Allocation of the robots

[Pascal]

Hi Pascal,

Thanks for the reply.
During 2008, both IWM and GDX have max draw down more than 25%. But IWM/GDX model has about 10% draw only, during that time. Why that will happen, I will expect it will be still 25% drawdown, I understand they have low correlation factor, but just based on the diagram, they are both making a 25% drawndown at 10/15/2008 but it is only 10% when they combined.

Also, any suggestion about free dividends adjusted data I can find. I just want to verify the trade myself and if I follow the robot, I can follow it correctly.

Cheers,

Ellis

It is because the diagram is not precise enough. Both IWM/GDX did not have their worst drawdowns at the same dates, but two weeks apart.

On Oct 8, 2008, the GDX DD was -28% and IWM was -3%
On Oct 23, 2008, the GDX DD was 0% and the IWM DD was -29%

During that period, IWM/GDX often had opposite direction signals.

The DD of the portfolio is of course not the average DD of each component.

Yahoo supplies the dividends corrected data.


Pascal

[Pascal]

Hi Pascal,

Can I assume the following? For example,

Shorted 7/25/2007 8/1/2007 77.42 74.37 3.94% 1.12%

Means, at 7/25/2007, put a short limited order at 77.42 before the market open and it should be filled, but do you have a protective stop loss order along with the first short limited order?
at 8/1/2007, closed at 74.37, it should be closed by a trailing stop, can I assume this stop is available before the market open?

Cheers,

Ellis

There is no stop loss on a market direction model simulation. Only on the Multi-time pivots.


Pascal

[asomani]

Pascal, in the document you posted today, did you use intraday or end-of-day drawdowns in the analysis?

Thank you.

[Pascal]

I used EOD

pascal

[mingpan.lam]

Hi Pascal,

In this doc, "IWM_GDX_Portfolio_Analysis", you mentioned,

"The combined portfolio is traded using
all funds available. If both IWM and GDX issue a signal, the funds are divided into two equal
amounts and each amount is invested in each ETF. If only one ETF issues a signal, all the
funds are invested in that ETF. If in the middle of a trade of one ETF, the other ETF issues a
signal, then half of the funds are switched to the ETF that issues a new signal. The only time
where no fund is invested is only when no signal is available."

How do we actually implement the combined portfolio?
For example, we bought IWM already (so 100% IWM) and then we have a signal for GDX.
Should we sell all IWM in order to buy GDX? But the problem is, the limit order to buy GDX may not be executed.

If let say, we don't sell IWM and buy GDX with limit order and allocated 50% to GDX and the order executed.
We will have 150% of the porfolio. And we can only sell half of IWM on the next day.

Cheers,

Ellis

[Pascal]

If a limit order is not executed during the day, the Robot will advsie new settings and will try to entrer the following day.

As for GDX, we will enter at the open from now on and not at a limit price.


Pascal

[mingpan.lam]

Ok, so, here's what happen when new signal issue with existing position

1. Sell half (GDX/IWM) at open

2.

GDX : buy at open
or IWM : limit order to buy

[barbados11]

Pascal, for clarification, today's limit buy of 58.88 on GDX would not have been purchased at the open since it is not a new signal and would indeed not be executed?

Thanks,

Pablo

If a limit order is not executed during the day, the Robot will advsie new settings and will try to entrer the following day.

As for GDX, we will enter at the open from now on and not at a limit price.


Pascal

[Pascal]

Exact!

pascal

[mingpan.lam]

Hi Pascal,

Based on this doc, "IWM_GDX_Portfolio_Analysis".
If you are 100% long on GDX and then after the close of the day, the robots give the following signal.

IWM long
GDX strong long

Should we close half of GDX and buy IWM with limit order?
Or, should we simply allocate half/half to GDX/IWM and follow the robots separately?

What is your suggestion?

Cheers,

Ellis