Thursday, January 31, 2013

Hold signals.

Pretty boring day. JTS remains short, CCI remains long. JT Composite will hold tight in cash. I will do the same. Thanks!

Jan bookkeeping...signal archiving...
Date JT Composite... XIV/TNA(SPXL)J-TraderCCI
Dec 24 Long XIV/TNA17.51/62.80Long Long
Jan 2 Cash18.60/69.72HoldShort
Jan 3 CashHoldHold
Jan 4 CashHoldHold
Jan7 CashHoldHold
Jan 8 CashHoldHold
Jan 9 CashHoldHold
Jan 10 Short SPXL 19.53/96.28ShortHold
Jan 11 Short SPXLHoldHold
Jan 14 Half-short SPXL19.91/96.02Cover Hold
Jan 15 Half-short SPXLHoldHold
Jan 16 Half-short SPXLHoldHold
Jan 17 Half-short SPXLHoldHold
Jan 18 Half-short SPXLHoldHold
Jan 21 closed for MLK day...
Jan 22 Short SPXL22.11/100.23Short Hold
Jan 23 Short SPXLHoldHold
Jan 24 Short SPXLHoldHold
Jan 25 Short SPXLHoldHold
Jan 28 Short SPXLHoldHold
Jan 29 Short SPXLHoldHold
Jan 30 Cash21.07/102.21HoldLong
Jan 31 CashHoldHold

Wednesday, January 30, 2013

100% Cash

CCI moves to a long position while JTS remains short. JT Comp moves to all cash and I'm right there with it. Exiting TZA... Thanks!

Tuesday, January 29, 2013

Hold signals.

The JTS and CCI maintain their short positions as the melt up continues. So far I've been spared much damage due to the under-performance of small caps today. With my luck, that won't last... If you're into the market and have a pulse, you already know tomorrow is a FOMC day. This may be the bears' only chance at derailing the rally, if only temporarily. Typically the market performs relatively worse if the day before a Fed day (today) finishes strong. We'll see. I will remain 50% long TZA. Thanks!

Monday, January 28, 2013

Hold signals...And I'm back!

I've watched the market too much today looking for the perfect entry point to short.  (I will not let this become a routine habit.)  I'd much prefer doing something useful with my time. At any rate, I'm back in the game and I'm officially 50% short.   Earlier today I bought a large chunk of TZA, but I don't have the guts to go 100% short right now like the JT Comp.  There's just too much momentum, too much liquidity, and too much positive end of Jan. seasonality.   So, I'm keeping 50% safe in cash.  

Here is my prediction after some serious research the last few days.  The markets are so overbought that I expect a dip this week of 30-40 SPX points. (Let's  target ~1470 at a minimum...)  I also expect that dip to be aggressively bought.  So being nimble will be the name of the game.  If I can get out with a decent profit for my first trade of the year, I'll take it...

Glad to be back!! Take care!

Position: Long TZA 10.98

Friday, January 25, 2013


Nothing new again today. Eventually the market is going to pullback - at least a little. I'm very excited to be getting back in the game Monday! I will not hesitate to go heavily short right off the bat, especially if I can get a good entry. Take care and have a great weekend! J

Thursday, January 24, 2013

Hold shorts.

Nothing new today with the systems. All systems remain 100% short SPXL. Thanks! J

Wednesday, January 23, 2013

Hold: 100% Short.

All systems remain short, in fact the CCI system is issuing a fresh short signal - which is slightly encouraging. As luck would have it, SPXL is unfortunately outperforming TNA today. Take it easy!

Tuesday, January 22, 2013

JTS Shorts. JT Comp 100% Short SPXL

The systems are serving up another 100% JT Comp signal in the form of a short trade on SPXL. I'm out for a few more days (looking forward to coming back!) so I will not be joining anyone on the short side today. I would like to take this trade, fwiw. Thanks, J

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 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

Thursday, January 17, 2013

Holding still.

I thought the JTS was going to short today but it just missed. More upside is a decent bet. JT Comp remains 50% short. Thanks!

Wednesday, January 16, 2013

Hold signals.

We had some plumbing issues today and I got caught up and forgot to post the signals. Fortunately it was another lame day with no changes. JT Comp remains 50% short. Thanks!

Tuesday, January 15, 2013

Hold signals.

JTS remains on the sidelines. CCI remains short and JT Comp stays 50% short. Thanks!

Monday, January 14, 2013

JTS Covers. JT Comp half-short.

JTS heads back to the sidelines after a small win. CCI will remain short. JT Composite scales back to 50% short SPXL. Thanks.

Saturday, January 12, 2013

2012 Trades

As I mentioned previously, here are the all JT Composite trades from 2009-Present in a downloadable XLS spreadsheet. I'll also post my personal account performance graph like I did last year- just for entertainment. (Both items will be added permanently to the 2012 Stats page for future reference).

A terrible January was followed by solid gains the rest of the year.  I feel very fortunate to have overcome such a slow start and finish the year off so well.

And below are all the JT Comp signals.... Thanks!!

Friday, January 11, 2013

Holding shorts.

All systems will remain 100% short. Thanks!

Thursday, January 10, 2013

Final 2012 Stats

The year 2012 saw a couple changes about midway through the year. First, the the CCI system was introduced in May, followed shortly thereafter by the JT Composite System in June.  I don't anticipate any additions this year, as I'm quite happy with how things are going.

As it turns out, adding the CCI system into the mix and creating the JT Composite did not work out so well this year.  Because the CCI underperformed vs. the original system (now known as the JTS) the JT Composite also underperformed. 

Stats will be broken down into 3 mini-sections below.  The first will simply look at 2012 returns for the CCI, JTS, and JT Composite.  I will also include profit curves for each.   In the next section, we'll look at the the 2012 returns for the JT Composite 100% strategy.  Finally, I'll show all-time JT Composite stats dating back to Jan 2009 and how they compare to the all-time 100% strategy. 

2012 CCI Stats
28 winners, 16 losers  -  64% win rate
Avg. Loss: 6.22%
Avg. Win:  4.89%
Profit Factor 1.38

2012 JTS Stats
36 winners, 13 losers  -  73% win rate
Avg. Loss: 3.88%
Avg. Win:  3.58%
Profit Factor 2.56

2012 JT Composite Stats
44 winners, 30 losers  -  60% win rate
Avg. Loss: 2.70%
Avg. Win:  3.14%
Profit Factor 1.70

For the sake of comparison, here are the stats using a 100% strategy, only going long or short when both the JTS and CCI are in agreement.   (Notice, still not as good as JTS.  Interesting...)

2012 100% Strategy JT Composite Stats
27 winners, 13 losers  -  68% win rate
Avg. Loss: 3.44%
Avg. Win:  3.98%
Profit Factor 2.40

Finally, here are the all-time JT Composite stats spanning from early 2009 to 2012.  The JT Comp cannot go back any further b/c the JTS uses TNA in the calculations, which came into existence 4 years ago.  The stats suggest the JT Composite underperformed this year vs. the previous 3 years. 

All-time JT Composite Stats
201 winners, 99 losers  -  67% win rate
Avg. Loss: 4.05%
Avg. Win:  4.57%
Profit Factor 2.29

 Last but not least, the all-time 100% strategy JT Composite system.

All-time 100% Strategy JT Composite Stats
112 winners, 36 losers  -  76% win rate
Avg. Loss: 5.24%
Avg. Win:  5.96%
Profit Factor 3.54

My conclusion (yours may vary) is that the JT Composite is a solid system. However, it can be improved upon by following it only when both the CCI and JTS are in agreement (100% strategy).  This requires that you have the patience to pull this off, as there could be lengthy periods on the sidelines. (I'm training myself for this by taking the month of January off. :)  The other conclusion is that the JTS remains king.  I'm not giving up on the CCI or the JT Composite b/c I know the CCI can perform remarkably.  I've seen it firsthand.  I will put the CCI on a tight leash, though.  If it doesn't perform better this year, I will consider shelving it or minimizing it in JT Comp calculations.  My grand takeaway after looking at this is that I will only be following the 100% strategy this year.  Another option is to simply follow the JTS, but I prefer having the CCI incorporated. 

Thanks for reading. Good luck to us all in 2013!!!  I'll be back in the game Jan 28th.  Take care.

PS- I'll add a couple goodies this weekend including a chart of my 2012 trading and a spreadsheet with all system trades for 2012. 

JTS Shorts. JT Comp 100% short.

The JTS is sensing a good shorting opportunity today.  It will go short on the close, which moves the JT Composite all-in short.  A few things to mention, I would not short TNA this time of year.  Shorting XIV is out also, due to contango.  IMO, it's probably best to short the SPX.  I would be purchasing some SPXU today...   How much SPXU would I purchase?  Not too much.  Liquidity via the Fed's POMO is strong all month meaning if you go short right now you're fighting the fed.  They say don't do that. :)  If I were trading, I'd probably go 40-50% short keeping 50-60% cash.

2012 stats are all done and I should be able to post them this evening.   Heads up for that. 


Wednesday, January 9, 2013


All systems will hold their positions again.  JT Composite remains parked in cash.  Thanks!

Tuesday, January 8, 2013

Hold signals.

Nothing new today.  All systems are generating hold signals.  This keeps the JT Comp sidelined as the JTS remains long and the CCI is still short.


Monday, January 7, 2013

Hold signals.

Hope your weekend went well. All systems are generating hold signals today. The JTS remains long and the CCI short, which keeps the JT Composite sidelined. A comprehensive 2012 Stats post should be ready this week. It will be similar to the 2011 post, complete with profit curves, profit factors, CAGR, etc for the 3 systems. I'll also add more to the 100% Strategy discussion by compiling stats for 2009-2011 using TNA. (I used SPY the first time around.) Finally, something else that was interesting from last Friday. When everything had settled, the JTS was literally 1 penny away from shorting! Thanks! J

Friday, January 4, 2013

JTS remains long! JT Comp 100% cash still.

The JTS remains long after all. With the CCI short, the JT Comp remains planted on the sidelines. Thanks and have a great weekend!!!

JTS - Too close to call.

This happens a few times a year. Rather than guess the close, I will issue the confirmed signal a few mins after the close today. JTS is extremely close to a short signal and I'd rather wait and give the correct signal rather than guess and be wrong. The CCI will remain short, so the 2 options today for the JT Comp are to remain in cash or move to a 100% short SPXL position... kind of an important signal. Look for the update soon. Thanks!

Thursday, January 3, 2013

All systems hold.

It comes as no great surprise given the past 2 tradings days that the market is taking a break today.  Some consolidation here is healthy and almost necessary before the next move (up?).   I was paper trading in my mind earlier today, mentally buying some SPXU at 34.80 with the thought that there was no way we were going to finish green today.  Sure enough (with some credit going to the Fed) SPXU was up over 1.5% since my "purchase", though I see it's retreating some now.   This trading vacation is nice is some ways (ie. zero stress), but missing out on some of the biggest, best action in months these past few days has been a bummer. Looking forward to joining you all later this month.  One thing is for sure, I'll come back refreshed and hungrier than ever.

Anywho, onto the signals, which are offering very little of anything this afternoon.  JTS is holding strong long, the CCI remains short.  So the JT Comp remains parked in cash.  Probably not a bad place to be. 

Take care and I'll see you tomorrow.

Wednesday, January 2, 2013

JT Comp moves to cash.

Wow, what a nice way to start the new year, with a huge winner!  The JTS will remain long today, but the CCI will spoil the fun and go short.  The opposing signals moves the JT Composite system to a 100% cash position.  Personally, I would side with the JTS and expect a little more upside the next few days. But on the other hand, it's hard to imagine it being worth the risk at this point after such a nice gain. Thus, I would be moving to all cash if I were trading this.  I suspect today's big gap will partially (if not completely) get filled over the next few weeks.  Thanks and congrats to all followers.