Friday, January 18, 2013
No changes.
The JTS continues to see too much risk in either direction, so it remains sidelined. CCI will hold the short position in hopes of some mean reversion. Time will tell how that works out...so far, not so good. The JT Comp remains 50% short SPXL.
Markets are closed Monday so I'll see ya back here Tuesday. Have a great extended weekend.
J
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Thanks. Let's consider ourselves lucky we're not shorting XIV.
ReplyDeleteAmen, Marco. Good weekend plus one all.
ReplyDeletethanks
ReplyDeleteNice... as I said yesterday... NQ was the place to short. Today, NDX is the only red index out there.
ReplyDeleteMonday has good odds of being a nice down day... fwiw.
Dabbling in shorting FAS, too....
Obviously, I meant "the next trading day", wise guys.... which is Tuesday. But the futures mkts will still be open, in fact they're open now, and moving alright for trading.
DeleteDid you guys see the VIX today?....sheeze....
ReplyDeleteI finally get to disagree with JKH. In my opinion, Monday has absolutely no chance, zero, of being a down day.
ReplyDeleteLol Algyros I'll put my money on your call here!
ReplyDeleteWe're learning the hard way to disregard the trend at one's own risk. This market just wants to go up, period. So I don't know why 40% of my total portfolio (about 50% of my trading portfolio) is betting against that, via TZA, from $11.93.
ReplyDeleteI think Monday is a neutral day. ie. US markets are closed on Monday. :)
ReplyDeleteDavid,
ReplyDeleteIf you just trade the 100% JT Comp, you wouldn't be disregarding the trend, at least not now.
Algyros,
ReplyDeleteThe trend is UP. IMHO, to be on the sidelines is to disregard the trend. FWIW, 40% of my total portfolio is short, 55% long, 5% cash. Pretty close to the JT Comp system, I reckon.
David,
ReplyDeleteI personally agree with you that the trend is up. But my "calls" didn't make almost 80% last year. Unless yours did, I suggest that perhaps the smartest path is to follow J's signals.
One more thing: it costs a lot less in transaction and borrowing fees to simply be flat that to be simultaneously long and short (albeit with a slight long bias).
Alex
Alex,
ReplyDeleteThanks for Your tips. However, I'm sure J-Trader would discourage us from expecting consecutive 80% annual returns. Regarding transaction fees, it should be noted that only 40% of my portfolio is devoted to active (swing) trading. The remainder will be held indefinitely, minimizing trading fees. And, FWIW, my TZA buy price was lower than at the signal, providing a slightly better profit potential (or smaller loss).
David,
ReplyDeleteGood points. But to be clear, I wasn't suggesting that we should expect J's systems to make 80% this or any year. I was simply referring to the difference between what his systems made and what my calls would have made. I fear that that difference will persist over time, and, perhaps, get large. And, I urge other readers to make a similar analysis to see if their own calls offer then an edge.
J, have you given any thought to using ZIV instead of XIV with your models? The following article makes a compelling case for ZIV: http://vixandmore.blogspot.com/.
ReplyDeleteI have not, but I will look into it. Thanks.
DeleteMkts are opening up... made some good coin on the futures last night.
ReplyDeleteAs for the 80%... it's all about consistency and risk/reward. That's how you survive and bet the "pro's".
XIV up 29.52% YTD. But whoever bet his entire portfolio on the pro-beating J-Trader not only did not gain 29.52% YTD, but bought the inverse and lost a bunch . We all admire J-Trader's track record, and I rush to his defense: let's not expect him to know the unknowable. Many of us agree: the market, by all logic, and by most indicators, should be going DOWN. But the actual, real, current trend has been UP. The market is sovereign (or, as some might say, sovereignly controlled by unseen powers). This is can be lots of fun, especially when not losing too much money. Especially when lots of sheeple don't depend on you for infallible signals. Consistent reward to all.
ReplyDeleteDavid,
ReplyDeleteSPY is up 4.2% ytd. That's a much more reasonable barometer of market behavior than XIV, which has benefited from the behavior of VIX. As you know, volatility is, well, very volatile. As a result, it's not that easy to trade, but it's very easy to trade it poorly and lose a ton of money.
As for trends, they're not so easy to identify either, except in retrospect. But, if you think that you can, you should certainly forsake J and bet big on trend behavior. As I said, I'm spectacular at calling the market looking back; looking forward, not so good. So, I rely on systems that have verifiable results during long periods of varying market behavior (notice, I didn't say backtests). A good call now and then (for example, I have been long XIV for quite a while in one of my accounts, but that's just good luck and I take no credit for it) is of no interest to me; what I want to see is consistent results in different market environments. And, as JKH says, I want a good risk/reward ratio.
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ReplyDeleteXIV is J-Trader's choice, not mine, for the system's long signal (see left side), along with TNA and SPXL; thus, IMHO a most legitimate benchmark for our conversation. The other two would be valid as well.
ReplyDeleteNot really, David. A few weeks of trading is meaningless, sheer noise. You need a longer time frame to make meaningful inferences.
ReplyDeleteFor example, XIV beat J by a lot in 2012 (up 156.8), but had a horrible maximum DD (39%). But, in 2011, it was down 45.5% with a max DD of 58.91.
My point is to make comparisons that mean something, you have to compare longer time frames than just a few weeks and risk versus reward. Up 29.52 ytd sounds good; a drawdown of 58.91 would be hard for anyone to swallow. A comparison of these returns with those of J's systems' during 2011 and 2012 is what you need, and, see this way, it's clear what the better choice is.
Whatever. It's hard to communicate when the other party can't stay on topic and prefers straw-man arguments. Maybe because the market has taken off this year, while a system has kept lemmings in cash, then TZA. In any event, best regards. May low risk & high rewards be yours and ours.
ReplyDeleteCommunication is indeed a rare and delicate thing that should be prized because it is so easily lost.
ReplyDelete