MDD threadsters,
I have just completed work on a market direction model and would like to post the buys and sells here if there are no objections. The model (to be called crystal ball-"CB") will likely post a trade every 2-6 weeks or so. CB is made up of a combination of fundamental/economic indicators and technical indicators. The fundamental/economic part of the model uses such parameters as money supply growth, fed funds rate, inflation, AAA bond yield, unemployment claims, and market PE ratios. The technical analyis part of the model utilizes various moving averages and their slopes, MACD's, relative strength, Stochastic RSI, NYSE bullish %, OEX trends and deviation from trend measurement.
The market direction calls will not be correct every time, but the model is expected (hoped)to be correct at least 65% of the time. When it is right, the percentage gains on average should substantially exceed the losses when wrong. The end result has lower risk than the Nasdaq and is expected to beat the Nasdaq over the long haul by an average of 10-20% yearly, but this will vary greatly year to year with occasional years of underperformance.
Currently, CB is on a sell signal since January 3rd. After a sell signal, the system sometimes holds, and sometimes goes short with 25% or 50% of capital. Below is a summary of results assuming $100,000 beginning January 1, 2002. I will update this at every buy and sell signal so my results will be out there for all to question, comment on, poke fun at, etc.
January 2nd: buy QQQ at open 39.57......$100,000 in qqq.
January 4: sell qqq at open 41.95.......$106,005 in cash
January 7: short 25% of account at open 42.11.................$79,504 cash, $26,491 short in qqq.
As of open Jan. 7th: CB is up 6.0% vs qqq up 6.4%.
The sell signal occurred even though the fundamental/economic part of the model (which is longer term in nature) is currently still fairly bullish while the technical analyis part of the model is bearish primarily from indicators showing an overbought condition.
Tom |
