Index trading system-weekly return 16-20 dec 2013

Stock index trading system this week performance goes up 8%.  The system long S&P 500 index most of time except Friday. The trading system daily return and indicators are shown in below table.

Day Long/Short/Neutral System Return S&P 500 Return Global Risk Aversion Index Momentum Index Short term Breadth
16/12/2013 100% 3.01% 0.59% 38.17% 1.03 54.00
17/12/2013 100% -2.44% -0.49% 35.50% 1.18 57.80
18/12/2013 100% 8.57% 1.68% 35.42% 1.14 54.00
19/12/2013 100% 0.00% 0.00% 27.92% 1.39 68.60
20/12/2013 0% 0.00% 0.00% 28.83% 1.36 68.60

risk indexMomentumBreadth indexput call ratio

Categories: STOCK INDEX TRADING

Comments are closed.