Condition Bear Market Rally
S&P Target 1020
Small Portfolio IAU & XLF 15.26%
Hedge XLU -1.74%

Position Date Return Days Call
CLH 7/6/2011 29.71% 255 Hold
GCI 7/14/2011 11.76% 247 Hold
CSGS 10/3/2011 26.57% 166 Hold
NLY 10/25/2011 -1.59% 144 Hold
DD 10/27/2011 10.38% 142 Hold
KBR 10/27/2011 28.32% 142 Hold
VG 10/27/2011 -32.38% 142 Hold
TTM 11/30/2011 67.46% 108 Hold
BT 1/4/2012 9.01% 73 Hold
PDLI 3/7/2012 1.88% 10 Buy

S&P Annualized 5.50%
Small Portfolio Annualized 19.15%
Mousetrap Annualized 22.54%
Hedged Annualized 20.35%

No changes. The we are still in a Bear Market Rally sector configuration. Utilities remains the hedge, and have thankfully gone nowhere while the rest of the market has been on a tear. In fact, the negative money flow in utilities is the most bullish thing about this rally.

Meanwhile, enough time has elapsed with the model that I can begin to optimize holding periods based on real data. A preliminary calculation has the optimal holding period at 179 days, meaning a new trade every two and a half weeks. I’ll do some more calculations over the course of the next week, but it appears that the next rotation day should be the Monday after March 24th.

There’s a reason to hold trades as long as possible, If you had 20,000 in your trading account, and were trading ten stocks, then each buy-sell round trip would knock off about 1% from your total holding.

So, for ten stocks, you adjust your total expected returns based on your average holding period. So, factoring trading costs and taxes, with a 7% average appreciation per stock, the average holding period would have to be 76 days JUST TO BREAK EVEN.

This is why women generally do better than men with their investments. They trade less.

In other words, less is more.

Tim