Thursday, December 31, 2009

Retired Lazy Man System

This is an update of my previous Lazy Man's Trading System posted last Thursday.
Knowing that several of my readers are old geezers like myself with IRA accounts they like to trade, I've reconstituted the ETF blend a little bit to avoid any short selling restrictions.
And, I demurred to the Qs in lieu of the QLD to soften the beta a little bit.
Our new rotational model therefore includes just 4 ETFs . . QQQQ, EEM, DBC and SH . . with performance measured against the SPY.
The only issue with SH ( the S&P500 short) is volume, which has only been running about 1M a day. Back in October it was 8M a day, so there's been considerably attrition. Still, SH is a viable trading vehicle with penny spreads.
Most importantly this model only required 13 weeks to recover from drawdowns . . . a number I'm still not happy with as I strive to bring it down to 3 weeks . .which will require a new momentum algorithm as I believe I've reached the performance limits of this particular version.
Jeff has added my Lazy Man model along with his own over at Market Rewind with daily updates so you can now track the models.
For Rewind subscribers the relative momentum values of 190 ETFs are tracked in real time and you can construct you own lazy trading system based on momentum models of your choice.

1 comment:

jgpietsch said...

HI B, crazy day this last day of the year. Here is the link to those models, including your updated one:

http://marketrewind.blogspot.com/2009/12/mrkt-rotation-model.html

Happy New Year, Jeff