ETF Prophet

One of the building blocks of a successful investment portfolio is obviously selection of components that are each robust on their own. When pursuing a market neutral strategy like Mosaic that cannot be  accomplished by combined winners and losers, each component must exhibit positive returns although the mix of components have to also exhibit inverse [...]

Here’s a little study using the Delta Bands to examine EWC vs our study yesterday of FXC.   Note the max consecutive loser numbers.  As a trader I’m always trying to find low risk situations and this set up  looks pretty attractive.  EWC typically responds well to support/resistance systems..much more so than FXC.  The problem with [...]

Here’s a little exercise using the Delta Bands and FXC, the Canadian Dollar. I’m testing the robustness of the system on a variety of securities and this is about par for the course.  Similar results for EEM and TLT plus a gaggle of others.  There’s more noise on the dollar and euro (UUP & FXE) [...]

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 [...]

This is a closer look at the difference in daily % price gain or loss for SPY versus Mosaic and it gives a picture of how the dynamic portfolio controls volatility.  This chart only extends over the last year and, as you might expect, the SPY gets a whole lot wilder as the time frame [...]

As of the first hour of trading it looks like our decision to hold off following the MRSI signal to LONG SPY and QQQ was a smart move.  At the same time the MRSI issued a CLOSE (not SHORT) signal on TLT at yesterday’s close…a signal we did follow.  While a new bullish bond paradigm [...]

The concept of diversification is more nuanced and complex than most people realize. The global financial crisis today highlights serious deficiencies our true understanding of the subject. Multi-asset and large-scale risk allocation is a highly dimensional problem for which there is no closed-form solution. The integration of both qualitative and quantitative considerations are necessary in [...]

The _Gorilla commented on my choice of words to differentiate between the relative attractiveness of the Qs versus SPY and I admit that my concept of “volatility” is perhaps a bit unique.  Volatility is typically defined as the variation in price over time  and in and of itself is inherently neither good or bad…daytraders seek [...]

TBT did break 15 and TLT continues to churn higher.  Short term the TLT Vixen divergent pattern set up on June 5th for a new leg up on TLT, which is where we are today.  It was funny to listen to Bill Gross on CNBC today after the FED minutes were released.  He was asked [...]

Several Mosaic comments related to the apparent concentration of capital into various bond ETFs and questioned the long term stability of such a skew. A good question that deserves a reasoned respond before you dump your money into a market neutral model like Mosaic.  First, my own question. Here’s a look back to late 2007 [...]

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 [...]

This is another view of how the composite VIXEN indicator works with the 3 Finger components.  White line is TLT while the shaded area is the blended VIXEN confirmation signal.  The yellow arrow shows a nice BULL signal for equities back on March 9th and the yellow oval shows the consensus BEAR signal for equities [...]

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 [...]

One of the setups I posted on frequently is the VIXEN, which uses an overlay of the VIX and the focus stock or ETF to identify sweet spot trades.   This version uses TLT as an overlay on XLF to quickly see the super high odds trades.  The beauty of this setup is that is [...]

One of the fun things I do is look at how my various exit and entry signals performed each day.  I’ve mentioned before that the PDQ is almost too good in predicting momentum reversals and that it tends to be psychic a day or 2 in advance of the actual turn.  Such was the case [...]

The Mosaic models are going public next week in conjunction with the Mosaic Solutions Newsletter.  The current plan will bundle the Mosaic M and BQB models signals together with daily PDQ Dashboard updates of GE and TLT. The M model is more of a static portfolio with weekly rebalancing while the BQB model is composed [...]