Nothing new again today, I was getting a JTS buy signal when SPY was below 140.75 but I make it a rule to ignore intraday signals. (Signals are only valid on the close.) The JT Comp remains 50% long XIV.
Not sure what Monday will look like. If I had to guess, I'd say we are done going down and now it's time to bounce back up to test the 50-day next week. We'll see. I'm still holding a 25% XIV position.
Cheers!
Friday, October 26, 2012
Thursday, October 25, 2012
Staying put.
CCI is a hold signal. JTS is still not interested in going long yet. Therefore the JT Composite remains 50% long and I'm gonna stay safe and just keep holding my 25% long XIV position. (No additional purchases today.) Thanks!!
Wednesday, October 24, 2012
JTS Covers. JT Comp 50% long.
The JTS is covering its short position finally, but will not go long today. The CCI is offering up a fresh buy signal. This combo moves the JT Composite to a half-long/half-cash position using XIV. The VIX futures term structure remains barely in contango. If it flips, I would switch to using TNA for longs and VXX for shorts.
Personally, I don't trust this market right now and I'm keeping my long position on the small side... @ 25%. I'm often wrong, so don't listen to me! :)
Thanks,
J
Personally, I don't trust this market right now and I'm keeping my long position on the small side... @ 25%. I'm often wrong, so don't listen to me! :)
Thanks,
J
Tuesday, October 23, 2012
No changes.
Systems will hold their current positions. That keeps the JT Comp and myself in cash. Contango is no longer strong, but not in backwardation yet. History suggests a good time to buy stocks is when VIX futures slip into backwardation after such a prolonged period in contango. We are not quite there yet.
See you tomorrow.
J
See you tomorrow.
J
Monday, October 22, 2012
Buy if...
The CCI will remain long with a hold signal. The JTS will go long if SPY closes 142.73 or lower. That would place the JT Comp 100% all-in long XIV. Otherwise, the JTS will remain short TNA and the JT Comp will remain sidelined.
If we get a long signal, I will purchase some XIV, but not 100% at this point. Perhaps 50% ish.
Thanks!
If we get a long signal, I will purchase some XIV, but not 100% at this point. Perhaps 50% ish.
Thanks!
Sunday, October 21, 2012
System Update - Profit Curves
Al asked for some up-to-date profit curves. Ask and you shall receive. I ran them back to the beginning of 2012. For curves going back further, please check the "Updates" link above. I used TNA to calculate the curves. Using XIV would've resulted in slightly better returns, but I'm too busy to run those numbers. As I mentioned before, I'll start tracking volatility trades in the official stats next year.
To summarize, the JTS (which is my baby, so to speak) is performing the best. I really see only 2 poor months - April and May - when the market experienced some turbulence. Since the end of May, the system has performed better than I could've hoped. One could argue August was sub-par, but August was extremely boring.
The CCI has had some issues this year, but is still performing admirably. Sustained moves in 1 direction with no mean-reversion will hit this system hard. It thrives in a mean-reversion environment, and did well February through July.
The JT Composite system, which is simply a combination of the 2 above, is what I follow most closely. It reduces risk while offering handsome rewards. With such a nice, relatively smooth rising profit curve, I see no reason to deviate or doubt the system.
Ok, enjoy the evening and I'll see you tomorrow!
-J
(click to enlarge)
To summarize, the JTS (which is my baby, so to speak) is performing the best. I really see only 2 poor months - April and May - when the market experienced some turbulence. Since the end of May, the system has performed better than I could've hoped. One could argue August was sub-par, but August was extremely boring.
The CCI has had some issues this year, but is still performing admirably. Sustained moves in 1 direction with no mean-reversion will hit this system hard. It thrives in a mean-reversion environment, and did well February through July.
The JT Composite system, which is simply a combination of the 2 above, is what I follow most closely. It reduces risk while offering handsome rewards. With such a nice, relatively smooth rising profit curve, I see no reason to deviate or doubt the system.
Ok, enjoy the evening and I'll see you tomorrow!
-J
(click to enlarge)
Saturday, October 20, 2012
Year-end Game Plan
This is mostly for fun, as I still plan on following my Composite signals. But after some various research, this is my best guess for how the rest of the year will play out. I believe the first downside target, before any meaningful bounce, will come around SPX 1400, ie on a 9/6 gap fill.
The ensuing bounce would take us back up to the 50day, which also should coincide with broken support turned resistance. SPX 1430 ish
The next decline would be all the way down to the 200 day moving average at 1380ish. Perhaps occurring sometime in November. The timing I'm not sure of, but the levels I'm fairly confident. Finally, we bounce off the 200 day into year end. But ultimately I believe that rally fails early 2013.
Anyway, those are my thoughts.... feel free to agree/disagree in the comments section. Thanks!
I'll post a chart so we can critique it later on... Enjoy the rest of the weekend. Go Browns!
The ensuing bounce would take us back up to the 50day, which also should coincide with broken support turned resistance. SPX 1430 ish
The next decline would be all the way down to the 200 day moving average at 1380ish. Perhaps occurring sometime in November. The timing I'm not sure of, but the levels I'm fairly confident. Finally, we bounce off the 200 day into year end. But ultimately I believe that rally fails early 2013.
Anyway, those are my thoughts.... feel free to agree/disagree in the comments section. Thanks!
I'll post a chart so we can critique it later on... Enjoy the rest of the weekend. Go Browns!
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