Commentary, Methodology

5/3/21 Where We At?

The chart shows tCC for the major indexes covering 7 months or 147 trade days. Note the IJR portfolio of small caps beats out IWM for first place by 5 natural log basis points or whatever they are called. .46 equates to a 59% return, while .21 = 23%.

The Signal column shows what happened yesterday. There are five binary characters after the x, dealing with the previous day’s results:

  • First = CC = positive = 1
  • Second = CO = positive = 1
  • Third = OC = positive = 1
  • Fourth = RR = positive = 1
  • Fifth = HC – CL = positive = 1

The last two binary characters deal with range. RR is the rate of range or return for investing at the mid point of the daily high and low range. HC = natural log return of previous close to today’s high. CL = natural log return of today’s close to today’s close. RR is obviously positively correlated to return. HC and CL are volatility measurements. I’m not sure what, if anything, they mean yet.

The xSig column has four hex characters after the x. Each hex character represents whether the four measurements are positive in all the time periods:

  • First = CC = tCC = 8, CC21 = 4, CC42 = 2. CC84 = 1.
  • Second = CO
  • Third = OC
  • Fourth = RR

The chart shows the range of returns of all 8 of the Broad group.

If someone put a gun to an investors head 7 months ago and told him to buy one of the Broad Etfs and hold it for 7 months; the chart shows the possible range of experiences for the investor.

Not a whole lot of advantage of going into sectors over the last seven months. The investor would have tp guess XME or XLE for it to work out better and those segments were far from obvious.

The 3x Bulls were the place to be in a bull market, even LABU with it’s catastrophic swoon from February through March wasn’t bad. 1.19 for FAS is a return of 330% over 7 months – who said there was no money in finance.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s