Monthly Archives: February 2008

Timing Model Sees Complacency in the VIX

February 24, 2008 – 1:31 pm

Timing attempts to provide market equivalent returns over the long term, with a substantial reduction in variability of returns. The two components of the Timing program are EZ+Macro and Fear/Greed. This system trades rarely and splits its allocations between ETFs tracking the S&P 500, the intermediate-term U.S. Treasuries, and cash.
Information is as of the […]

By Bill Rempel | Posted in Systems-Timing | Comments (0)

Administrative Note

February 21, 2008 – 6:18 pm

There have been a few minor administrative changes to the site.
The requirement for users to register and log in before being able to post comments will remain. Remember, I moderate the first comment a user leaves in order to fight spam, but second and subsequent comments get greenlighted without approval. The […]

By Bill Rempel | Posted in Administrative | Comments (0)

Aggressive Gets Aggressive Again

February 16, 2008 – 5:35 pm

Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves […]

By Bill Rempel | Posted in Systems-Aggressive | Comments (0)

Rotating into Stagflation

February 10, 2008 – 8:20 am

Rotational combines component rotation and asset class rotation to hold a small basket of ETFs or ETNs, selecting the handful with the most momentum from a representative sampling of classes and components. Throughout this article, when I refer to momentum, I am referring to an exponentially smoothed measure based solely on price movement.
Information […]

By Bill Rempel | Posted in Systems-Rotational | Comments (0)

Personal Trades for February

February 10, 2008 – 8:02 am

Current positions and weights are:
Agriculturals (DBA) - 11.2%
Brazil (EWZ) - 9.3%
Euro Currency (FXE) - 9.8%
Gold (GLD) - 11.3%
India (INP) - 9.4%
Energy, Clean (PBW) - 9%
Russia (RSX) - 8.3%
Materials, Steel (SLX) - 10.1%
Treasuries 20+ Yrs (TLT) - 10.5%
Oil (USO) - 10.9%
Cash - 0.1%
I am continuing to trade in keeping with the Rotational strategy. Shares of […]

By Bill Rempel | Posted in My Trades | Comments (0)