+511 Club & +80 RS

Hi-

Results for Tu, Oct 29, 2013

[ATTACH=CONFIG]20558[/ATTACH]

Shawn

Hi-

I missed posting these results.

Tu, Oct 22, 2013:

[ATTACH=CONFIG]20559[/ATTACH]

Shawn

Hi-

Results for Wed, Oct 30, 2013:

[ATTACH=CONFIG]20593[/ATTACH]

Shawn

Hi-

For Th, Oct 31, 2013:

[ATTACH=CONFIG]20594[/ATTACH]

Shawn

For Fri, Nov 1, 2013

[ATTACH=CONFIG]20618[/ATTACH]

Shawn

HI-

Results for Tu, Nov 5, 2013:

[ATTACH=CONFIG]20647[/ATTACH]

Shawn

Hi-

Results for Wed, Nov 6, 2013:

[ATTACH=CONFIG]20662[/ATTACH]

Take care,

Shawn

Hi-

Results for Th, Nov 7, 2013:

[ATTACH=CONFIG]20695[/ATTACH]

Take care,

Shawn

Hi-

Results for Fri, Nov 8, 2013:

[ATTACH=CONFIG]20701[/ATTACH]

Take care,

Shawn

Hi,

These are the results for Mon, Nov, 2013

[ATTACH=CONFIG]20702[/ATTACH]

Shawn

Hi-

Here is a compilation of the data I report in this thread. Recall, this portfolio is always long, and no accommodation is made for market direction.

From May 7 to Nov 8:

LEV Leaders (close-to-close) = +17.02% & (open-to-close) = +9.96%
Note: a 5d rolling portfolio better approximates close-to-close performance because open-to-close results ignore gains or losses that occur outside market hours.

SPY = +9.77%

Oct 2013 was notable because SPY increased about 4.6% in Oct vs the LEV Leader's decline of -5.3%. Thus, the LEV Leaders gave back about 10% of its May through Sept out-performance vs SPY.

I am not sure how to explain these results or what happened in Oct, other than speculating about possible leadership rotation, e.g. leading oil producers seem to be reversing fortunes, and maybe the 3 month RS criteria is not fast enough to reflect changes that happen in a few weeks. In any event, I will continue to report results here.

Shawn

[ATTACH=CONFIG]20704[/ATTACH]

Hi-

Results for Mon, Nov 11, 2013:

[ATTACH=CONFIG]20751[/ATTACH]

Shawn

Hi-

Results for Tu, Nov 12, 2013

[ATTACH=CONFIG]20771[/ATTACH]

Shawn

Hi-

Results for Wed, Nov 13, 2013:

[ATTACH=CONFIG]20798[/ATTACH]

Take care,

Shawn

Hi-

Results for Th, Nov 14, 2013:

[ATTACH=CONFIG]20820[/ATTACH]

Shawn

Hi-

Results for Fri, Nov 15, 2013 :

Looks like we are back to the +2x SPY out performance

[ATTACH=CONFIG]20853[/ATTACH]

Shawn

Hi-

Results for Mon, Nov 18, 2013

[ATTACH=CONFIG]20875[/ATTACH]

Shawn

Hi-

Missed Nov 19 due to visitors in town. I will try to catch up as I can.

For Wed, Nov 20, 2013:

[ATTACH=CONFIG]20967[/ATTACH]

Shawn

Hi-

For Th, Nov 21, 2013:

[ATTACH=CONFIG]20968[/ATTACH]

Shawn

Hi Shawn,

Values are missing in you post.

Harry

Hi-

For Tu, Nov 19, 2013:

[ATTACH=CONFIG]20969[/ATTACH]

Take care,

Shawn

Hi-

Harry, thanks for the note. I have switched over to an alternative charting program, and until I write some custom indicators, I miss the open-close values unless I capture them within a few hours of the close. I was away on the day in Q, and missed them.

For Fri, Nov 22, 2013:

[ATTACH=CONFIG]20992[/ATTACH]e

Shawn

Hi-

Results for Mon, Nov 25, 2013:

[ATTACH=CONFIG]20994[/ATTACH]

Shawn

Hi-

Results for Tu, Nov 26, 2013:

[ATTACH=CONFIG]21003[/ATTACH]

Shawn

Hi-

Results for Wed, Nov 27, 2013:

[ATTACH=CONFIG]21018[/ATTACH]


Happy Thanksgiving!

Shawn

Hi-

Results for Fri, Nov 29, 2013:

[ATTACH=CONFIG]21037[/ATTACH]

Shawn

Hi-

Returns for Mon, Dec 2, 2013:

[ATTACH=CONFIG]21069[/ATTACH]

Take care,

Shawn

Hi-

Results for Tu, Dec 3, 2013"

[ATTACH=CONFIG]21121[/ATTACH]

Shawn

Hi-

Results for Wed, Dec 4, 2013

[ATTACH=CONFIG]21139[/ATTACH]

Shawn

Hi-

Results for Th, Dec 5, 2013:

[ATTACH=CONFIG]21166[/ATTACH]

I missed the open-to-close stats.

Shawn

Hi-

Results for Fri, Dec 6, 2013:

[ATTACH=CONFIG]21172[/ATTACH]

Shawn

Hi-

Performance for Mon, Dec 9, 2013

[ATTACH=CONFIG]21219[/ATTACH]

Take care,

Shawn

Hi-

Performance for Tu, Dec 10, 2013:

[ATTACH=CONFIG]21245[/ATTACH]

Take care,

Shawn

[QUOTE=shawn_molodow;27089]Hi-

Performance for Tu, Dec 10, 2013:

[ATTACH=CONFIG]21245[/ATTACH]

Take care,

Shawn[/QUOTE]

Shawn,

The 5 day rolling average seems to have been negative for some time. Is this abnormal behavior from your past backtests ?

Thanks in advance,
Trev

[QUOTE=manucastle;27091]Shawn,

The 5 day rolling average seems to have been negative for some time. Is this abnormal behavior from your past backtests ?

Thanks in advance,
Trev[/QUOTE]

Hi Trev-

I think there has been institutional selling in the markets for several weeks. Look at the last 35d trading days on the 20d MF chart and you will see a clear and steady decline of money flow. I sent the below chart to a trading buddy on Tu morning, Dec 10, before the market opened, highlighting exactly this.

[ATTACH=CONFIG]21258[/ATTACH]


Moreover, IBD didstirbution days has been remarkably high over the last few weeks.. by my count we recently had 9 dd in the $SPX in a 25d window; and this was all true before this afternoon's sell off.

Personally, I have been 95% in cash since mid-day Mon, Dec 2. The 5% is in BPO, a stable REIT.

I will do an end of year comparison of the LEV Leaders to the SP500 and see how we stand. I think the results will be continue to outperform SP500 by about 2x..

Take care,

Shawn

Hi-

Performance for Wed, Dec 11, 2013

[ATTACH=CONFIG]21282[/ATTACH]

Shawn

Hi-

Results from Th, Dec 12, 2013:

[ATTACH=CONFIG]21304[/ATTACH]

Shawn

Hi-

Results for Fri, Dec 13, 2013

[ATTACH=CONFIG]21306[/ATTACH]

Shawn

Hi-

Results for Mon, Dec 16, 2013:

[ATTACH=CONFIG]21342[/ATTACH]

Shawn

Hi-

Results for Tu, Dec 17, 2013:

[ATTACH=CONFIG]21379[/ATTACH]

Shawn