|
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
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?
ReplyDeleteNot 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.
ReplyDeleteMakes sense, it will be interesting to test what the sensitivity of the model to such trade delays and gap size look like.
ReplyDeleteAs a related question, would BAX still be relevant for a trade today if the gap is positive?
No -- BCR edged BAX out yesterday. That doesn't prevent me from going into BAX in the near future. Just not today.
ReplyDeleteIn any case, the BCR trade hit. Made the trade this morning.