Tag Archives: nonlinear portfolio construction

Asset class Ranking set! (Portfolio)

Dec-Jan Rotations: Core Mkt = Gold, Featured Mkt = Asset class Portfolio.

Signals: Gld = Buy 12/29 (TSP= Waiting), AC Portfolio= bought 12/29

Model notes: We are releasing (first time ever) the sample asset class ranking portfolio. The signal day is 12/29 and the TSP will be the close of 12/20. Since this is a sample of the premium product, we are excited and looking for forward to the performance numbers in January. Remember if the models dictate, we could have a rebalance between now and Jan 31 (the last trading day in January). The gold model also registered a buy. The exit to flat signal on gold proved a good signal but now the models are calling a “buy” indicating some type of bottom is now in.

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • Gold Trading Signals (Core). The selloff after the Dec 2 “sell” signal and the later “flat” signal (Dec 16) worked well for us. The models are now signaling a “buy” and the clear inference is the recent bottom at 107.50 (GLD basis) is going to be significant.
  • Asset Class Portfolio (Featured). We are posting the buy-in of the CTM sample asset class portfolio ranking. (Do I hear the faint, “It’s about time!”) I wanted to get a reconfirmation before hitting the button and we now have it. The rankings indicate the continuation of the Trump-trade (stocks heading up and bonds on the defensive). What about the Dec 28 selloff? The models are not seeing this as a game changer yet. I have listed three asset classes: SPY (stocks), TLO (bonds) and USO (energy) as well as a control (balanced) portfolio for comparison.

 

Premium Research notes:

Observation: Is it just me, or would our premium ranking signals make a great (moderately priced) addition to any hedge fund strategy? Don’t sit around your Monday morning meetings giving each other high-fives with a two-star strategy on the books. Nonlinear portfolio construction can give you an edge. Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2017, I am only going to take on 4 clients!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

Check out the energy tab. We tracked crude during the run up to the US presidential election. There was plenty negativity with a surprise ending. See how nonlinear analysis walked us through it!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold trading.”

The money train over? (GLD)

Dec-Jan Rotations: Core Mkt = Gold, Featured Mkt = Asset class Portfolio.

Signals: Gld = Flat 12/16 (TSP= Waiting), AC Portfolio= waiting to rebalance.

Model notes: Gold dropped since our yellow metal ‘sell’ signal. We got the previous signal early in the time period (Dec 2, Dec-Jan). So the model seems in sync. As I mentioned in the previous post, gold is the market I have faced off with the most. Good job so far. On the AC (asset class) portfolio, I am still waiting for a rebalance signal. Maybe this week.

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • Gold Trading Signals (Core). Well the models generated a ‘flat’ signal based on the most recent data. So this probably means the (short) money train is over. Please remember going neutral after a short signal does not mean the same thing as getting a ‘buy’. Hopefully discipline wins the day. (Discipline means waiting for the next signal).
  • Asset Class Portfolio (Featured). I will be displaying the rankings as they occur and we can evaluate as the time period progresses. Expect a listing of three asset classes: SPY (stocks), TLO (bonds) and USO (energy).

 

Premium Research notes:

Observation: Is it just me, or would our premium ranking signals make a great (moderately priced) addition to any hedge fund strategy? Don’t sit around your Monday morning meetings giving each other high-fives with a two-star strategy on the books. nonlinear portfolio construction can give you an edge. Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2017, I am only going to take on 4 clients!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

Check out the energy tab. We tracked crude during the run up to the US presidential election. There was plenty negativity with a surprise ending. See how nonlinear analysis walked us through it!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold trading.”

Models tag their old (but deadly) foe quickly. (GLD)

Dec-Jan Rotations: Core Mkt = Gold, Featured Mkt = Asset class Portfolio.

Signals: Gld = Sell 12/02 (TSP= 111.54), AC Portfolio= waiting to rebalance.

Model notes: The way I figure it, the market my models faced off with the most, is gold. So we have another round in early Dec with an early sell. The yellow metal is drifting down. So we wait and watch. The new asset class portfolio is a pause right now. I initially decided to wait for a ‘sea-change’ signal (an infrequent massive alignment) during the Dec-Jan cycle. After two weeks, I am starting to think the ‘sea-change’ was really about a week before the election. So now what? I need to find some type of signal change or shift to trigger the rebalance.

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • ctm161212gGold Trading Signals (Core). The general trend is down but it is not really accelerating, more like a decay. Anyway, the models seem to have tagged it. No near-term evidence of a reversal. No obvious support (you can make a case for 110-ish).
  • Asset Class Portfolio (Featured). I will be displaying the rankings as they occur and we can evaluate as the time period progresses. Expect a listing of three asset classes: SPY (stocks), TLO (bonds) and USO (energy).

 

Premium Research notes:

Observation: Don’t sit around your Monday morning meetings giving each other high-fives with a two-star fund or strategy on the books. nonlinear portfolio construction anyone? Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2017, I am only going to take on 4 clients. CTM can help and our rates are reasonable!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

Check out the energy tab. We tracked crude during the run up to the US presidential election. There was plenty negativity with a surprise ending. See how nonlinear analysis walked us through it!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold (and crude) trading.”

Models Sell, following the trend (GLD)

Dec-Jan Rotations: Core Mkt = Gold, Featured Mkt = Asset class Portfolio.

Signals: Gld = Sell 12/02 (TSP= waiting), AC Portfolio= waiting to rebalance.

Model notes: We are starting a new cycle (Dec-Jan) and we start off with the gold sell. Pretty straight forward. Next we are starting new feature market, the asset class portfolio. We will show a sample 3 security asset class portfolio using SPY-USO-TLO (stocks, energy, bonds). So where is the portfolio? I am waiting for a rebalance signal (sea-change signal). I am going to be demonstrating the power of using our technology, nonlinear portfolio construction. Stay tuned. Exciting stuff!

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • ctm161202gGold Trading Signals (Core). This is a simple start. The trend is down and the non-linear models are not picking up an upside reversal yet. Some negative back drops include the recent rise in interest rates (and the effect on the dollar) and the technical downtrend. Where is the support? We will see.
  • Asset Class Portfolio (Featured). I will probably be displaying the portfolio using a screen shot of a spreadsheet once I get the sea-change signal (hopefully in a week or so). Anyway, expect a sample $100,000 to be split between stocks, bonds and energy. For this demonstration, we are going to use the technology to underweight the sectors on a sell or neutral, and overweight on sectors we expect to appreciate.

 

Premium Research notes:

Observation: Don’t sit around your Monday morning meetings giving each other high-fives with a two-star fund or strategy on the books. nonlinear portfolio construction anyone? Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2017, I am only going to take on 4 clients. CTM can help and our rates are reasonable!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

Check out the energy tab. We tracked crude during the run up to the US presidential election. There was plenty negativity with a surprise ending. See how nonlinear analysis walked us through it!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold (and crude) trading.”

Wheat on a sell (WZ16)

Oct-Nov Rotations: Core Mkt = Wheat, Featured Mkt = Crude.

Signals: WZ = Sell 11/22 (TSP= waiting), CLZ= Buy 10/28 (TSP= 46.86).

Model notes: The wheat model gave a sell. The models have been calling the grain market well this cycle. The latest trade on the crude market is looking better after going underwater for a couple of weeks, but the latest action has the trade going positive. This is very encouraging and continues to show the value of nonlinear analysis. We are back on track to feature (for the first time) some nonlinear portfolio construction samples. Exciting stuff!

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • ctm161122wWheat Trading Signals (Core). Wheat popped after the models went neutral, but now the models are returning to a bearish view. $390 seems like a likely target, if not lower.
  • ctm161122cCrude (Featured). We have struggled during this signal as the crude market continued to find tough slogging during the depressing run up to the US presidential election. But post-Trump, the economic outlook has a more optimistic tint to it. With today’s close, we move into plus side of the ledger on this trade.

 

Premium Research notes:

Observation: Don’t sit around your Monday morning meetings giving each other high-fives with a two-star fund or strategy on the books. nonlinear portfolio construction anyone? Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2017, I am only going to take on 4 clients. CTM can help and our rates are reasonable!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold (and crude) trading.”

Wheat signal goes flat. (WZ16)

Oct-Nov Rotations: Core Mkt = Wheat, Featured Mkt = Crude.

Signals: WZ = Flat 11/14 (TSP= waiting), CLZ= Buy 10/28 (TSP= 46.86).

Model notes: My last post (“Sea change?”) proved prescient on the coming Trump victory as the nonlinear numbers detected a future rumble in the financial landscape (both models flipped 180 degrees). We are doing pretty well on the wheat front with our first trade scoring a small profit. Today’s signal (TSP to be determined) looks to be much better. How about crude? Our first completed trade scored just short of $2.50. But the current position is getting uncomfortably underwater.  We periodically update our models. On this round, we updated to v3.0 for the Oct-Nov cycle, however we still used the initial parameters of v2.0. CTM may update the parameters and run crude as our featured market for Dec-Jan. I was hoping to run a sample ranking (ala our premium product) during that time frame. Oh well.

Note: ALL Mummy calculations use the TSP (Theoretical Signal Price)! The TSP metric is calculated by using the ‘close’ price of the trading day FOLLOWING the signal day (giving you plenty of time to take the signal).

Note: The following comments are based on using technical analysis to ‘flesh out’ our nonlinear trading signals.

Nonlinear Trading Themes:

  • ctm161114wWheat Trading Signals (Core). Wheat broke down this week and the CTM models signaled to go flat (neutral). The TSP calculation is to follow, but initially this looks to be a good trade for us. Reset and look for another entry.
  • ctm161114cCrude (Featured). The previous completed trade was profitable but our current position is uncomfortably under water. Monday’s market action featured a reversal of sorts, the close settling well off the lows of the day. Today the market touched near the significant lows of early August. Where will we go from here? Nonlinear analysis suggests the bulls have the edge.

 

Premium Research notes:

Observation: Don’t sit around your Monday morning meetings giving each other high-fives with a two-star fund or strategy on the books. Nonlinear portfolio construction anyone? Contact me for more info. Click the ‘Ranking’ tab to find out additional info. By the way, in 2016, I am only going to take on 6 clients. CTM can help and our rates are reasonable!

We are now offering asset class ranking (or alternatively sector ranking), using our trading signal technology on a longer timeframe. This is an exciting new product as portfolio construction has one glaring, missing puzzle piece: what asset classes will continue to outperform/advance for next month? Get your independent research here, put my 25+ years of model building experience to work for you!

Take a minute to peruse the US Equities tab. I posted the S&P 500 trading signals postmortem for the recent March-April time period (approx. as it took about a week to generate a signal at the beginning). Plus 134 Points. Great stuff!

Take a minute to check out the Forex tab on our website. I am posting the recent US Dollar May-June signals. No whipsaws and playing the surprise Brexit vote just right. Great stuff!

Take a minute to take a minute to click on our bond trading tab. Our signals took the profits in the early month while holding the long interest rates position later. It never sold rates, hinting at higher rates to come. The TBT went higher outside our test window. A nice tip-off for the future!

GH Garrett – Chief Market Analyst for ConquertheMummy.com  © 2015-2016, “Nonlinear trading signals that matter in gold (and crude) trading.”