q's going to 39ish within the next week (if weak) to two (if strong). If it takes two, I believe the probability of a sideways market is much higher than if it hits that point immediately. If it hits it fast, next leg down is 36ish. If it gets to the 36 level, it should prove to be very strong support.
Started a new system called Pairs Trading QID QLD 2.0, because that's the model I'm working with as I like to call it. Long + Short Starting Capital $25,000.00 Ending Capital $924,211.40 Net Profit $899,211.40 Net Profit % 3596.85% Annualized Gain % 197.88% What excites me is the nearly 10:1 Calmar Ratio, which is calculated as APR to drawdown percentage. Exposure 54.05% Number of Trades 86 Avg Profit/Loss $10,455.95 Avg Bars Held 2.8 Winning Trades 64 Winning % 74.42% Gross Profit $1,513,186.92 Largest Winning Trades $182,110.66 Avg Profit $23,643.55 Avg Bars Held 2.88 Max Consecutive 10 Losing Trades 22 Losing % 25.58% Gross Loss ($613,975.52) Largest Losing Trade ($96,804.79) Avg Loss ($27,907.98) Avg Bars Held 2.59 Max Consecutive 2 Max Drawdown ($119,479.69) Max Drawdown Date 10/1/2009 Max Drawdown % -20.50% Max Drawdown % Date 11/3/2008 APD 0.7411 APAD 1.6758 Wealth-Lab Score 291.0842 RAR 366.1388 MAR 9.6534 Profit Factor 2.4646 Recovery Factor 7.5261 Sharpe Ratio 2.1024 Sortino Ratio 5.6681 Ulcer Index 6.4002 WL Error Term 9.191 WL Reward Ratio 21.5303 Luck Coefficient 7.7023 Pessimistic Rate of Return 1.7775 Equity Drop Ratio 0.0204 K-Ratio 0.4103 Seykota Lake Ratio 0.0466 Expectancy 0.6175 Expectancy Score 15.5482 Max Losers Held 1 Max Winners Held 1 We are up after hours. I think we should have had more follow through on the rally. The reversal was completely overdone, and stupid. The market wants to go higher, and I'm sure we'll get our confirmation of <i>marked</i> improvement throughout the economy from the Fed this week.
Can you expand on this statement. What criteria do you use to determine overdone and stupid? Can the market be smart? Wouldn't it be more politically correct to refer to the market as "challenged". Reminds me of the person who hits their thumb with a hammer and calls the hammer stupid.
The market can be smart when it behaves rationally to economic data. The data marks the start of the recovery. We got our first positive quarter of GDP growth, followed by an ISM that showed manufacturing expansion. Home sales were outstanding, and way off their low. The reports we get from the Fed will likely confirm for the market that the recovery is just getting started, and I see tens of percent of upside a year from now. Hence, the phrase stupid describes any sell off for the next six months. I'm thinking 3 to 1 odds we might actually see growth in jobs on friday, and that would be an off to the races moment. Just as it was stupid for the median price to book ratio to be below 0.7 in March, I see the same mispricing of securities taking place right now, where emotion in the form of fear of another 50% drop accentuates market moves to the downside, while limiting upside. If you're thinking cash for clunkers is why we're higher, think again. This program barely paid out five billion dollars, if that, and considering our economy has an Annual GDP around $14 trillion, five billion is completely negligible.
Ah but isnât the market a discounting mechanism, a leading indicator of things to come? Either the good news was already priced into the market before it was released or it wasnât perceived by the other market participants as that good of news. It is the perception of the data that moves the market, not the data itself. Supply & Demand. Fear & Greed. Once you can program that into your formulas youâll have it made. Remember the old adage: âBuy the rumor sell the news.â The Market canât be smart or stupid, only the people playing it deserve those labels. Hereâs your sign!!!