Quantitative Strategy – Automated Portfolio Update
Performance
| ASSET `CLASS | TYPE | LONG or SHORT | DAILY % | MTD % | QTD % | YTD% |
| Equities | Short-Term | Long Only | ||||
| 0% | -1.25% | -1.25% | 45.05% | |||
| Short Only | ||||||
| 0.16% | 1.16% | 1.16% | 35.48% | |||
| Long/Short | ||||||
| 0.07% | -0.36% | -0.36% | 41.33% | |||
| Medium-Term | Long Only | |||||
| -0.59% | -2.92% | -2.92% | 17.82% | |||
| ETF | Short-Term | Long Only | ||||
| -0.05% | 0.15% | 0.15% | 31.12% | |||
| Short Only | ||||||
| 0% | 0.68% | 0.68% | 7.48% | |||
| Long/Short | ||||||
| -0.05% | 0.86% | 0.86% | 30.99% | |||
| Medium-Term | Long Only | |||||
| 0.16% | -0.34% | -0.34% | 25.20% | |||
| Futures | Short-Term | Long/Short | ||||
| 0.42% | 3.04% | 3.04% | 9.60% | |||
| FX | Short-Term | Long/Short | ||||
| 0.19% | 1.81% | 1.81% | 16.92% | |||
| SPX | Benchmark Index | |||||
| -0.14% | -1.24% | -1.24% | 4.77% | |||
Daily Trade Signals
| Equities Short-Term Long | ||||||
| SYMBOL | NEW/EXIT POSITION | DAILY CLOSE | DAILY CHG (%) | INITIATE DATE | INITIATE PRICE | PNL |
| KMX | New | 50.83 | 2016/10/20 | 50.83 | ||
| -0.93 | 0% | |||||
| -1.81% | ||||||
| UNP | New | 90.64 | 2016/10/20 | 90.64 | ||
| -6.48 | 0% | |||||
| -6.91% | ||||||
| HCN | Exit | 70.88 | 2016/10/7 | 69.54 | ||
| 0.29 | 1.93% | |||||
| 0.41% | ||||||
| AEP | Exit | 62.91 | 2016/10/6 | 62.25 | ||
| -0.28 | 1.06% | |||||
| -0.44% | ||||||
| Equities Short-Term Short | ||||||
| SYMBOL | NEW/EXIT POSITION | DAILY CLOSE | DAILY CHG (%) | INITIATE DATE | INITIATE PRICE | PNL |
| ITW | New | 113.28 | 2016/10/20 | 113.28 | ||
| -2.44 | 0% | |||||
| -2.13% | ||||||
| NTAP | New | 33.87 | 2016/10/20 | 33.87 | ||
| 0.19 | 0% | |||||
| 0.56% | ||||||
| STX | New | 34.98 | 2016/10/20 | 34.98 | ||
| 0.66 | 0% | |||||
| 1.90% | ||||||
| AMGN | Exit | 161.5 | 2016/10/14 | 161.9 | ||
| 0.42 | 0.25% | |||||
| 0.26% | ||||||
| CSX | Exit | 30.34 | 2016/10/14 | 31.03 | ||
| -0.73 | 2.22% | |||||
| -2.38% | ||||||
| DLPH | Exit | 64.42 | 2016/10/14 | 65.99 | ||
| -0.71 | 2.38% | |||||
| -1.10% | ||||||
| KMI | Exit | 21.19 | 2016/10/14 | 20.36 | ||
| 0.48 | -4.08% | |||||
| 2.29% | ||||||
| BSX | Exit | 23.01 | 2016/10/13 | 23.15 | ||
| 0.14 | 0.60% | |||||
| 0.61% | ||||||
| FTR | Exit | 4.09 | 2016/10/13 | 4 | ||
| 0 | -2.25% | |||||
| 0% | ||||||
| Equities Medium-Term Long | ||||||
| SYMBOL | NEW/EXIT POSITION | DAILY CLOSE | DAILY CHG (%) | INITIATE DATE | INITIATE PRICE | PNL |
| HOLX | New | 38.47 | 2016/10/20 | 38.47 | ||
| 0.1 | 0% | |||||
| 0.26% | ||||||
| KSS | New | 44.02 | 2016/10/20 | 44.02 | ||
| 0.19 | 0% | |||||
| 0.43% | ||||||
| ETR | Exit | 74.51 | 2016/9/23 | 81.43 | ||
| -0.38 | -8.50% | |||||
| -0.51% | ||||||
| ETF Short-Term Long | ||||||
| SYMBOL | NEW/EXIT POSITION | DAILY CLOSE | DAILY CHG (%) | INITIATE DATE | INITIATE PRICE | PNL |
| FRI | Exit | 23.31 | 2016/10/14 | 23.13 | ||
| -0.09 | 0.78% | |||||
| -0.39% | ||||||
| TLT | Exit | 133.11 | 2016/10/14 | 131.59 | ||
| 0.14 | 1.16% | |||||
| 0.11% | ||||||
Portfolio Commentary
Most notable action today is that our signal has trimmed down on long utilities and REIT names, as well as exited FRI (REITs ETN) and TLT (Treasury Long Bonds) in our ETFs, as we believe the short-term rally in interest rates may be nearing an end. Also dipping our toes on couple names which we will cover in the analysis below.
Chart in Focus
KMX – Short-Term Long
Target: 55
Entry Point(s): 50.83
Comments: Dipping our toes again as selling pressure appears to be fizzling out on positive technical divergence on marginal lower lows.
UNP – Short-Term Long
Target: 95
Entry Point(s): 90.64
Comments: Plunges on heavy volume have proven to be contrarian buy signals in the past, and should have strong support at key swing point near 90.
NTAP – Short-Term Short
Target: 31
Entry Point(s): 33.87
Comments: A false breakout above 2015 highs suggests further downside in this correction. Targetting the bottom of strong gap up candle at 31
