Sunday, October 10, 2010

Trying something new...

I have a new timing model I'm working on to make the trading in my personal account more systematic and mechanical.  The model first determines the health of the market, then calculates buy and sell signals accordingly.  When the market is "healthy", the model goes into "buy the dip" mode.  When unhealthy, it will short any significant strength.  Backtesting the data has shown some encouraging results.

In general, it will produce anywhere from 1 to 3 signals a week, so by all accounts, this is a short term swing trading model.  However, it appears it can also be used for longer term signals.  When the market turns healthy, go long.  When it becomes unhealthy, sell.  Those signals come much less frequently...only about 5 to 8 times a year.

One thing to note, the system will go short in a healthy market and go long during an unhealthy market. 

I will post here on a daily basis the current status of the model.   See below. 

Current market status:  Healthy
Latest signal:  Sell/Short (generated on the close of 10/8/10)
Previous signal: Long (generated 10/4/10)
System gain/loss between signals (basis SPY): +2.45%

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