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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 - Sept 18, 2009 1 comment
    Sep 20, 2009 10:52 PM | about stocks: SPY, SH, SDS, SSO, AGG, BIV, BLV, BND, IEF, IEI, LQD, TBT, TIP, TLT, TLH
    previous model indication: cautiously bullish on the S&P 500 since 2009-08-21
    current model indication: the S&P 500 is overbought since EOD 2009-09-09

    the red series of parameter coordinates show the time progression of the overbought condition of the S&P 500 index according to my interpret of my geodesic model.  dramatic buying last week has significantly accelerated the velocity of motion of SH-SPY equilibrium along the pairs geodesic.  this behavior at this point in the cycle has given me reason to pause in buying long positions in my pairs trade or otherwise.

    the upcoming trading week will see a large series of treasury auctions from short-term bills to intermediate notes.  the shear magnitude of debt (>$100B) being auctioned by the fed is likely to present a significant challenge for equity markets, such as the S&P 500, to overcome and continue their march upward.  after the auctions are done, it remains to be seen whether traders will regain their appetite for risk-taking.

    watch this post throughout the week for additional charts from last weeks trading.

    dislosures:   in my SH-SPY pairs trade, i am 65% SPY & 35% SH.  one half of my pairs trade is counter-weighted by bond ETFs listed in my tags. the remainder of my portfolio is 20% cash.

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  • bampairtrading
    , contributor
    Comments (6) | Send Message
    Thanks for info on your pair trade. We actually have been testing a model based on trading the Invest Grade Corp Bond (LQD) ETF, using the SP 500 ETF (SPY) using a 60 Min Chart. Interesting results so far.


    If Interested you can preview a performance summary of our trades since we started tracking last December 2009 at bampairtrading.com (search for LQD or SPY).


    Thanks again and look forward to reading more.
    19 Aug 2010, 11:13 AM Reply Like
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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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