Wednesday, December 02, 2009

XLE PDQ Dashboard

Here's a quick look at the XLE dashboard, strongly suggesting that XLE still has room to run short term.
The 3 filtered long signals are brand new and all are based on 10-13 N day cycles.
Both the EWJ and EWH XLE pairs are showing 'AP" equity curve status, reflective of the highest probability signals while the EWC appears to be the most questionable Long signal as it is supported only by a neutral "BF" equity curve and a marginal linearity correlation.
Note that the EWZ and NEM have attained "BD" status and are likely candidates to be removed from the PDQ. In the same manner EWZ and EWC have suffered significant hits to their XLE correlation and have fallen to low 60% values....declines large enough to warrant their removal from the dashboard/
I'll be keeping a close eye on how his trade plays out as it represents a 2 week cycle that was just Monday.
The XLE is a bit unique in that the PDQ components comprise both a short 4-5 N day and longer term 10-14 N day target cycle and as part of the ongoing refinement of the PDQ we are leaning towards normalizing the N day value to focus strictly on a shorter term (3-5 N day model) in order to minimize total drawdown and to confirm the signal trend more frequently.
Net effect -- as a result of correlation deterioration and the N day re-alignment expect to see a new component list for the XLE Dashboard in the near future.
Finally, for VIX addicts out there, the new December FUTURES magazine notes the release of the new mini-VIX contract (VM) at 1/10 the standard size.
More details at if you're interested.

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