MARKET SUMMARY

MARKET OVERVIEW

Euro-Area Manufacturing Unexpectedly Revived in October
The euro-area economy may have moved one step away from another contraction. A Purchasing Managers Index for the manufacturing industry unexpectedly rose to 50.7 in October from 50.3, London-based Markit Economics said today.
Eurozone Manufacturing, Services Pick Up Slightly in October  
China flash HSBC PMI edges up in Oct but no indication of turnaround yet  

2013 Performance review

May 25th, 2014 by

I apologize for it taking so long to get this report out. In 2013 our momentum and quantitative models handily out performed or mean reversion models. See the results below.

 

For 2013 the Bond trading model was down -4.4%

For 2013 the Long term asset allocation model was up 4.2%

For 2013 the Optimal momentum model was up 12.1%.

For 2013 the Low correlation ETF model was up 21.7%.

For 2013 the Style ETF model was up 34.5%.

For 2013 the Sector ETF model was up 32.2%.

For 2013 the International ETF model was up 6%.

For 2013 the Value Quant model  was up 137%

For 2013 the Concentrated Value Quant model  was up 82.6%

For 2013 the Micro cap Value Quant model  was up 54.4%

For 2013 the Growth A Quant model  was up 13.1%

For 2013 the Growth B Quant model  was up 27.7%

For 2013 the S&P model was down -12.2%, see a list of trade dates below

For 2013 the NDX model was down -1.6% , see a list of trade dates below

When using the VXZ for longs and VXX for shorts the VIX model was down -8%

In 2013 the Ripe Trade setup made money on 66% of trades and the average trade was down -.73%. For a breakdown of monthly performance see table below.

In 2013 the Sharpe Idea setup made money on 57% of all trades the average trade made .27%. For a breakdown of monthly performance see table below.

 

To receive signals to any of these models see the subscription details here.

 

 

Ripe and Sharpe setup tips

February 26th, 2013 by

Here are some tips on how to manage trading entry and exits for the Ripe Trade and Sharpe Idea setup.

Entries

Ripe Trade and Sharpe Idea setups, enter  long positions on a limit 4% or better below the prior days close. Every day we publish an active spreadsheet which lists a handful of buy and short setups and the respective limit entry price.

If you can watch the screen during the day then monitor the “Setup spreadsheet ” and place a buy or short order at the limit price if the spreadsheet changes color. If you want to anticipate an entry you can place a limit order if the position looks close to entry.  Note the system will enter at the opening price if a stock on the watch list gaps open past the limit price! As an example if the spreadsheet shows that stock XYZ will enter a long position at a limit price of $20.10 but the stock gaps down at the open to $19.30 then the system would buy at the better opening price of $19.3!

If you aren’t able to watch the screen during the day you can simply wait for an email which specifies a buy or short position,  specifies the ticker symbol and entry price.  To make monitoring the watch list much more simple we now have automated email alerts which are sent out at the moment a trade is triggered.  Below is an example of a buy alert email.

 

 Ripe Trade Buy- email

From: <trader@myerevolution.myerevolution.com>
Date: Wed, Feb 20, 2013 at 10:42 AM
Subject: Ripe Trade Buy
To:
AGQ @ 39.24

Exits

Ripe Trade and sharpe Idea positions will exit in one of three ways.

1) Exit at a 30% stop loss.  Simply place a stop loss order after entry.

2) Exit at the close when the 2 day RSI is above 50. Use our RSI calculator here, to determine what price the stock would have to close at for the 2 day RSI to be above 50. As an example if I have a long position in TAHO and need to exit at the close if the 2 day RSI is above 50. I can calculate the closing level with the RSI calculator, which would be a close above 14.28. Below is an image of what the calculator output looks like. With this information I can now place a “LOC”  (limit on close order) to sell the stock TAHO at the closing price only if it is at 14.28 or better. A LOC order is an example of a time in force order which defines the length of time over which an order will continue working before it is canceled. If this order doesn’t get filled at the close it will be canceled. Note at most brokers you will have to place this order at least 15 minutes before the 4pm est close.

  Below is an example of how to place a limit on close buy order.

3) Exit at the 1st profitable open after a 1 day delay. The 1st profitable open with 1 day delay dictates that I hold the position for at least 2 trading days which includes the entry day then exit on the 1st open that is greater than my entry price.  If I enter a position on Monday the earliest I can exit using the “1st profitable open with 1 day delay” is at the open on Wednesday only if the opening price is greater than my buy entry price.  If I enter a position on Friday the earliest I can exit using the “1st profitable open with 1 day delay” is at the open on Tuesday only if the opening price is greater than my buy entry price. For this exit place a “LOO” (Limit on open) order which will exit at the opening price only if it is better then your limit price.

At Interactive brokers instead of a “day” order change the dropdown to an “OPG” – Use OPG to send a limit-on-open (LOO) . A LOO order is an example of a time in force order which defines the length of time over which an order will continue working before it is canceled. If this order doesn’t get filled at the open it will be canceled. The “LOO” order will have to be place before the 9:30 est market open.

Below is an example of how to place a limit on Open buy order.

In summary:

Day 1 enter a position on a limit after you get an alert email . On the entry day you can only exit on a 30% stop loss or at the close “LOC” if the 2 day RSI closes above 50.

Day 2 you can only exit on a 30% stop loss or at the close “LOC” if the 2 day RSI closes above 50.

Day 3 you can exit on a 30% stop loss, at the close “LOC” if the 2 day RSI closes above 50 or at the open “LOO” if it is above the entry price.