TNA is just IWM x3 and it is rebalanced daily. AFAIK, the model is based on SPY, but the system returns stats are based on TNA. Usually TNA will track SPY since IWM tracks SPY, but sometimes they get out of whack. If you want closer correlation to SPY, try out BGU.
Well I'm sayin we're staying afloat because I guess the small caps are under performing the spy... which means.. when the market finally goes down, tza will probably rise at a larger rate than the market drops (because the small caps are already laggards.)
It is based on both and is specifically designed to trade TNA. For example, it will favor a buy signal when TNA is underperforming vs BGU...which is why we almost had a buy signal yesterday (but didn't because spy and a few other components weren't cooperating.) I always trade tza/tna except when shorting in late Dec and Jan in which case I switch to bgz/bgu.
Bottom line. If you are following my system, your results will be optimized by trading small caps.
Thank you all for bringing this topic up. It was not well explained in my summary on the right hand side of this page. I've updated the fourth paragraph to be more specific and hopefully clear up any confusion.
Algyros, you had asked this questing a few days ago. I will answer it here since this post is more current.
"Do I assume correctly that your system will go 100% long if the market continues to rise? What specific market conditions would then force the system to cover its short or initiate a long?"
My model is not simply a mean-reverting model. It absolutely will go long on strength. It doesn't require a "down" day to switch to a long signal. (It last happened on Jan 12). That said, it does take a rather lengthy list of things for it to happen. The list is complicated and I won't go into it here, but I want to answer your main question...while I can't specifically say whether my system will go 100% long if we continue to go up, it is a definite possibility.
Thanks, J. And to answer your question, no SMC is not nearly as liquid as ES (or NQ).
Which raises another question. If one wanted to trade your system using E-minis, would it make sense to use ES or NQ (the Nadaq E-mini)? In other words, do you have a sense of how closely the system is correlated to SPX or QQQ as opposed to TNA?
I think it's a pretty good trade. You notice the market rallying but TNA isn't really going with it.
ReplyDeleteYes, but remember that the system is based on SPY, not TNA. Any divergence between the two is purely random.
ReplyDeleteHmmm, I don't know...
DeleteSome of his signals have been based on TNA price...
Let's ask J. Is your system based on SPY or TNA price, or both?
ReplyDeleteTNA is just IWM x3 and it is rebalanced daily. AFAIK, the model is based on SPY, but the system returns stats are based on TNA. Usually TNA will track SPY since IWM tracks SPY, but sometimes they get out of whack. If you want closer correlation to SPY, try out BGU.
ReplyDeleteWell I'm sayin we're staying afloat because I guess the small caps are under performing the spy... which means.. when the market finally goes down, tza will probably rise at a larger rate than the market drops (because the small caps are already laggards.)
ReplyDeleteIt is based on both and is specifically designed to trade TNA. For example, it will favor a buy signal when TNA is underperforming vs BGU...which is why we almost had a buy signal yesterday (but didn't because spy and a few other components weren't cooperating.) I always trade tza/tna except when shorting in late Dec and Jan in which case I switch to bgz/bgu.
ReplyDeleteBottom line. If you are following my system, your results will be optimized by trading small caps.
Thank, J. That was a very useful clarification.
ReplyDeleteThank you all for bringing this topic up. It was not well explained in my summary on the right hand side of this page. I've updated the fourth paragraph to be more specific and hopefully clear up any confusion.
ReplyDeleteYou might want to add SMC, the small cap E-mini futures contract to your list of potential instruments to trade your system.
ReplyDeleteHow liquid is that market? Comparable to trading the ES?
DeleteAlgyros, you had asked this questing a few days ago. I will answer it here since this post is more current.
ReplyDelete"Do I assume correctly that your system will go 100% long if the market continues to rise? What specific market conditions would then force the system to cover its short or initiate a long?"
My model is not simply a mean-reverting model. It absolutely will go long on strength. It doesn't require a "down" day to switch to a long signal. (It last happened on Jan 12). That said, it does take a rather lengthy list of things for it to happen. The list is complicated and I won't go into it here, but I want to answer your main question...while I can't specifically say whether my system will go 100% long if we continue to go up, it is a definite possibility.
Thanks, J. And to answer your question, no SMC is not nearly as liquid as ES (or NQ).
ReplyDeleteWhich raises another question. If one wanted to trade your system using E-minis, would it make sense to use ES or NQ (the Nadaq E-mini)? In other words, do you have a sense of how closely the system is correlated to SPX or QQQ as opposed to TNA?
Small caps are the best choice followed by NQ/QQQ. SPY/ES should be a last resort.
Delete