FV 1207.45. SPX $1,209.18. Convergence imminent... BTW, I understand how my model works, I will tell you this, it may be overstating FV here by about 5-9 handles. I understand why it may be, but I am not going to change it now. I have to exit EOD/Convergence because that is the system and I get fired if I don't follow system. But you might consider holding to 1192 SPX.
FV 1,213.54. SPX 1213.86. 100% convergence. What is funny is I was about to get ready to exit EOD when I saw the convergence and hit buy market. Out at 1209.25 + 11. Down about 3 handles total on daytrades, but the first real victory for new model. Remember, I think the models is overstating here a bit, but the reasoning is very complicated. In a dynamic world, the model would be showing FV at about 1204 ish.
OK, so technically we have to close that hugely losing position, right? Realized was -60, unrealized 441 at 1223 so 441-70=371, 371+60= 431 so we only lost 431 pts and it took 2 months and a week. But finally we are out of it!!!! Phew.... By the way I already pointed out another weakness of the system. Let's say the market drops a nice 100 pts from here, and were you still short, you could actually end up nicely in the green. BUT! You have to exit at the convergence, thus missing the bigger part of the downmove....Just sayin'.... Also, for any kind of credibility, you could actually do the P/L instead of leaving it to us.....
Out 1211.25, -1 3/4. Indications that FV may be 100% converged with SPX when we open. This FV is where we went out yesterday, although I still believe that the model is overstating slightly higher today. I have to follow the model regardless of what I think.
FV 1211.65. SPX 1,211.36. 100% convergence. In fact, how often we converge may be an indication of a models short term viability... FWIW, I am estimating that the model is overestimating FV by about five handles here. But I can't take that trade. Not enough edge anyway, which needs to be about seven divergence.
FV 1206.31. SPX 1,206.59. Oh my God, FV and SPX are trading in lockstep up and down, and the levels are staying more or less the same. I am not getting excited, no, I am not.
I learned something today that could add even more accuracy to the model. I won't be changing it any time soon, but I see a major idea for improvement. It _may_ not have missed this move down, and would have allowed me to quantify my instinct that FV was overestimated today.