tag:blogger.com,1999:blog-2308881368473451342.post7375003777184502022..comments2023-08-03T03:50:28.359-04:00Comments on The Mousetrap: 07/22/2013 sector model updateteclontzhttp://www.blogger.com/profile/08397130086867288340noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-2308881368473451342.post-71805840396800221012013-07-24T13:16:04.474-04:002013-07-24T13:16:04.474-04:00Exactly. The idea didn't work, which clued me...Exactly. The idea didn't work, which clued me into the problem that on one end the sectors reflect value and on the other they represent growth. Underperformance is somewhere in the middle.teclontzhttps://www.blogger.com/profile/08397130086867288340noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-12664155668835522512013-07-24T12:48:42.220-04:002013-07-24T12:48:42.220-04:00I recall earlier commentary to that effect, tho th...I recall earlier commentary to that effect, tho there was something about a possible market neutral strategy with shorting the last position(s).Doron Shermanhttps://www.blogger.com/profile/10909796071792579259noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-65642539225735401762013-07-24T09:28:45.289-04:002013-07-24T09:28:45.289-04:00I've done exhaustive backtesting on these, and...I've done exhaustive backtesting on these, and while there is very little difference between holding the first sector or the first two, it's scrambled beyond that point. The 4th position underperforms the 9th, for instance. There really wouldn't be any benefit.<br /><br />As for the actual performance curves, I've plotted holding 1 sector, 2 sectors, through all 9 sectors, and measured the curves. There's nothing useful past the first two, no matter how I've turned it.teclontzhttps://www.blogger.com/profile/08397130086867288340noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-2772606066278496932013-07-24T09:16:10.571-04:002013-07-24T09:16:10.571-04:00I'd be personally interested in seeing a daily...I'd be personally interested in seeing a daily ranked listing of all XL* components with a number attached to each showing a relative sector number (e.g. on a relative scale of -100 to +100). It can be later used to plot/compare the sector curves.TraderDhttps://www.blogger.com/profile/13061263961430968797noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-80079912004976489122013-07-23T09:50:42.187-04:002013-07-23T09:50:42.187-04:00My apologies for not writing it clearly. I'm ...My apologies for not writing it clearly. I'm considering just listing the one trade I'm holding -- which is XLB. I'm not even bothering with the whipsaws, and probably shouldn't trouble mentioning them!teclontzhttps://www.blogger.com/profile/08397130086867288340noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-2688924732722976472013-07-23T09:41:16.475-04:002013-07-23T09:41:16.475-04:00Sorry Tim, I read this incorrectly as: "It is...Sorry Tim, I read this incorrectly as: "It is now XLB and (barely) XLK... competing on the 2nd place". Pardon :)Doron Shermanhttps://www.blogger.com/profile/10909796071792579259noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-8166130979867177972013-07-23T01:56:10.208-04:002013-07-23T01:56:10.208-04:00No, XLB was in first and XLK at the close. XLE an...No, XLB was in first and XLK at the close. XLE and XLK are whipsawing between second and third place.teclontzhttps://www.blogger.com/profile/08397130086867288340noreply@blogger.comtag:blogger.com,1999:blog-2308881368473451342.post-8519186613524850442013-07-22T23:50:18.406-04:002013-07-22T23:50:18.406-04:00I think you meant XLE (in 2nd place), not XLB (whi...I think you meant XLE (in 2nd place), not XLB (which is 1st place).TraderDhttps://www.blogger.com/profile/13061263961430968797noreply@blogger.com