Wednesday, November 28, 2007

Week 48

Short term trend:

Only Nasdaq has shown some signs of recovery.

NQ System (former IMS) & ES system:

Both keep long signals.

Profunds System:

No trends this week. Last week result of Gvpix: 4.1 %

Industry leader:

Oil service

Wednesday, November 21, 2007

Week 47

Short term trend:

All in red. Hope this has been useful to keep you in the right side of the trend.

NQ system (former IMS system) & ES system.
As indicated in the previous post, they are both long (QQQQ & SPY). The NQ system has a drawdown of 4.3%

Profunds system.
Best trend GVPIX.

Industry leader
XAL, airlines.

Sunday, November 18, 2007

Catch up week 46

Being too busy to follow the markets properly but as you can imagine the short term trend is in the red side. Hope that has been of help to you.

You might be surprised, I am, but the NQ system is still in the long side.

I called ES V3 the new system for S&P 500, as it is based in the NQ V3. The profits are not as high as in Nasdaq but still I know many people like to trade SPY. This is the vehicle used. It might be that other vehicles are more profitable, like Mid 400, but haven´t had the time to check it.

The system was short since Sep 28 until Friday 16 (4.8% profit) when switched to long, there you have it: my two mechanical system are in the Long side now. This is the equity curve with a max drawdown of 3.4% that was also the biggest loss this year, but notice that the duration of drawdowns are rather long at least this year. The system is up 31%.

Tuesday, November 06, 2007

Week 45

Short term trend:

Only Nasdaq is barely in the long side:

IMS system = NQ system

Still long in the QQQQ.

Profunds System:

Best trends are Pmpix and Tepix. Results last week:

Industry Leader:

DDX, Disk Drives

Friday, November 02, 2007

IMS system = NQ system

Below you will see the results (3 last real, the rest back tested) of the current version of the system, V 3.0

As I have indicated, I've been focusing in increasing the numbers of trades balanced with the trade fees. The model considers an initial investment enough to buy 100 shares of QQQQ, from them, it reinvests all the proceeds in the next trade. Commission is fixed in $ 9.99 per trade.

The theoretical result YTD is 52.7%. If you follow all the post of the living trades we have posted, you will notice that we've had 4 versions this year (really minor tweaks) and the real result YTD is a mixture of using Profunds (Tepix) and options, around 39%. For this latest version we will be leaving as vehicle only QQQQ shares.

As you know we began this blog more that a year ago, at that moment the system was a trend follower. Looking for reducing draw downs and more trades per month (ideally 4). Slowly the system has been moving to my surprise, into a reversal system and nowadays it does not have any trend following component !.

Due to that fundamental change in the concept of the system and that I am now finishing another model to track other markets (non Nasdaq) based on the same concept, I think the most appropriate is to change the name from now on to NQ system.

So, this is the last picture of the IMS system V3, welcome NQ systemV3:

/* ---( tracking system )---*/