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Marc Cohn
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I am a patent litigator with a background in physics and electronics. I enjoy studying quantitative, rules-based investment methods through rigorous backtesting and numerical analysis. I believe that patterns exist in the market that benefit trading -- the challenge is finding them!
  • Modified GMR System Signal: EDV 5 comments
    Mar 31, 2014 11:49 AM | about stocks: EDV, SPY, SSO, EEM, ILF, EPP, SHY

    As of a few minutes ago, EDV is still out to a large lead in terms of past 3-month performance versus the other ETFs in the modified GMR basket:

    SSO FEZ EEM ILF EPP EDV
    2.64% 1.85% -1.39% -1.24% 2.97% 10.90%

    Looks like the signal will remain EDV for April.

    Happy trading.

    Disclosure: I am long EDV.

    Stocks: EDV, SPY, SSO, EEM, ILF, EPP, SHY
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Comments (5)
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  • Hank Pong
    , contributor
    Comments (14) | Send Message
     
    Thanks, doing good, great work
    2 Apr 2014, 12:30 AM Reply Like
  • lingkui
    , contributor
    Comments (37) | Send Message
     
    Marc, would you pls. clarify how you apply "cash stop when correlation between SSO and EDV at .75" in real world situation? Lastly, do you find the lack of liquidity in EDV makes it difficult to switch, i.e., buy/sell. TIA.
    2 Apr 2014, 02:27 PM Reply Like
  • Marc Cohn
    , contributor
    Comments (88) | Send Message
     
    Author’s reply » Liquidity isn't much of a problem. I put in a limit order at the signal price (last close on signal day) and wait for it to hit. So far it always has.

     

    For the correlation, I use the EXCEL correl function over 4 months.
    2 Apr 2014, 02:51 PM Reply Like
  • Max1985
    , contributor
    Comments (11) | Send Message
     
    If you are concerned about liquidity, you can always use TLT as a substitute but use EDV as your signal proxy.
    14 Apr 2014, 12:55 PM Reply Like
  • mpd3892
    , contributor
    Comments (21) | Send Message
     
    Marc, what's your current take on the system? It looks like a switch may be upcoming at month's end (out of EDV & into maybe ILF)? I'm thinking even if the market continues it current trend, holding EDV would be best, despite a possible switch signal.
    26 Apr 2014, 03:05 PM Reply Like
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