Quarterly Performance Review for Sept. 30 2016

evanscjeUncategorized0 Comments

We offer three levels of service:

  1. Small investors who only trade the S&P 500 or other correlated markets can sign up to receive a daily update of where the daily gauge stands.
  2. A short term macro trader who can take positions in stocks and bonds can receive a daily update of the S&P 500 and the US 10-year note gauge for the S&P 500 and for US 10 year note futures.
  3. Institutional traders or portfolio managers receive a full complement of where all three gauges stand for both daily and weekly time frames. In the daily email we also reference what our positions are. This refers to what a group of trading algorithms are doing in the market. Those algo’s use the gauges and/or their inputs in order to decide whether to buy or sell. Positions are referred to after we have taken them and specific entry prices, times and stops are not included.

We also offer a trading advisory service that has specific recommendations of what to buy and in what quantity. These signals or orders are sent out every afternoon before the Globex session begins. These systems also include stops.

For this review we shall refer to all aspects of the service – the daily and weekly gauges, the algo’s and our trading history.
(To enlarge any of these small charts just click on them.)

For a lot of the quarter the S&P went absolutely nowhere and the gauge got stock below the buy threshold. The buy signals we got in early June proved to be very successful. We needed a Brexit day stop but the gauge never wavered and then kept you long right up the third week of July. Other than a couple of very short term signals, we never got a collection of good readings until the second week of September.

The weekly looks very similar. It dropped faster but even the tightest stop would not have been hit until the end of July. It also found some life in September and still has some energy left.

For the quarter bonds moved comparatively little. The daily gauge became bullish a little early – in the second week of July and we earned very little. The next buy signal came in late August and we had to endure a decline before being rewarded. The sell signal was a good one.

This is a chart of Risk Parity using a volatility weighted quantity of US 10-year notes to match up with the S&P contract. The gauge missed a very short lived rally in late July but other than that the signals we got here were superb. The buy in late August was followed by an exit a couple of days later. Then after a big price fall we got another buy signal. This gauge is a weighted composite of the S&P 500 and 10-Year note gauge so we could look at how this signals corresponded at the time. These exact trades were recommended in real time in our daily trading advisory service.They are also referred to every day in our premium institutional mailings.


Our advisory service gained 3.5% for the quarter so is now up 6% (gross) YTD. The S&P 500 is up 2.5%. Our maximum draw-down is 1.8% while the S&P endured a 9.3% worst draw-down.

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