Wednesday, May 12, 2010

GLD Bug

Gold was on a tear Tuesday in various iterations. On the MLR Currency Rotator the GLD ETF and NEM are over 2x as strong as the nearest competitor, the UUP. Keep in mind that GLD has a beta 1/6th of NEM. If we normalize the 2 equities GLD actually kicks out a sort value of 24. A quick look at the charts would tend to sponsor a profoundly overbought view of both GLD and NEM (and most of the other gold stocks), but geo-political issues are driving these nuggets higher every day and we're likely to see more upside before a retracement. (also discussed in the Futures' article mentioned over the past 2 days).
The Project Z GLD signal is currently flat having booked some nice gains (shown below).
Below are the results of a Project Z scan of GLD over the past 16 months. There are a number of impressive metrics here including the max # of consecutive losers on both the long and short sides . . 1. The balance between the longs and shorts is also attractive. Considering that most systems I've looked at recently are (understandably) skewed to the long side, this is a rather refreshing pattern. With an average of almost 90% profitable the Project Z scan looks like it has great potential for tracking the GLD.

3 comments:

L. Panos said...

Great stuff! I recently came across your posts and really enjoy them.

I was wondering where the original post on you MLR currency rotator are? I've tried looking through old posts but can't find it.

And Gold Z ?

Larry P.

bzbtrader said...

Larry,
Try this one:
http://www.blogger.com/post-edit.g?blogID=18657157&postID=7244418707189859793
There are quite a few since then that discuss ongoing refinements to the metrics but the 2 day bars of the 6 period moving linear regression in the common sort.

bzbtrader said...

Larry,
Regarding Project Z, there are many, many posts of this topic, which uses a pairs approach to signal generation based on underlying volatility as measured by a proprietary z-score algorithm. This is the post that explained the goal of Project Z:
http://www.blogger.com/post-edit.g?blogID=18657157&postID=4402273328042144382