughts in the comments section. I want to take the opportunity and wish all readers and fellow traders a happy new year! [...]

Update Last week the portfolio saw an increase in equity (1.74%) while being hedged. The MOM system added past momentum losers to the portfolio. They are going to be sold with a good profit this week. Hence three new stocks will be added ( WFM, STX and NUAN). In case of RIMM I did a Twitter update [...]

Update Last week the portfolio saw a decrease in equity (-2.42%) while SPY lost (-2.93%). TLT trade worked out well by protecting the portfolio. Unfortunately GLD dropped significantly and therefore has to go. The TAA (Tactial Asset Allocation) part of the portfolio is going to turn into the most bearish setup. To it’s already bearish TLT holding [...]

This is going to be a different kind of post. Instead of sharing quantitative research or views on the world of technical analysis we want to ask you to participate. As we are approaching year end it’s time to say thank you for the past years and all the good things that happened to us. Of course [...]

Update Last week the portfolio saw a decrease in equity (-1.23%). For the coming week no change in positions. However capital will be moved from GLD into ERTS. Next weeks portfolio profile: Gold  17% Treasuries   17% Stocks   66% Cash  0% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can [...]

Update Last week the portfolio saw a raising equity (2.7%). For the coming week a number of changes will take place: RIMM, NIHD and BIIB will be replaced with ALXN, ERTS and STX. Next weeks portfolio profile: Gold  28% Treasuries   17% Stocks   52% Cash  3% About Portfolio Trader Read more about Portfolio Trader [...]

Traders seek to find the next BIG think ala Apple, Bidu and co. Often times this desire is founded by the underlying assumption that taking higher risk is rewarded with higher returns. Furthermore many traders believe in an efficient market where as one can outperform the market only by taking above average risk. However this hasn’t been [...]

Update Last week the portfolio saw a decrease in overall portfolio equity (-1.4%) due to severe weakness in major markets (SPY -4.6%). Fortunately TLT protected us somewhat from the overall market weakness. Furthermore some of the stocks (BIIB, ORLY, ALXN) showed resistance and didn’t sink with the overall market.  For the coming week two new [...]

This post is about the impact of survivorship bias on various types of strategies. I want to look at mean-reversion as well as trend-follow strategies to see how their performance gets impacted by using today’s stock index constitution vs. a historical correct definition aka survivorship bias free. Test setup Indices: NDX100, SP100, SP500 All trades are close/close, no [...]