Here's my trend-following system applied to Twitter in 2015 ... fairly disastrous, but if it's one of 100 positions, then it doesn't matter. Two bad whipsaws in September and October, but at least out in mid-November and no damage since.
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I don't usually apply my trend-following system to individual stocks since they're so volatile, but I was curious to see where the exit would have been in SunEdison (SUNE). The answer is July 27, 2015 at $25.61. The downtrend that started then has yet to reverse.
I guess the big shareholders of SUNE don't put any stock (ha!) in trend-following systems, but they would have avoided a lot of pain if they did.
(I plan to look at Chipotle, Twitter, and Valeant next, so look out for those posts.)
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One change this week as QID reverses. Please read this post to understand the new portfolio.
Been meaning to do this for awhile, but the New Year a good time to make a clean break. You can see from the correlation matrix below that there was a lot of overlap among the ETFs I followed, and many of them are now so illiquid that they are untrade-able, even on a weekly basis!
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DUG and SCO are highly correlated with the more liquid ERY, so they both get the boot.
DXD and FAZ are highly correlated with the more liquid SDS, so those two get the boot.
MZZ is completely illiquid and highly correlated with TZA, so it gets the boot.
EPV, FXP, SMN, SRS, TYP, YCS, and ZSL are all illiquid -- all get the boot.
Even though QID is highly correlated with SDS, I'll keep it for now.
VXX is very liquid but I prefer to keep the inverse XIV instead.
So that leaves us with: DZZ (gold), EDZ (emerging markets), ERY (energy), EUO (Euro), QID (Nasdaq 100), SDS (large caps), TBT (long treasury bond), TZA (small caps), and XIV (inverse VIX).
This is how the post will look from now on:
I'm going to try to read a book a week in 2016, ok, round it down to 50 books. Emil and the Detectives was actually an Xmas gift to my ten-year-old son, but I read it first. It was charming. Did have some disturbing pre-visions of Nazi youth (book written in 1929 ... four short years to 1933). Favorite line: "Four million people lived in Berlin, and not one of them was interested in Emil Tischbein."
From today's USA Today, a variation on the classic Tumblr: THE BROKERS WITH HANDS ON THEIR FACES
Photograph: Richard Drew, AP
From my Spotify Weekly Discover list ... people, places, things name-checked in this song: Marlene Dietrich, Zizi Jeanmaire, Balmain, St. Michel Boulevard, the Rolling Stones, Sacha Distel, the Sorbonne, Picasso, Juan-les-Pins, St. Moritz, Napoléon brandy, Aga Khan, Naples. Sarstedt bemoaning social mobility? Sung from vantage point of sibling who didn't make it?
Note white people rocking listlessly in foreground (1969).
One of the several Camera Obscura songs that I like ... no good live version of it on Youtube so I must link to this:
No changes this week.
No changes this week.