Thursday, March 25, 2010
One Hand Clapping
Occam's Razor .
Using 2 day bars for the daily MLR sorting tends to deliver selections that are displaying both trending and rising momentum behavior. Those readers that have followed the MLR selections over the past month will have noticed that the top ranked picks consistently perform on the following day, or if failing that, show minimal disparity with the actual basket top performer. Since the big basket contains the majors (and a few sector wild cards) we have to anticipate that there will be some degree of arbitrage as the lagers play catch up to the leaders.
If nothing else, the Rotators clue you in to what's hot and what's not and the recent "bunching" behavior of the top sort values has been a good indication that the meltup has been broad and not just a one trick pony.
As mentioned previously, the need for trailing stops and the implementation of such is still a work in progress. One area of investigation is a 1/3 ATR(8) as mentioned in the Occam Razor post. If it works for the big prop shops there must be something effective about it.