LONG
North American stock indexes: 45.6%
Precious metals: 24.4%
Long-dated bonds: 6.6%
SHORT
North American stock indexes: 13.8%
Energy stocks: 13%
CASH
9.8%
Note: Positions as of the close Sept. 5, 2007. Numbers may exceed 100% due to leveraged trades or may not equal 100% due to rounding.
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Here's my portfolio based on my trading system built around the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. I'll update this page as I make trades based on my COTs Timer system or to reflect major changes in the asset values.
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DISCLAIMER
I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.
DISCLAIMER
I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.
4 comments:
Very interesting site you have, and kudos for sharing the information for free. I am curious if you limit your trading to the covered ETF's, or do you apply the warning signals to individual stocks within the industries (ie. gold, copper, etc)?
Hi - thanks for your comment. I haven't studied it against individual stocks, although I have thought that would be an interesting avenue as well. However, my strictly informal observation has been that the further removed the traded security is from the original COTs data, the more volatility there is in the trading results. Thus, my TSX setup is more volatile because it's based on the S&P 500 data.
Regards,
Alex
Hi Alex,
I wanted to know when to trigger a Buy trade with respect to the new signal. For example, the SP500 went bullish last week. If one were to try this trading setup, would that mean executing a Buy trade for a SP500 ETF for example (SPY).
How does this work for example in Gold, your setup points to a new bearinsh signal for gold. Does that mean, if I invest in GLD(for example) its a trigger to Sell GLD ? Or at least not buy any gold till the next bullish signal ?
PS : I do understand the general disclaimer (financial advice and eductional purposes etc).
Thanks for your question. When I get a new signal, I check the trade delay for the setup. This info is on the table at my "Latest Signals" page. If it's "zero," I execute the trade for the following week's open of trading. If it's "one," it would be for a week later, etc.
Regarding the new bearish signal for gold, it would still have been historically profitable and produced market-beating results to be in cash during bearish signals for gold. The results in the "Latest Signals" page are based on going short. More specifics on how all this works are available at my "How It Works" page. Also, check the ETF list at DVTechTalk.com for a complete list of ETFs that can be traded on U.S. and Canadian exchanges, including leveraged and inverse funds.
Regards,
Alex
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