On the date market is quite volatile and there is no signals generated by my model.
Do not feel my self bad because of missed opportunities to earn some money in such good directional price actions at quite short time.
I just follow the rules I'v developed.
This permits me over perform the market in long term with adequate risks and generate alpha with energy markets exposure.
Here are snapshot of the portfolio tracked on the date.
New High was taken. (High Water Mark)
Same rules as was 1.5 year ago when I started it.
Long UNG if "long" signal from model.
Long DGAZ if "short selling" signal from model.
But from the 15th of January 2015. Plan to change the rules.
Because last year passed is continuous research of energy market. And new factors/risk exposures was mapped, priced and replicated.
The ROI performance will stay in same targets. But the equity will be less volatile.
Just finalized calibration of new inputs of the model, and satisfied with results.
The integration of new rules with current model passed, and no internal conflicts will be. Model becomes more and more complex. But I know the meaning of "curve-fitted" model. And ensure you. Here are no "curve-fit".
Let me tell you few words about upgrades in the model.
1). The more strict rules of timing was added, because energy markets are cyclical in some manner. This gave additional points to fix the uncertainty of natural gas price.
2). More advanced volatility filters were used, additional layer for risk management.
3). The pricing of allied instruments was added and formalized their reaction on the price moves of natural gas.
4). Few proxies for more detail demand clusterization was taken and formalized as additional inputs in the model.
+ many others criteria. That made model more complex, but much more flexible to different market action/behavior.
Some interesting details about the market on the date.
The Nuclear Reactor Percent Operating Capacity is loaded on 91.8%
And this is quite high for this season.
This is all because of the weather pattern.
But the market different point of view on this. And natural gas declining on the EIA news about the first negative storage value this year.
Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.