I meant to post this last night but family matters kept me away from the computer most of the day and night.
I've added a few more components to my Telechart Rotation model in an effort to capture sector niches that were not considered previously. Based on Tuesday's close and using a 3 day scan of the 6 period linear regression moving average TLT is still showing the most promise. After a stumble out of the gate on Monday TLT may be finding some positive momentum.
Also of note: as of 10:30 am PST Tuesday both the VIX and the SPX were negative, reflecting a condition of instability that was eventually resolved (temporarily) in favor of the SPX. The VIXEN then proceeded to produce one wild ride for the remainder of the day . . my profound regret being that I was not around to take advantage of it.
6 comments:
Interesting idea and I didn't see earlier posts on this rotational idea - are the components of the scan public?
Damian,
I'm not sure I understand your question. Please clarify. The sort function is resident within Telechart as I explained in earlier posts. It's just a matter of setting up this watchlist (or any other that you might choose to create) and then a right mouse click to sort. Of course you have to subscribe to Telechart.
Sorry - should have been clearer - I'm guessing you're using some sort of criteria for creating the rank that put TLT at the top of the list - can you talk about the criteria?
Damian,
See this previous post:
http://bzbtrader.blogspot.com/2010/01/rotation-tells.html
The sort capabilities are incredibly robust and very fast. You can get a free 30 day trial of Telechart if you want to take a closer look.
Oh I'm already a telechart user - I was just curious what you were using for your momentum ranking - looks like a 10d linear regression?
Damian,
The post clearly states that I'm using a 6 period moving linear regression line. This is actually a channel, but because the band is so narrow it may appear like a wide line. I'm using a 3 day period and in previous tests I've used a 2,3 and 4 day period to see if I get similar sort rankings. If I do, then I feel more comfortable with the validity of the sort.
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