Sunday, November 7, 2010

Busy Weekend

I spent a bunch of time this weekend making a minor tweak to the model to incorporate what I'll call a "thrust" component.   In a nutshell, when there is a significant drop in the VIX in a "healthy" market, the model will go with the flow as opposed to selling into it.  This generates fewer sell/short signals (again, only in a "healthy" market) which is generally what one would expect.

That said, even after the tweak, a short signal was generated on Friday afternoon.  This gives me more confidence and I may add to my short position early Monday if we see some strength in the morning.

Good luck all... and go Browns!

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