Tuesday, September 4, 2012

JTS sells.

The JT Composite system scales back to 50% long. The JTS moves to cash while the CCI remains long. Thanks.

11 comments:

  1. I forgot to add that I love the way you've set up the Systems Overview. Very clear and easy to follow.

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  2. What happened to XIV today?... only +0.86%, whereas the index it's supposed to track moved 1.83% .... http://www.bloomberg.com/quote/SPVXSP%3aIND

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    1. Since it's a short VIX product, I thought it was a bonus that XIV was positive despite a positive VIX...

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    2. True, but my point was that it was not tracking its underlying -- by quite a bit. The non-correlation I mentioned the other day is continuing. Players of XIV should take note. This means the back-tested analyses' predictive capabilities may start to decouple as well.

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    3. XIV does a good job of tracking its underlying. Here's a good study: http://dontfearthebear.com/2012/07/25/does-xiv-have-significant-tracking-errors/

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  3. With VIX down, XIV is doing some catching up today.

    J, I wonder how an exceedingly simple system such as -- invest in XIV during contango (maybe double during strong contango) and VXX during backwardation (double during strong backwardation) -- would work.

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    1. I'll take a look at that over the next few days. I'll use VXX since there is more data. From what I saw last weekend when I was testing, this would probably be a profitable system, although trades would obviously be few and far between.

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  4. Yes, ths would be a long-term system, but it might be a nice complement to the faster JT Composite.

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