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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 Signal For September: ILF 9 comments
    Sep 2, 2014 12:17 PM

    Still busy, sorry again for the late post. ILF is the signal.

    Keep on truckin.

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Comments (9)
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  • scarecrow93
    , contributor
    Comments (5) | Send Message
     
    Gotta like the gap down on "buy day"!
    2 Sep 2014, 01:04 PM Reply Like
  • nike X
    , contributor
    Comments (25) | Send Message
     
    Yep.
    3 Sep 2014, 09:37 AM Reply Like
  • Algyros
    , contributor
    Comments (118) | Send Message
     
    Thanks.
    3 Sep 2014, 04:21 PM Reply Like
  • TrickPony
    , contributor
    Comments (30) | Send Message
     
    I probably should have used a stop loss to stem the blood bath.
    22 Sep 2014, 11:07 PM Reply Like
  • Chuck31
    , contributor
    Comments (19) | Send Message
     
    After the month-long ILF bloodbath, today the SSO/EDV correlation (treating today as the last day of September) passed the +.75 threshold...I have it as +.760. I know that inter-month correlations don't matter in the system, but there it is anyway.

     

    What a month...
    25 Sep 2014, 09:24 PM Reply Like
  • redrocker7
    , contributor
    Comments (19) | Send Message
     
    Thanks for the notice.
    26 Sep 2014, 10:50 AM Reply Like
  • TrickPony
    , contributor
    Comments (30) | Send Message
     
    Thanks for the update...Maybe sitting in cash for a month might be good for my nerves.
    26 Sep 2014, 09:52 PM Reply Like
  • nike X
    , contributor
    Comments (25) | Send Message
     
    As of the 9/29 close, I have SSO:EDV correlation dropping back below the cash signal level to +0.72145. Looks like it's going down to the wire. If an ETF position is signaled after the close tomorrow, EDV is currently leading.
    29 Sep 2014, 08:45 PM Reply Like
  • TrickPony
    , contributor
    Comments (30) | Send Message
     
    I should have bailed out at my 10% stop loss. Who would have thought it could drop another 4% in one day! It looks like momentum systems suck in this type of market.
    29 Sep 2014, 10:47 PM Reply Like
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