Thursday, February 7, 2013

50% Long XIV

The JTS flips from short to long. The CCI will also exit its short position with a cover signal. However, it's just a cover signal and not a buy...so the JT Comp will move to a 50% long XIV position. I have personally decided this year not to follow partial JT Comp signals so I will be headed to the sidelines. Thanks!

10 comments:

  1. damn. from short to long with a -0.1% pull back.

    this market is too strong

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  2. Well, we finally got my 1502 target from 2 days ago -- " If they can get the SPX down about -9 tomorrow, I'll cover some and then lock in stops on all the remainder. " 1511-9 = 1502, Alex, in case yer tracking.

    Aside from some more O/N plays, there isn't much to swing trade here. So, I'm kinda w/you, J, and not adding much else here. I'm just gonna sit and wait... Mkt is stuck in a funk up here. If the bears can take out the lows from 1/31, then they'll re-own this. Otherwise, the odds are still tilted for the bulls.... but too much risk for me to long up here and the best upside move is behind us.

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  3. J, when you have a chance, could you talk a little about the history of the CCI system. I ask because, as you know, the original JTS had a better year last year (by far) and, so far, is doing a lot better than the CCI. Any thoughts on modifiying or even abandoning the Comp in favor of the JTS?

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    1. CCI thrives in a mean reversion environment. Thanks to the fed, this market has been anything but recently. The liquidity gravy train can't last forever can it? I figure about the time I abandon the CCI, it will start performing again. I'll give it all this year before reverting back to the JTS only. You're right though, We'd've been much better off following the JTS the past year.

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  4. JTS and CCI are both shorting again...

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    1. Good call on the reversal today... couldn't take advantage of it, but I hope the market peaks out today and starts selling...

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  5. FWIW, this TNA/TZA Pair Trading System might be worth a look: http://www.quantf.com/tnatza-pair-trading

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    1. A gain of ~5% over the past 9 mo. doesn't get me too excited. Will keep an eye on it, though. Thanks.

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