Category Archives: Systems

Systems

Fundamental Portfolio Update

August 17, 2008 – 8:34 am

Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.
Information is as of the close on August 15, 2008.
Model Allocation
Based on beginning […]

By Bill Rempel | Also posted in Systems-Fundamental | Comments (0)

Timing Model Update

August 10, 2008 – 7:47 am

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.
System recap is presented first […]

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

Aggressive Portfolio -3.27% YTD

August 3, 2008 – 9:56 am

In its initial version, Aggressive was an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produced an exceptional trading plan by itself, but when the two were combined, the volatility of returns was reduced without much degradation of total returns. This was because their […]

By Bill Rempel | Also posted in My Trades, Systems-Aggressive | Comments (0)

Rotational Portfolio Hates This Market

July 27, 2008 – 5:08 pm

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 | Also posted in Systems-Rotational | Comments (8)

Fundamental Portfolio Update

July 20, 2008 – 1:52 pm

Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.
Information is as of the close on July 18, 2008.
Model Allocation
Based on beginning […]

By Bill Rempel | Also posted in Systems-Fundamental | Comments (0)