Monday, December 31, 2012

Holding Longs.

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

Dec signals... 2012 stats coming soon...
Date JT CompositeXIV/TNA or SPXLJ-TraderCCI
Nov 20 18.37/52.16Short
Nov 30 Half-Short TNA 19.22/57.72CoverHold
Dec 3 Half-Short TNAHoldHold
Dec 4 Half-Short TNAHoldHold
Dec 5 Half-Short TNAHoldHold
Dec 6 Half-Short TNAHoldHold
Dec 7 Half-Short TNAHoldHold
Dec 10 Half-Short TNAHoldHold
Dec 11 Short TNA19.61/60.58Short Hold
Dec 12 Short TNAHoldHold
Dec 13 Short TNAHoldHold
Dec 14 Long XIV 18.64/58.32LongLong
Dec 17 Half-Short SPXL 19.29/88.63Sell Short
Dec 18 Short SPXL20.01/91.53Short Short
Dec 19 Short SPXLHoldHold
Dec 20 Short SPXLHoldHold
Dec 21 Cash17.21/88.64HoldLong
Dec 24 Long XIV17.51/62.80LongHold
Dec 25 Closed Merry Christmas !!!
Dec 26 Long XIVHoldHold
Dec 27 Long XIVHoldHold
Dec 28 Long XIVLongHold
Dec 31 Long XIVHoldHold

Friday, December 28, 2012

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.

Thursday, December 27, 2012

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!

Wednesday, December 26, 2012

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!

Monday, December 24, 2012

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.

Friday, December 21, 2012

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

Thursday, December 20, 2012

Hold shorts.

All systems will hold shorts. Thanks!

Wednesday, December 19, 2012

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!

Tuesday, December 18, 2012

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.

Monday, December 17, 2012

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!

Saturday, December 15, 2012

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!

Friday, December 14, 2012

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

Thursday, December 13, 2012

Holding shorts.

All systems will remain short. Thanks!

Wednesday, December 12, 2012

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

Tuesday, December 11, 2012

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

Monday, December 10, 2012

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.

Friday, December 7, 2012

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

Thursday, December 6, 2012

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!

Wednesday, December 5, 2012


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

Tuesday, December 4, 2012

Hold signals.

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

Monday, December 3, 2012

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.