ETF Prophet

We’re seeing some gains in 2o year bonds via TLT but is this a recovery or a pause before a larger correction?  Here’s one view. Back at the hourly chart of the new market neutral index QQQ is still holding top slot driven almost entirely by APPLE.  In fact, 80 of the NAZ100 are in [...]

Mosaic has a whole new look and feel (it’s been a long time coming) so I thought I’d take a little breather and explore some possibilities for predicting volatility thresholds as part of the evolving PDQ module.  In this case we use the PDQ to look at XIV (the Inverse VIX ETF) vs a variety [...]

It’s one of those days with bonds falling in concert with equities.  The VIX is up moderately but days like this can be head scratchers.  TLT and other bond ETFs are due to go ex-div on Aug 2 but you must be a holder of record on Aug1 to pick up the payout.  You can [...]

This is a followup to Friday’s optimism about the % change band. I refined the concept a bit and here are the results for GE… a system I call the Delta Band.  The performance metrics for TLT are almost identical and initial studies suggest this signal could be a useful swing trading tool, especially if [...]

OK, here’s today’s teaser for Mosaic aficionados.  This is yesterday’s % change chart, only close up.  I’ve laid an S/R band on top of the chart and we see clearly defined reversal thresholds at +/- 1.5% for SPY.  These are really short term trades probably best played close to close for 1 day or maybe [...]

I mentioned a possible new bond paradigm and today’s action helps build my case.  TLT hit 130.61 early today, outpacing the previous June 1 high of 130.38.  And, as suspected TBT has fallen off it’s previous support ledge to a new all time low of 14.46.  What’s important here (I think) is the position of [...]

With TBT breaking below 15 we may be looking at a new bond paradigm and the next few days require close attention for risk savvy traders (and investors). The simple chart above shows yearly data for TLT (shaded area) versus the big 4 equities.  Notice anything different from 03-06 versus 08-11?  Bonds have reacted significantly [...]

The Mosaic Newsletter is going live today at noon.  The site will be open to all readers for about a week before being restricted to members only.  There have been a number of new metrics added in the past few weeks and the biggest addition has been the Situations matrix, which is shown updated as [...]

Following yesterday’s VIXEN post these are the current results of the 3 Finger Lead, which uses momentum signals in QQQ, DIA and XLF to trigger trades in SPY.  The choice of the “3 fingers” was no accident, but the result of hours of trial and error combinations and considerable backtesting.  The code of the original [...]

Some new developments to the VIXEN setup are seen here applied to TLT.  What we are looking for is a multi confirmation of a volatility cross to signal an entry or exit.  The idea of using several overlays simultaneously should have occurred to me years ago when I first start using the VIXEN but even [...]

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

Yesterday I mentioned the Risk Spread chart of the RYDEX Mosaic and today’s we take a quick look at the status of the ETF Mosaic.  A different portfolio with a different market neutral skew and the ETF model appears to be ahead of the RYDEX model in making the zero line turn.  We still need [...]

Another week, another hit to the SPY but our RYDEX workhorse has so far weathered the storm.  I’ve added a line to reflect relative gains over the past 5 days as well as the usual tracking metrics.  Traditional risk management models used by many money managers hold 60% stocks & 40% bonds but using RYDEX [...]

A performance check of the old reliable XLF/TLT pair trade reveals some disturbing discrepancies between trade signals and subsequent price action.The  steady slope of the equity curve that has endured for 6 months has now hit a bumpy patch, with several recent losing trades that did not violate the N day time limit…the risk parameter [...]

The Mosaic newsletter service is coming in June after a prolonged development and refinement process.  I will be posting sample newsletter alerts after the 20th of this month so readers can get a taste for what the deliverables will look like. In response to several queries I’ll note various reasons to consider either an ETF [...]

Here’s a little bit of fun using another approach to day of week momentum.  It’s a simple set up entering the trade on Wednesday’s close if Wednesday’s close is higher than Monday’s and Tuesday’s close.. and then holds for one week.  Designed to pick up the surges, it’s done a very respectable job with only [...]

On Feb 29th I published Mosaic and Dow Theory. This is a follow up to that post adding a Conditional clause to the entry signal that specifies a day of week that signal will fire.  For purposes of this study we’ll just consider the difference between entering the trade of Friday’s close as opposed to [...]

I’ve been working on bigger projects till about a week ago then I got real curious about a trading idea: what happens to S&P 500 next week when commodity currencies are aligned up or down the same day? What happens if I want to reduce the drawdown periods and increase the run-up periods? what happens [...]