Tuesday, November 03, 2009

PDQ Dashboard Update

The Qs Month End Tickler, which bought Friday's close at 41.00 did manage to eke out a gain today, but, being the nervous Nellie that I am, I bailed on the position at 10:55 as the NYAD parabolics fired a SELL at $ 41.40 and booked a nice little weekend gain. According to the system parameters I should have held the position 2 more days but I wasn't comfortable with the deteriorating technicals and one of my guiding mantras is "When in doubt, get out", and I did.
Here's a peek at the status of the PDQ Dashboard per Friday's close as we've made some changes and (hopefully) improvements to the signal line.
#1 . . The pairs sets have revised - NEM has been deleted and UNG will likely follow as the N day cycle is too long and the number of trades is too small. VIX has been replaced with the VXX. The VXX is actually tradeable, with a daily volume around 1.5M and a typical .02-.05 spread. I had been noodling around with an algorithm to convert the VIX into a more in scale contrary indicator but, after a number of metric studies, I'm going with the VXX for the time being.
#2 . . the current Z score column has been augmented with a signal showing the current direction of the z score trend, which should help us determine if the trade triggers are getting more probable or more remote.
#3 . . The Final Signal column now is overseen by 3 programmable risk buffers which can be turned on or off independent of each other. These include a % loss stop, a % trailing stop and the position of the current equity line relative to the R2 slope based on a variable lookback period that coincides with the optimized N lookback period for that unique pair.
#4 . . El Jeffe', our programming guru, has added 2 little heat bars below the data columns to display an original signal momentum and a Final Signal momentum.
Next to come . . . 2 PDQ models - one short term ( N less than 10), and the other longer term.
Also, a breakdown of net P&L for each side of each trade, which will help us see the relative attraction of each pair setup. New PDQs will be limited to 7 pairs including the VXX, which will enable me to run trade date sequencing on an EXCEL tracker, as with the case of the FXY study.

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