Went Short on the S&P 500

This switch to the short side was, as already mentioned, delayed by a day. The shortened sessions and the prevailing holiday mood made me too lazy for anything but a single market-on-close order. Staying in the wrong position was wrong today – ended up with a loss versus a small to decent gain had I traded at almost any other time during the day. Well, nothing new this year – getting most discretionary decisions wrong.

In the Wrong Position on the S&P 500

It happens – was quite busy yesterday (you know, work gets in the way of trading sometimes) and since it was only a day since the long position was opened, I didn’t pay enough attention to the signal and missed to switch to a short at the close. The reason to bring it up here, is that this situation does happen for various valid reasons (outages, software bugs, etc) and one needs to account for it.
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Went Long on the S&P 500

Flipped my position at the today’s close. The SPY short on the open resulted in a small gain, but still, as it’s the case with all “discretionary” decisions this year, taking the positions at the open was wrong – my ARMA strategy “compensated” for the SPY gains.

Went Short on the S&P 500 at the Open

Finally back to trading. According to my system, I should have been short the SPY today. Eager to put a trade (yeah, I have those moments too), I put a limit order to go short the SPY using the yesterday’s close as a limit (in other words, taking the short only at a better price than I would have had at the yesterday’s close). It got filled right at the open. So far so good.

Closing the S&P 500 Short Position

Another losing short trade, and a pretty bad one at that, but it’s also vacation time, so I simply closed my trading positions and am out until I return. With my luck (and one is much better off with some when trading) this year, my strategies are probably going to roar while I am out. Let’s see.

Max-Sharpe Portfolio for November

The original strategy implementation was posted on the Systematic Investor Blog.

The November allocation is 100% EFA (Europe), both for the original strategy and my version. Actually, I am going to be making some changes to my version of the strategy – most likely I will take a step back and get rid of USO. In terms of performance, that’s likely irrelevant short-term (the damage has been done in other words), because of USO’s abysmal performance while it was selected (the first selection is based on momentum, so a bad loser like USO is unlikely to cut it in any time soon).

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Went Long on the S&P 500

Flipped my position at the today’s close, closing yet another losing short trade (even with the recent pull back). For short trades, this has been the norm this year for this system. This short position also happened to be over the ex-dividend date, which means, I had to pay the dividend as well … 🙂

Went Short on the S&P 500

After staying long for a while, and after the run up over the last few day, it’s time to change gears. At least according to my system, which hasn’t been performing well this year. Still, it’s too early to throw it out of the window, and I flipped my position accordingly at the close of the day.