Monday, March 22, 2010

MLR Rotator Rolls Over

The #1 ranked Qs (along with all the other +beta components) are showing some negativity, but the thing about the Qs is that the daily % decline was almost the lowest (EWC led by a hair). Keep in mind that these rankings are based on 2 day bars, so the underlying strength of the Qs is still evident, even in the face of a market rolling over.
For the next refinement of the MLR model I'll activate an equity curve stop based on daily bars and a trailing stop to lock in accrued gains. Tuesday Ill explore some general implications of a shrinking ATR on the shape of equity curves that may help explain a consistent recent trend to see these curves flattening out.

The Currency model now shows UUP with #1 ranking . . . the only component of the model that produced a positive return on Friday. There are other currencies that I could add to flesh out the model, but the reality is that most of those have limited daily volume and spreads that make them otherwise unattractive as short term trading vehicles.
On a side note: Don Worden featured UUP as a LONG pick on Friday based on completely different technical signals . . so it will be interesting to see how this pick plays out over the next several days. The currencies have a tendency for longer term trend runs, which accounts for their relatively low price volatility and beta values.

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