Monday, January 04, 2010

TZA Daily

TZA Daily Model

Still on it's December 4, 2009 SELL SIGNAL, this impressive Model is already up 7.7% in 2010.   Instead of being overwhlemed with every short-term twist of the markets, using a Daily Model for a highly leveraged instrument like TZA can be a refreshingly rewarding experience. 

The thresolds for a reversing BUY on this Model are rising as the market soars higher today.  One of these days it will kick in. 



Anonymous said...

No I'm not a perv, but these beautiful charts are giving me a woody!

Perhaps we should all pitch in and get a BODYGUARD for Allan as part of our fee.

I'm sure GS, JPM, D. Gartman types and all the investment newsletters on the planet are green with

Question: Allan what are your chart clock settings? Reg. market hours or pre and post?

Anonymous said...

I believe there is an important flaw in how you are presenting the historical daily signals. I will explain by example. Lets assume the system is currently short TZA and the trigger buy signal is $10. TZA closes the day at $9.20. The next morning, TZA gaps up to 10. The system is now triggered long at $10,since you said the result assume entry at the time of the trigger. The market then proceeds to go down and closes the day at $9.00. Because there was no close above the trigger, I don't believe this trade would be shown in your results. So here we have a signal that was not confirmed because the close wasn't above $10. The system would actually still be short and would haved added to its profit on the short side. However the user would be sitting with a loss from the trade entered on the long trigger and would have to get back short at a lower level. If however the trade would have closed say at $10.50 then it would be shown with a profit. Please tell me if this is incorrect as it is crucial to know before the system is traded.


Anonymous said...

I have the similar doubt as Kyle, and I tried to use Amiborker to do backtesting using ATR, the result is not impressive, in fact on a loss for most of the stocks, though the chart gives similar trigger point. Maybe I missed something important here

A said...

Re: Doubts

Just got back to the computer after running errands all day, but wanted to address this briefly now and at length later.

First, the scenario described above has been rare, not enough to effect results. As such, its a non-issue. Yes, chit happens, as it does with every system, as it will with this system. Longer term, its an effective trading system.

Second, in this market this system is working great. How long until it doesn't? Who knows? I expect this year to be highly volatile, and a huge new trend to emerge. There is no better way to ensure being on the right side of that trend then in a true trend following system like this one.

Third, a beer is in order. It's been a long day.


Anonymous said...

Thanks for addressing my question. I agree with you that this system will exploit a persistant trend and it seems to catch the minor trends as well. Have you run the backtest for an entry at market close if the instrument is trading above/below trigger say at 3:59pm? This would be a true test I believe of the daily signals.


A said...


A reader ran that test, sent me his results. Then I ran my own backtest to confirm it. The results were that where I show a 645% return, the test using actual closing prices generated a 318% return.

The bad news is that the 12 month return was cut in half. The good news is that the 12 month return was still over 300%.

Remember my trader's mantra?

Find something to trade. Then trade it.

This is one of the best looking trading systems I have ever come across. There are a few reasons to be skeptical, but there are 645 reasons to trade it (or 318 reasons, if you wait for the close.)