Monday, December 28, 2009

Monday VIXology

The PDQ Dashboard for the VXX generated no new signals as of Thursday's close.
This model is updated daily and new signals will be noted as they emerge.
The big news last week was the VIX's fall below 20 and it's failure to rally back. A quick look at our style box below shows the VIX and VXX both remain downslope . . .VXX at the LR30 mean and VIX, perhaps a bit surprisingly, actually above the mean. Mid panel technicals aren't suggestive of an imminent reversal, even with the major indices clearly in overextended and overbought territory.
The dollar's momentum has rolled over and the MACD is now below the zero line so our decision to hold off on new dollar longs last week was well advised.
The Qs ,on the other hand, had a nice run up last week validating the Lazy Man's signal to Long the QLD on Monday.
The Lazy Man rotation model has some promising features and I'll be exploring a few of these in upcoming posts including an options trading version and TradeStation momentum models based on my previous published 3 finger lead and Happy Trails studies in the QQQQ Dirty Dozen.
My working goal is a reduction of the "weeks to recover" metric down to 3.

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