I took the various sectoral indices trading more than 5 mil avg vol, with entry set at the close of tax day (15 Apr 2014 close in this year) and exit set to various 1/2/3/4/5/ trading days.

Top instruments for five day holding period, with win % > 80% , with data points >= 15 , avg expectation > 2%

Instrument    Exit    #    Wins    % Wins    Avg%    Avg Win %    Avg Loss %    Pay Off
QQQ              t+5    15    13           87        2.20        2.83             -1.85            1.53
XLU               t+5    15    13           87         2.01        2.47             -0.95            2.60

XLE                t+5    15    13           87         2.19        2.73            -1.28            2.14

Gary Phillips writes:

i must confess, i’d rather just guess
than be duped and fooled, by randomness
i rather think twice, than just roll the dice
these random studies, do not drive price

rather think like a fox, not be put in a box
as the markets are, a recursive paradox
if not arc sine laws, then ever-changing-cycles
if you are in denial, it can be almost suicidal

these damning effects, must be circumvented
but not with the invented, nor the misrepresented
not with tools that are myopic, or simply synoptic,
lest the retail hypnotic, not benefit the agnostic

a causal understanding, is certainly demanding
but in-or-out of sample, it sets the best example
there’s so much more, than just trade and win
like adding to profits, when others are cashing in

immune to the tout, trading without any doubt
entering trades, where others are stopped-out
not stepping out-on-the ledge, with an illusory edge
there’s no need to hedge, this is my solemn pledge

Kora Reddy responds:

whether it was working by fluke or not… a reminder at today's close!





Speak your mind

1 Comment so far

  1. Bic on April 21, 2015 4:23 pm

    One hopes Mr Phillips contributes his own counting next time, rather than just sniping at Mr Reddy’s.


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