Thursday, January 14, 2010

S&P Daily Trend Models


SPX Daily Trend Following Model 


The latest signal was on November 6th's close @ 1069.  Today the SPX is at 1145, for a gain of 76 points, or about 7.1%.


Below a chart of the SSO, the double-beta S&P ETF:



SSO Daily Trend Following Model


The SSO Model went LONG on November 5th's close at 34.90.  Today SSO is trading at 40.48, for a gain of 5.58 points, or about 16%.

A
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4 comments:

  1. Anonymous10:55 AM

    Hello Allan

    What trading platform / software are you using?

    ReplyDelete
  2. Unknown11:48 AM

    so much for fund decay beyond intra-day....

    great job Allan.

    -Mike

    ReplyDelete
  3. Unknown11:56 AM

    or subjective profit taking...for that matter.

    -Mike

    ReplyDelete
  4. Anonymous4:17 PM

    Allan correct me if I am wrong, but I count at least 6 intraday whipsaws on that chart where one would have went short intraday only to not confirm on the close. You had mentioned that that should be a rare occurence but it seems to be an issue on that chart. Any thoughts on this and if true wouldn't trading the system intraday be counter productive?

    Bert

    ReplyDelete