Tuesday, January 18, 2011

For Gold And Silver Bugs

Below I am enclosing the results of my gold and silver models.   The trend following models I employ are eant to capture long established trends in the underlying assets.   The GLD model entered the position in April 2005 and remained long through mid October 2010.   Note that in this particular instance the model more or less mimics the underlying GLD ETF. 

 The Silver Model modestly outperforms the SLV ETF but does so with approx 40% less volatility.  The rules for entry and exit are established in order to determine exit and entry points.   This methodology has worked well in both the QQQQs, EWZ, EWH in particular (refer to my first posting for results through Nov 2010).
The idea is to have a model that captures long term trends in multiple markets by applying a similar process for determining rules.   I have been playing around with some shorter dated models and will post the results of those when I am satisfied with the progress.   The ideal end user of these models would be fund managers adopting a long term horizon who may either use this model to trade these ETFs or to use it as an overlay to manage there own stock picking.  These models will not appy to the HFT community many of whose models success relies on picking off ones customers through the ability to co-locate their servers with the exchanges.