My system signalled flipping from short to long last night, however, there was no-one to follow it. Still debating what to do today – whether to stay in the wrong position for the day, or to flip at the open, or to put a limit at the yesterday’s close. Ah well, another voluntary donation to Mr Market.
After a long-ish and profitable long position, it’s time to switch gears, expecting a correction. That’s what my system is telling me. Taking this short position in a red-hot bull market doesn’t bring the usual gut discomfort, in other words, my gut feeling is the same. If only Mr Market was that agree-able too …
After a long time out (partially due to vacation, partially due to the system keeping me out) it’s time to get involved on the long side. The markets are a bit nervous, so it’s likely not going to be a smooth ride.:)
The strategy implementation was posted originally on the Systematic Investor Blog. The SPY was up 4.5% in February, and so was my Max-Sharpe capital, but that was due … to a mistake. Looking backwards, it seems that the Max-Sharpe allocation for February should have been something like 58% in IEF (treasuries) and 42% in SPY. I made a mistake somewhere and mis-allocated the portfolio only to make more money. A pleasant way to be wrong.
March is another 100% SPY month (hopefully not by mistake). To be honest – I don’t like this single-instrument months and am looking into improvements. Stay tuned, but until them – I will be using what I have.
It has been more than a year since I decided to give RStudio yet another try (yes, there were previous attempts) and … I can’t live without it today! Nowadays I use it almost 100% of the time when working on R code, but the reason is not just a preference over my favorite editor/environment (vim). In fact, I still like vim much better for editing code. This alone should tell you a lot.
Time to take some time off. Closed all, but the Max-Sharpe positions, which are re-shuffled at the end of each month.
My SPY strategy suffered loses on the way down, but that was not all. Due to the increased volatility, I scaled down the positions (systematic), thus, I couldn’t benefit entirely from the recent rally. All in all, some stress and work for … nothing.:)
According to the SPY strategy, the rally has gone too far – time to take a short. My gut feeling tells me the same, but the last call is always up to Mr Market.
The strategy implementation was posted originally on the Systematic Investor Blog. After losing a bit less than 4% in January, this strategy wants to stay 100% in the SPY for a third month in a row. Sounds weird at first, but it doesn’t take too much digging to realize that the SPY still has the best momentum, the least bad among worse in other words.:)
After the big day today, my system signaled a switch yet again. After my latest updates to the system, two days is just a below the average length for a short trade. Nothing unusual with the swift change of positions, hoping the market agrees with me.