Holding Longs.

All systems will remain long. Thanks and Happy New Year! See you Wednesday.

Dec signals... 2012 stats coming soon...

Date	JT Composite	XIV/TNA or SPXL	J-Trader	CCI
Nov 20		18.37/52.16		Short
Nov 30	Half-Short TNA	19.22/57.72	Cover	Hold
Dec 3	Half-Short TNA		Hold	Hold
Dec 4	Half-Short TNA		Hold	Hold
Dec 5	Half-Short TNA		Hold	Hold
Dec 6	Half-Short TNA		Hold	Hold
Dec 7	Half-Short TNA		Hold	Hold
Dec 10	Half-Short TNA		Hold	Hold
Dec 11	Short TNA	19.61/60.58	Short	Hold
Dec 12	Short TNA		Hold	Hold
Dec 13	Short TNA		Hold	Hold
Dec 14	Long XIV	18.64/58.32	Long	Long
Dec 17	Half-Short SPXL	19.29/88.63	Sell	Short
Dec 18	Short SPXL	20.01/91.53	Short	Short
Dec 19	Short SPXL		Hold	Hold
Dec 20	Short SPXL		Hold	Hold
Dec 21	Cash	17.21/88.64	Hold	Long
Dec 24	Long XIV	17.51/62.80	Long	Hold
Dec 25	Closed	Merry	Christmas	!!!
Dec 26	Long XIV		Hold	Hold
Dec 27	Long XIV		Hold	Hold
Dec 28	Long XIV		Long	Hold
Dec 31	Long XIV		Hold	Hold

JTS Strong buy signal.

All systems remain long. In fact, the JTS is giving a strong buy signal. If I was trading, I would be going very long on the close today. Thanks and have a great weekend.

All systems holding long...

The CCI, JTS, and JT Comp all remain 100% long. The JTS remains in healthy mode and not stopped out. The charts I used to figure the stop level didn't factor in the ex-dividend action earlier this month. Stockcharts has it right. Will update it soon. Thanks!

Hold signals.

All systems will remain long. I'm done trading for the year. Going to take a break until sometime in January. I closed my positions this morning for a small loss. This is not because I have no confidence in this long signal, it's just time for my annual trading vacation. I will continue to post signals daily as if I'm still trading. Thanks!

JTS Buys. JT Comp 100% Long

The JT Composite moves to 100% Long XIV or TNA. It's personal choice for which ETF to use. Small caps are favorable this time of year, and volatility futures remain in contango which favors XIV. Personally, I'm buying some of both. :) I will also exit the rest of my SPXU on the close...which is 1pm ET. Have a great Christmas! See you on Wednesday.

JT Comp to cash...

The CCI will go long, but more importantly the JTS will remain short. This is a neutral set-up and sends the JT Comp back to cash officially. Unofficially, I will hold some (not all) of my shorts over the weekend. I will exit some on the close. Thanks and have a good weekend! J

Hold shorts.

All systems will hold shorts. Thanks!

Holding 100% short.

JT Comp will remain 100% short. So far, so good for the JT Comp's latest 100% signal generated yesterday. Looks like shorting large caps rather than smallies was a good move also. TNA has been in positive territory most of the day with SPY down a fair amount. The system is hinting at more downside tomorrow. I will continue to hold my 75% SPXU position. Thanks!

Jt comp 100% short

Jts moves to a short signal to join the CCI. Jt comp moves to 100% short SPXL. I will take a large position in spxu. Thanks.

Correction: JTS Sells & JT Comp goes 50% Short

Correction, the JTS will sell the long position now.  (That's what I get for trying to send out the signal early.)

With the JTS headed back to cash and the CCI system shorting today, this places the JT Composite into a 50% short position.   This reinforces my move to cash.  I'm not shorting today.

Further, since small caps outperform from mid-Dec thru Jan, I forgot to mention I will not be shorting with TNA/TZA anymore until February.  My ETF's to play the short side will be shorting SPXL or buying SPXU.  Just my personal choice...

Again, I'm not shorting today....just headed to cash.   Thanks!

JT Comp back to cash...

First off, hope your weekend went well. Mine was pretty laid back which finally allowed me to produce the weekend post I promised weeks ago. :)

 Looking at the systems, they are opposing each other this afternoon.  The superior JTS will remain long (barely) while the CCI will fire off a short signal.  This set-up sends the JT Composite back to cash.   I would normally be tempted to hold on to some XIV given that the CCI technique when used on XIV is remaining long.  For those that don't know, the actual CCI system is based explicitly on SPY, but the CCI rules can be applied to any stock or ETF to generate signals.  And in this case, the rules are suggesting to ride the long position in XIV.  However, since the JTS is very close to giving a sell signal, tempting as it may be to hold XIV for a number of reasons, I will just go ahead and follow the JT Comp to the sidelines as well.  Hopefully all of that makes sense.  If not, feel free to ask questions.  Thanks!

Weekend study: 100% JT Comp strategy

Ok, this is only a few weeks late. :)

My research was to look at how JT Composite results would compare had one ignored partial signals and waited for 100% signals before placing a trade. Personally, I'm not sure I will ever follow this strategy due to the potential for lengthy stretches on the sidelines, but then again trading for trading's sake is not exactly a prudent strategy either. In order to continue trading partial 50% JT Comp signals, one must believe they still have an edge - and that edge is equal to or greater than the edge provided by the 100% strategy. That, or they may suffer from too little patience. :)

Note: For 2009-2011, I will use SPY for stats.  For 2012, I will switch over to TNA.  Don't ask why, it's just much easier for me! :-D  The conclusion is the same either way...

Original JT Comp stats borrowed from this post are in italics. The new 100% stats are bold.

Results 2009-2011:
Compound Annual Growth Rate (CAGR): 37.10%  ...39.98%

Overall win rate: 175 winners, 87 losers (66.79%) ... 87 winners, 22 losers (79.82%)

Average Trades per year: 75 ...36


Annual return breakdown per year (SPY):
2009: 28% ...38%
2010: 46% ...35%
2011: 56% ...46%

Profit Factor (per year, SPY):
2009: 1.87  ..3.42
2010: 2.78 ...4.46
2011: 2.58 ...4.18

2012 Stats (TNA) updated through 12/14/12
Annual return for 2012: 67% ...74%
Profit Factor: 1.81 ...2.35
Win Rate: 42 winners, 27 losers (61%) ...26 winners, 12 losers (68%)
Trades: 69 ...38

The conclusion that I draw is that following the 100% signals provides similar returns each year, yet reduces risk significantly.  The reduced risk is evident by the superior profit factor, fewer number of trades, and outstanding win-loss ratio.  A potential downside is you would be sitting around a lot twiddling your thumbs, carrying no position for long stretches. On the upside, the win rate is excellent. For SPY 2009-11 it was almost 80%. Hard to beat that... 

For 2012, up until a few weeks ago the annual returns were dead even.  The recent half-short positions have hurt the original JT Comp system, allowing the 100% strategy to move ahead up to 74% for the year.  Profit factor for both strategies is solid, but like previous years better for 100% signals. The one thing to keep in mind (besides the usual shortcoming that I don't have enough back-tested data) is that the 100% strategy assumes you go ALL-IN on the first signal.  This would add a certain amount of stress, and it's the reason I liked the partial positions to begin with.  Of course, you don't have to use all your capital like me following this system (I might question your sanity if you did...)   But it's a pretty good bet that when you see a 100% signal, you can probably go ahead and pull the trigger and/or get aggressive.

Thanks, and I hope this helps!
J

JT Comp flips 100% Long XIV

Both the JTS and CCI systems are going long today. I will ditch all my TZA for a sizable loss (thanks a lot CCI) and move to 50% long XIV and 50% cash, leaving some on the side in case weakness continues into early next week. Thanks, good luck, and have a good weekend. J

Holding shorts.

All systems will remain short. Thanks!

Holding 100% TZA.

All systems remain 100% short. As planned, I took my TZA position to an uncomfortable level earlier this afternoon leaving only a couple hundred bucks in my account not invested in TZA. I couldn't be more pleased with today's late action. Hopefully we see some follow through the next few days. Thanks for hanging in there thus far, and I'll see you tomorrow. J

JTS shorts....

JTS finally makes a move today moving to a strong short position. With CCI already short (as we already know... for the past 2 months it seems) the JT Comp moves to 100% short. I will move to 80% short on the close, but will save some in case we get a sharp pop on FOMC news. If that materializes tomorrow, I will add to my short position on the spike. More info on that tomorrow as it unfolds... Thanks! J

Hold signals.

No changes again today. All models will hold their positions, keeping the JT Comp 50% short. I plan on continuing to hold my current position (TZA) as well. Thanks.

Holding during this snoozefest.

All systems continue to produce hold signals. For 7 days in a row, the closing price range for TNA has been an amazing (or perhaps amazingly boring) 53 cents. Has that ever happened before? This is probably the calm before the storm. A big move may be coming, but beats me what way it will be. I hope it's down, then up. Seasonality might support something like that as it's relatively weak the next 5-7 trading days before turning exceptionally strong around the holiday. Have a great weekend! J

Hold confirmed.

All systems remain on hold today.  I have been and will continue to be pretty busy this week with family.  Hopefully I'll have more time next week.  JT Comp remains 50% short TNA.  Thanks!

Holding.

Nothing new today. All systems are producing hold signals, keeping JT Comp 50% short TNA. I can see a buy signal shaping up for tomorrow on any weakness. We'll see how it goes. Take it easy! J

Hold signals.

All systems will continue to hold their respective positions.  JT Comp remains 50% short. I remain 60% long TZA.  Thanks!

Hold signals.

All systems will maintain the status quo. The jt comp remains 50% short. I did the research just didn't have a chance to post results. Its coming soon. Probably tomorrow. Thanks for your patience.

JTS covers... JT Comp back to 50% short.

Well that was short and sweet. (Actually, not that sweet..) The JT Comp 100% short signal is ending today just as soon as it started. The reason is the JTS is covering its short position today. It's going back to cash, but not going long. The CCI will hold out for more weakness before exiting. Thus, the JT Comp is moving back to 50% TZA and 50% cash position for the weekend. I too will scale back my shorts. I plan on putting together a weekend post featuring a strategy that only triggers on a 100% JT Composite position, and ignores 50% positions. It should be interesting - so heads up for that. Have a good one! J

Archiving Nov Signals...

Date	JT Composite	XIV/TNA	J-Trader	CCI
Oct 24	Half-Long XIV	15.93/56.55	Cash	Long
Nov 1	Half-Short TNA	17.33/59.22	Hold	Short
Nov 2	Half-Short TNA		Hold	Hold
Nov 5	Half-Long XIV	16.57/57.60	Hold	Long
Nov 6	Short TNA	17.14/58.79	Short	Short
Nov 7	Half-Long XIV	15.80/54.47	Cover	Long
Nov 8	Long XIV	15.66/52.23	Long	Hold
Nov 9	Long XIV		Hold	Hold
Nov 12	Long XIV		Hold	Hold
Nov 13	Long XIV		Hold	Hold
Nov 14	Long XIV		Hold	Hold
Nov 15	Long XIV		Hold	Long
Nov 16	Long XIV		Hold	Hold
Nov 19	Cash	18.08/51.82	Sell	Sell
Nov 20	Half-Short TNA	18.37/52.16	Hold	Short
Nov 21	Half-Short TNA		Hold	Hold
Nov 22	Closed	Happy	Turkey	Day!
Nov 23	Half-Short TNA	Half-Day	Hold	Hold
Nov 26	Half-Short TNA		Hold	Hold
Nov 27	Half-Short TNA		Hold	Hold
Nov 28	Half-Short TNA		Hold	Short
Nov 29	Short TNA	19.58/58.11	Short	Hold
Nov 30	Half-Short TNA	19.22/57.72	Cover	Hold

Strong short signal, if...

If SPY closes 141.92 or higher, the JTS will go short on the close. This would finally put the JT Comp all-in short and would be the trigger for me to get even more aggressive. I am ~65% short already as of yesterday, so I will be going 90% short (actually long TZA) if this short signal pans out. According to Overnight Edges, a good chance of a gap down tomorrow. That would be a step in the right direction. Take it easy, and good luck all! J

JT Comp holding but I'm adding shorts...

JTS is holding in cash, but CCI is producing another short signal. The particular trigger for today's short signal is a 1-day negative divergence between SPY and the CCI indicator. That is to say, SPY is higher than yesterday but the CCI is lower. It's pretty risky here, but I'm going to add to my short position with another lot of TZA on the close. Thx and take it easy!

Holding...

I suppose the market action lately can be viewed 2 ways depending on your perspective. We are either consolidating before another move higher, or we are stalling at resistance before heading down again... Flip a coin. I'm 51% sure we're about to see a pullback over the next few days. My systems are holding their current positions. I will continue to follow. Take it easy.

Hold signals.

First off, I finally dumped my AAPL (which was sort of used as a hedge) at 588. It was a 20pt gain but it certainly tested my patience when it was flirting with 500 a few weeks back. I think it will retest that level which is why I sold it. As for the systems, nothing new is popping up today. All systems will hold their current positions, thus I remain 50% short via TZA. Thanks for reading. Hope your weekend went well.

Hold signals.

The CCI will remain short, but the JTS will stay in cash. This keeps the JT Comp (and me) 50% short TNA. Because the JTS is not giving a short signal, I will not add to my TZA. I will continue to hold my AAPL as well. Thanks and have a good weekend!

Hold signals.

Both systems will hold their current positions keeping the JT Comp 50% short TNA and 50% cash. I'm increasing my short position a bit today because when combined with my AAPL position, I'm almost flat (assuming TZA and AAPL move equally in opposite directions, I know - not a great assumption). Anyway, I'm increasing to 50% TZA on the close. I believe Friday is a shortened day, so be on the lookout for an early signal. Thanks and Happy Thanksgiving. I'm thankful for my health and family! God Bless!

CCI Short.

The JT Composite system will move to 50% short TNA today as the CCI fires off a short signal. The JTS will remain cash. Something to watch...the JTS could flip to healthy mode if we close green today, tomorrow, or Friday. This is an intermediate signal that basically means long plays are relatively safe while shorting carries more risk. I use it strictly as a background indicator inside the JTS. It could also serve as a stop loss on a JTS short position, but with no current short position it's moot. I will take a 25% long TZA position on the close and keep my 25% long AAPL (non-system trade) position as well. I will not get serious about shorting until after the holiday. See you tomorrow. Thanks!

Sell.

All systems are selling XIV and will head to the sidelines/cash. Thanks!

UPDATE: To clear up any confusion since I'm not trading TNA when there is contango in the vix futures, I've added XIV's price to the system tracker pane on the left. I'm not fond of the cluttered look, but hopefully we'll all adjust. I've received questions why I'm tracking TNA when I'm not even trading it. Problem solved.

Taking profits.

I try to stick by my rule that dictates I sell a trade if it earns me over 10% in a short amount of time. It's an unwritten rule that prevents me from letting greed take over. So with that, I'm selling all my XIV here. I'll be back with the official signal this afternoon. Thanks and congrats to all system followers.... J

Hold confirmed.

JTS, CCI, and JT Comp will all remain 100% long. Time to forget about the market and enjoy the weekend. Take care.

Holding.

All systems remain long. I'm still not quite interested in adding to my long position yet. It will require a spike in the VIX before I'm ready. The lack of fear seems to be what is missing, which basically means I think we are going lower in the short term. Because of the weakness in the VIX, at least our XIV position is holding up well... See ya tomorrow. J

Hold signals.

All systems will continue to hold their long positions. I will too, but I admit this doesn't look good... Thanks, J.

Holding.

Nothing new today. All systems remain long. Thank goodness for xiv and contango.

All systems holding longs.

The JT Comp will continue to hold the 100% long XIV position.  I have been considering all afternoon whether I should lock in some XIV profits.  This seems like such a nice gift considering the market is barely up, or even down in some cases (small caps).   I've decided against taking profits here, because I've learned over the years that what feels right is usually wrong, and what feels wrong is usually right.  It feels right taking profits here, so I'm going to hold off for at least another day and see what happens.  Therefore, I'll remain 50% long XIV, 25% long AAPL (non-system trade) and 25% cash.

Take care!
J

Hold signals.

All systems hold their long positions.  Judging by the weakness in the VIX there appears to be little fear in this market.  That's a little bothersome considering the damage that has been done the past few days.  I will continue to hold 50% long XIV and 25% long AAPL over the weekend.  See you all Monday. Thanks for reading.

Unhealthy buy signal.

The JTS is giving an unhealthy buy signal.  The CCI system will remain long with a hold signal.  This places the JT Comp 100% long.   I will be adding to my XIV position on the close, taking my long position up to 75%.   Will save the rest in case the market continues to struggle.

Thanks!
J

And back to long...

The CCI system will go long once again - its third flip in as many days.  The JTS, now unhealthy again, will cover the short position and move to cash.  With 1 system long and the other in cash, the JT Composite moves to 50% long XIV.  I'm selling my TZA on the close and purchasing another 33% position in XIV.  I would go 50% XIV today, but I made a decent sized AAPL purchase earlier so I'm already going to be about 50% long between the 2. 

Thanks!  And for those that went short yesterday, congrats on the big win!

J

100% Short!

Despite the JTS flipping to healthy mode today, I am getting a healthy short signal. The CCI is also flipping to short. This places the JT Composite all-in short. Very surprising. I just exited my XIV position for a nice gain. With contango still in place, I will be using TZA rather than VXX. Due to the possibility of a huge move overnight due to election results, I'm starting with a relatively small short position with just 33% of my capital. I will add shorts in the morning if we gap up. Thanks and good luck to us!

JT Comp moves to 50% long XIV.

The CCI is flipping signs, moving from short to long (barely). Meanwhile, the JTS still refuses to make a move and remains in cash. This combo generates a 50% long XIV and 50% cash position for the JT Comp. I will reluctantly follow, but not with 50% of my capital. I will take a 1/3rd long XIV position into tomorrow. Something else to note: if SPY closes green again tomorrow, the JTS will flip back to healthy mode and could result in a buy signal as early as Wednesday. Thanks for reading!

Intraday Update: Cash

Just a quick heads up, I exited my TZA position and I'm back to cash. Will be back around the close with the system signals... Thanks, J

Weekend Post: Targets and Stats

I got excited Friday morning when I saw SPY was going to open right at it's 50 day MA. This combined with that fact that Employment days that gap up big usually finish lower was enough to convince me to purchase more TZA.  I purchased on the open at TZA 15 and turned the computer off for the next few hours as my wife and I left the house to run errands.  Obviously I was pleasantly surprised to come home and see what had transpired.

Even if you didn't add to your short position Fri morning, the JT Comp has you well in the black if you followed the signal Thursday. 

Cobra has posted an interesting stat on his subscriber site.  Out of respect to Cobra, I won't go into details, but I will tell you that there was a set-up that triggered Friday that lead to a higher close the following trading day 18 out of the past 18 times!   A dead cat bounce so to speak.   This may not exactly bode well for our short position.  If one were to get cute (which I probably will) they might exit the short position on any continued weakness Monday morning.  

If (or when) I exit the short position, I will look to re-enter TZA (hopefully at a better price) for the next dip which I expect will take us to the 200 day at 1380.  That is the plan.  I am guessing any bounce Monday will be shorted by the JTS.  We'll see.  Here's an update of the chart I posted 10/20.

Stats have been posted through Friday Nov 2nd.  All systems made between 5-7% in October and all but the JTS are off to a great start this month.  

That's it, thanks for reading and enjoy the rest of the weekend. See you Monday.
J

Holding shorts.

The JTS will remain cash but the CCI is staying short. The jt comp is 50% short over the weekend. I am now 75% as I purchased some more tza on the open. I did this simply because the SPX hit my predetermined target...1434. Thanks and have a great weekend!

CCI Short. JT Comp 50% short.

JTS is close to a short signal, but not quite.  It will remain cash.  CCI however will flip from long to short today.  This places the JT Comp 50% short TNA. 

As many of you know, CCI rules can be used on any stock or ETF.  It's comforting to see a solid buy signal today on TZA.

I'm moving to a 50% long TZA position while selling my XIV for a nice profit.  My cautious 25% position turned out to be the wrong move.  Remind me in the future when I'm feeling cautious to ignore my feelings. ;) 

If you followed the XIV trade, congrats!!!!  And good luck on the new short trade.  See you tomorrow.

Holding.

After waiting 4 days, there is nothing new to report with my systems. They are all producing hold signals.  Hope all is going well with you post-Sandy.

I was considering an AAPL purchase, due to a few reasons, mainly b/c it was bouncing off its 200 day.  I don't have much time to post stats, but after having been above the 200 all year, the first test is statistically bullish.  I'm counting on a 5-10% move to the upside in the next few weeks, but I'm not ready to buy any today.

I remain 25% long XIV.  See you tomorrow. Thanks!

Oct Signals

Date	JT Composite	TNA	J-Trader	CCI
Sep 25		62.29		Long
Sep 28	Cash	62.95	Short
Oct 1	Cash	62.15	Cover	Sell
Oct 2	Half-Long	62.31	Long	Hold
Oct 3	Cash	61.93	Hold	Short
Oct 4	Cash		Hold	Short
Oct 5	Cash		Hold	Hold
Oct 8	Cash		Hold	Hold
Oct 9	Long	59.61	Long	Long
Oct 10	Long		Hold	Hold
Oct 11	Long		Hold	Hold
Oct 12	Half-Long	58.46	Hold	Sell
Oct 15	Cash	59.70	Sell	Hold
Oct 16	Half-Short	61.05	Hold	Short
Oct 17	Short	62.67	Short	Short
Oct 18	Short		Hold	Hold
Oct 19	Cash	57.87	Hold	Long
Oct 22	Cash		Hold	Hold
Oct 23	Cash		Hold	Hold
Oct 24	Half-Long	56.55	Cover	Long
Oct 25	Half-Long		Hold	Hold
Oct 26	Half-Long		Hold	Hold
Oct 29	Half-Long	Closed	Hold	Hold
Oct 30	Half-Long	Closed	Hold	Hold
Oct 31	Half-Long		Hold	Hold