Daily Watchlist · On Our Radar · Portfolio Update

2016/10/31 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
0.35% -2.71% -2.71% 43.59%
    Short Only        
      -0.34% -0.29% -0.29% 34.02%
    Long/Short        
      0.08% -1.79% -1.79% 39.90%
  Medium-Term Long Only        
      0.04% -3.95% -3.95% 16.79%
ETF Short-Term Long Only        
      -0.79% -2.10% -2.10% 28.87%
    Short Only        
      0.04% 2.10% 2.10% 8.90%
    Long/Short        
      -0.62% -0.59% -0.59% 29.55%
  Medium-Term Long Only        
      0.93% -1.05% -1.05% 24.50%
Futures Short-Term Long/Short        
      0.32% 3.40% 3.40% 9.96%
FX Short-Term Long/Short        
      0% 1.89% 1.89% 17%
SPX Benchmark Index          
      -0.01% -1.94% -1.94% 4.02%
             

Daily Trade Signals

Equities Short-Term Long
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
ABBV New 55.78   2016/10/31 55.78  
-1.82 0%
-3.21%  
IVZ New 28.09   2016/10/31 28.09  
-0.45 0%
-1.59%  
MMM New 165.3   2016/10/31 165.3  
-0.47 0%
-0.28%  
COST Exit 147.87   2016/10/18 149.11  
-1.89 -0.83%
-1.27%  
Equities Short-Term Short
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
EIX New 73.48   2016/10/31 73.48  
1.6 0%
2.20%  
LNT New 38.05   2016/10/31 38.05  
0.82 0%
2.18%  
SLG New 98.22   2016/10/31 98.22  
2.41 0%
2.48%  
TSS New 49.88   2016/10/31 49.88  
-0.19 0%
-0.38%  
TWX New 88.99   2016/10/31 88.99  
1.52 0%
1.72%  
CNC Exit 62.48   2016/10/25 65.36  
-0.66 4.41%
-1.05%  
SEE Exit 45.63   2016/10/25 42.45  
0.2 -7.49%
0.44%  
TRV Exit 108.18   2016/10/25 109.03  
-0.25 0.78%
-0.23%  
Equities Medium-Term Long
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
CTL New 26.58   2016/10/31 26.58  
-3.81 0%
-13.40%  
SWN Exit 10.39   2016/10/21 11.59  
-0.02 -10.35%
-0.19%  
MNK Exit 59.26   2016/10/11 68.16  
-2.12 -13.06%
-3.51%  
MRO Exit 13.18   2016/10/5 16.12  
-0.54 -18.24%
-4.02%  
NEM Exit 37.04   2016/10/4 34.25  
1.66 8.15%
4.59%  
NOV Exit 32.1   2016/10/4 35.68  
-0.83 -10.03%
-2.55%  
ETF Short-Term Long
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
XLP New 52.8   2016/10/31 52.8  
0.13 0%
0.25%  
EFA Exit 57.82   2016/10/25 58.14  
0.03 -0.55%
0.05%  
XOP Exit 35.35   2016/10/25 36.76  
-0.85 -3.84%
-2.38%  
ETF Short-Term Short
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
DXJ New 45.15   2016/10/31 45.15  
0.14 0%
0.31%  
ETF Medium-Term Long
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
GLD Exit 121.94   2016/10/4 120.97  
0.36 0.80%
0.30%  
Futures Short-Term Short
SYMBOL NEW/EXIT POSITION DAILY CLOSE DAILY CHG (%) INITIATE DATE INITIATE PRICE PNL
PL1 Exit 978.6   2016/10/21 928.6  
-3.15 -5.38%
-0.32%  

 

 

 

Portfolio Commentary

No doubt a tough month as we admittedly struggled last month by the choppiness with number of ill-fated trades. The principle to our quantitative strategy is that in the long-run we have consistently outperformed, so we are definitely not deterred by one month of poor performance. That said, we realized flaws and made adjustments to our risk management system, cleaned up positions not going our way, and am looking forward to close the rest of the year strong.

First major positioning to begin the month is short selective Utilities stocks after the sector squeezed to top of top of descending channel as highlighted in our commentary. Also went long select oversold stocks that have high probability of a reversal.

 

 

Chart in Focus

IVZ  –  Short-Term Long

Target: 29.5

Entry Point(s): 28.09

Comments:  IVZ plunged to oversold conditions with RSI under 30, which in the past signaled a strong bounce is due

20161101-IVZ.png

 

EIX – Short-Term Short

Target: 72.14

Entry Point(s): 73.48

Comments: Squeezed up to top of descending channel and above Boll Band, which should meet solid resistance and pullback towards 50DMA

20161101-EIX.png

 

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