Thursday, February 04, 2010

Project Z and the Qs

This is the Project Z outlook for the Qs as of Wednesday's close. Based on the Project Z parameters the Qs are quickly approaching overbought conditions relative to overall market volatility. We have multiple exit conditions and trailing stops in place to limit risk exposure and retain any gains and I expect the current open position to be liquidated today or Friday. The current trade had a double entry (second entry at yellow dot) and is at a break even point after a 5 day duration on the initial entry while holding a .63 gain on the second entry .

Below, the daily rotation model using a 6 period moving linear regression has now pumped the Qs into slot #1. I've exposed a previously hidden metrics column (in yellow) which shows the % change in price for the day. This is the metric that I use as opposed to absolute price, which really provides no basis for evaluating relative performance. While the Qs lagged yesterday, they made up the difference (and more) today.

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