Daily Watchlist · On Our Radar · Portfolio Update

2016/11/04 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update


Equities Short-Term Long Only        
-0.09% -3.57% -6.28% 40.02%
    Short Only        
      -0.75% 2.63% 2.33% 36.65%
      -0.34% -1.08% -2.86% 38.83%
  Medium-Term Long Only        
      -0.71% -4.05% -8% 12.74%
ETF Short-Term Long Only        
      -0.09% -1.01% -3.11% 27.86%
    Short Only        
      0.84% 3.44% 5.54% 12.34%
      0.06% 0.07% -0.51% 29.62%
  Medium-Term Long Only        
      0.10% -2.26% -3.30% 22.24%
Futures Short-Term Long/Short        
      -0.36% -0.36% 3.05% 9.60%
FX Short-Term Long/Short        
      0% 0% 1.89% 17%
SPX Benchmark Index          
      -0.17% -1.93% -3.83% 2.02%

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Portfolio Commentary

Just two more days until Election Day, there is plenty of signals of fear judging from put call ratio and VIX as mentioned above. Panic selling is the only ingredient missing as the TRIN index indicates. Anyhow our signal is getting increasingly looking to the long side given the statistical indicators. We went long several more stocks that were beaten down such as AMZN, and two more ETFs in XLK and XRT in our Medium-Term portfolio.  That said, as our signal does not read into politics, this is understandably risky as headlines are trumping technicals. However this is what our quant signal is supposed to do – filter out the news and focus on just the statistics and technicals, which helped us pick bottoms earlier this year. We will continue to believe in our system in this regard, and should there be a secular change in the market direction, our system will surely detect as well.



Chart in Focus

GE  –  Medium-Term Long

Target: 29.6

Entry Point(s): 28.44

Comments:  Positive technical divergence on marginally lower lows signals potential larger bounce in the works



PDCO  – Short-Term Short

Target: 42.35

Entry Point(s): 45.76

Comments: In process of creating large H&S pattern after sharp relief rally creates right shoulder. Also a confirmed bearish death cross points to continued drop towards H&S neckline area




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