Friday, September 25, 2009

NEM Nugget Update

In the course of developing various pair baskets I've made some refinements to the NEM basket components as reflected in the above matrix. I've dropped the SPY and added QQQQ. I've also dropped VTI and added RTH. I've added EWJ outright as a result of my currency pairs study.
Although all the pairs don't comply with my 90% Linearity filter, a closer analysis of the cycles of the lesser performers like SMH, FAS and RTH indicates thay have real value as timing indicator confirmations, so I've included them in the basket although I may not trade them.
Attached are the actual Pairs Analyses for KRE/NEM (above) and EWJ/NEM (below). One of the interesting aspects of these two charts is the proximity of the optimized lookback (N), 30 and 31 days. These are fairly long cycles in comparison with most of those I've profiled in the past but their relative alignment provides a certain comfort level that makes the trade signals quite attractive.

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