Thursday, October 3, 2013

10/3/2013 rotation (take two)


Sector Model
XLK
-0.50%
Large Portfolio
Date
Return
Days
ABX
4/11/2013
-25.02%
175
TTM
5/6/2013
5.94%
150
BTI
7/1/2013
1.61%
94
FAST
7/22/2013
9.51%
73
VAR
8/2/2013
1.58%
62
OUTR
8/19/2013
-16.53%
45
QCOM
9/3/2013
1.25%
30
FLR
9/16/2013
6.96%
17
GCO
9/24/2013
3.10%
9
NEM
9/30/2013
-3.65%
3
(Since 5/31/2011)
S&P
Annualized
9.91%
Sector Model
Annualized
23.09%
Large Portfolio
Annualized
28.33%

 

Rotation: selling FAST; buying BCR.

The negative gap this morning prevented the trade I listed last night.  This will be a second attempt, with a different target.

Tim

 

4 comments:

  1. Since the negative gap isn't a swap criteria that's been tested (although it looks like it can be), would it make sense to provide a list of several tickers (in a ranked order), whereby the highest ranked ticker for which the gap (relative to the swapped out position) is positive, is chosen to be swapped in?

    ReplyDelete
  2. Not necessary. The holding period is an average target. If I'm off by a day or two it doesn't matter. I'm just not chasing prices, that's all. If I chase prices it will throw off my records and lower my returns.

    ReplyDelete
  3. Makes sense, it will be interesting to test what the sensitivity of the model to such trade delays and gap size look like.

    As a related question, would BAX still be relevant for a trade today if the gap is positive?

    ReplyDelete
  4. No -- BCR edged BAX out yesterday. That doesn't prevent me from going into BAX in the near future. Just not today.

    In any case, the BCR trade hit. Made the trade this morning.

    ReplyDelete