Sunday, January 24, 2010

Trend Model Results

My Daily and Weekly SPX Trend Models started out 2010 on the Long side.  The SPX Daily Model flipped Short on January 21st at 1133.36 and the SPX Weekly Model flipped short on January 22nd at 1101.00.  Its too early to measure the profitability of these current signals, but we do have some individual stock results* that are revealing.

The GS Daily Model flipped SHORT on January 11th  at about 172 and GS is currently at about 154 for an unleveraged gain of about 10%




The GOOG Daily Model flipped SHORT on January 6th at about 616 and GOOG is currently at about 550 for an unleveraged gain of about 11%




The AMZN Daily Model flipped SHORT on January 6th at about 134 and AMZN is currently at about 121 for an unleveraged gain of about 10%



*HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING AND MAY NOT BE IMPACTED BY BROKERAGE AND OTHER SLIPPAGE FEES. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

"Hey Allan, what do you mean, 'Since the trades have not actually been executed?'"


Those charts and statistics above are of my Trend Following Trading Models, for which I send out periodic real-time emails to a private list of subscribers for a fee.  I have no control over how subscribers use this information, therefore I am not representing nor do I warranty that these trading models have been, can be,  or are profitable, or will continue to be profitable, or will ever be profitable.  That said, I personally played all three of the above models with options and got outstanding returns.  Go figure.


There is one more week remaining in the $50/month subscription rate. New subscriptions initiated after January 31, 2010 will be $100/month.  All subscriptions initiated in January, 2010 will be grandfathered in at the current rate of $50/month.  Eventually I expect to charge $250/month, maybe more and even then, the subscription service will be a bargain.  Watch me.



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7 comments:

Mike said...

gotta love those weeklys...

gives you time to research new up and comers.

nice call on GS Allan.

-Mike

Anonymous said...

Bank of China to sell up to $5.8 billion in bonds - AP 01/24/10

Conclusion:

1. While near end supply will likely not be as difficult to satisfy, the back-end will face increasing yield pressure in order to stimulate demand. This means that long yields will begin a slow trickle higher to attract the missing demand that currently is unaccounted for. Should this happen, and should the likes of Morgan Stanley be correct in expecting even further steepening, the implications on mortgages will likely be severe. Which is why we are confident that the Fed, which is all too aware that the economic situation is far worse than what is presented in the mainstream media, will expand quantitative easing not only to more MBS purchases (mostly to facilitate yet more reallocation trades), but to direct Treasury purchases once again. In doing so, the Fed will surely short-circuit the market beyond all repair.

2. A practical idea on how to approach this binary outcome, would be the implementation of the kind of barbell trade that has made John Paulson a billionaire: should the Fed announce QE 2, the dollar will plunge, and gold will surge. Due to negative convexity between these two asset classes, we anticipate a non-linear acceleration in the price of GOLD compared to the DXY. Alternatively, should the Fed stay pat and do nothing to prevent the verticalization in the yield curve, the other side of the barbell would be to reward those who would benefit the most from the resultant even greater curve steepness, expressing this with long financial exposure (the more levered, the better). Another levered way to play the increasing curve steepness would be putting on the Julian Robertson-proposed Constant Maturity Swap trade (discussed previously in depth here).

3. Lastly, should the Fed attempt to stimulate an endogenous flight to safety and boost demand for Coupons artificially, we believe, as we have said before, that the FRBNY will certainly implement a stock market crash. The alternatives, an interest rate hike and QE. We believe that while the probability of QE 2 is increasing with every day, the likelihood of a rate raise is negligible, leaving the market crash theory as the wildcard. We will not handicap this outcome and instead let every reader decide for themselves. Nonetheless, as this week demonstrated all too well, once the market gains downward momentum, even the much expected daily offer-lifters may be mysteriously elusive.

Hedge appropriately. full article


Led Zepplin

The Lord then said to Noah, "Go into the ark." ~ Genesis 7:1

Anonymous said...

Re: Allan's service

A bargain by any stretch of the imagination!

Been a fool for lesser things

Lucky
p.s.
Annonymous above may find This interesting

Manuel said...

Hi Allan,

Can I subscribe your Trend Following without going through Paypal? It would be easier for me just use my credit card.
Thanks.

Manuel

Allan said...

Manuel,

PayPal lets you use credit cards. Only other way is to send me a check. Email me at allallan@me.com if that is how you want to do it.

Anonymous said...

Hi Allan,
Just signed up for the service. Glad I got in at the bargain price and looking forward to a quality trend system.

Question on the option plays you made for the shorts on GOOG, etc. How many months out did you purchase the puts? Is it 1-2 months out for daily trend calls and 4-12 months for longer weekly trend calls?

I'm thinking of using options in my 401k in smaller amounts to get the net effect and always have principal at hand due to 3-day trade settling times.

Thanks,
Mike

JD said...

Hey Mike - same question on my mind too for the daily model I am using to trade. I made a rough guess of the model's holding period (roughly up to 2 weeks), and I thought a minimum of 2 months out was about the sweet spot to hold decay at bay.