Thursday, September 17, 2009

Gold Digger - Part 3

This is part 3 of the Gold Digger pair setup started on Tuesday. I've expanded (and corrected, Thanks Ty) a sample matrix that can be useful in identifying probabilities for various NEM based pairs.
Tuesday's matrix only profiled DIG as an energy pair mate, so for today I've added XLE and ERX to illustrate a wider range of results possible by using the ultra and triple energy ETFs.

Above is the full profile of the NEW/ERX pair and there are 2 things that I like about this setup.
Remember from yesterday that the optimized lookback for NEM/XLE was 24 and 15 for NEM/DIG.
The NEM/ERX pair returns a lookback of 14, most likely a product of the higher volatility of ERX.
Yesterday I also mentioned the relative clarity of the z-score reversals and, of the 3 energy ETFs, ERX produces superior signals.
Below are the trade reports for the 3 pairs models: NEM/XLE
NEM/DIG below:
NEM/ERX below:

There are some interesting variations between the 3 models (besides the differential net gains and relative drawdowns) and I'll explore some of those tomorrow as the 3 part NEM post now becomes 4 and concludes.


David Varadi said...

looks like a very nice equity curve and a good conceptual pair

good work

jgpietsch said...

Good work BZB, this is a very nice series you have done.