Daily Watchlist · On Our Radar · Portfolio Update

2016/10/11 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update


Equities Short-Term Long Only        
-1.26% -1.95% -1.95% 44.36%
    Short Only        
      1.09% 2.07% 2.07% 36.39%
      -0.04% -0.11% -0.11% 41.58%
  Medium-Term Long Only        
      -1.45% -3.09% -3.09% 17.65%
ETF Short-Term Long Only        
      -0.88% -1.18% -1.18% 29.79%
    Short Only        
      1.15% -0.20% -0.20% 6.60%
      -0.07% -0.61% -0.61% 29.52%
  Medium-Term Long Only        
      -1.52% -2.32% -2.32% 23.22%
Futures Short-Term Long/Short        
      0.63% 2.08% 2.08% 8.63%
FX Short-Term Long/Short        
      0.78% 1.68% 1.68% 16.80%
SPX Benchmark Index          
      -1.24% -1.45% -1.45% 4.54%

Portfolio Commentary

Our Equities and ETF Long portfolios could not escape the nosedive in the broader market, though our Futures and FX portfolios are not being affected by the choppiness in the equity markets. Large moves in the equity markets are actually desirable as they create good trading opportunities, which our quant signal are keen to capitalize on. For instance, we went long a biotech (CELG) and health care (MNK) name which were devastated recently and turning deeply oversold, and are candidates for a rebound with high-probability.


Chart in Focus

CELG  –  Short-Term Long

Target: 108

Entry Point(s): 101.64, 100.20

Comments:  Another plunge to new ST swing low but should find descending channel support here and more at descending trendline breakout at 100 area


MNK  – Medium-Term Long

Target: 72.34

Entry Point(s): 67.15

Comments: After spiking highs in August, MNK is struggling inside steep descending wedge and now testing LT channel support



ADSK  – Short-Term Short

Target: 66.7

Entry Point(s): 70.17

Comments: Bearish technical divergence confirmed by plummeting through 20DMA. Still pending trendline break but odds are it will follow through to downside towards 50DMA




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