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mike's current entrepreneurial focus comprises the innovative development of ETF quantitative hedging technology using classical Euler-Lagrange-Hamilton mechanical methods. long & short index ETFs are quantitatively paired to optimize delta neutral or high beta portfolio performance w/o... More
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Equity Informatics Blog
  • S&P 500 geodesic pairs trade - September 4, 2009 0 comments
    Sep 7, 2009 9:40 PM | about stocks: SPY, SH, SDS, SSO, BIV, BLV, BND, IEF, IEI, LQD, TBT, TIP, TLT, TLO, TLH
    current model indication: cautiously bullish on the S&P 500 since 2009-08-21

    based on this chart, the data appears to indicate the S&P 500 bull run since the march lows has a little more milage upward.  like a pendulum, the model has almost swung a full half cycle.  however, there doesn't appear to be any signs the swing is slowing down much.  the index will be entirely over-bought when the swing overshoots a value of ||vector-c|| = 0.7250.

    dislosures:   in my SH-SPY pairs trade, i am still 95% SPY & 5% SH.  one half of my pairs trade is counter-weighted with holding bond ETFs listed in my tags. the remainder of my portfolio is in 15% cash.
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  • the market is very finicky right now. time to consider getting into to some bond ETFs like BIV, BND & IEF.
    Nov 27, 2009
  • a little dip is due. the market really shouldn't cheat the short man. otherwise he will turn into a big bear. we don't want that.
    Nov 26, 2009
  • no more u.s. government bond auctions this week is NOT good news for the equities market for the next few trading days.
    Nov 18, 2009
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