The Average Investor's Blog

A software developer view on the markets

The Weekly Update

Posted by The Average Investor on Oct 17, 2010

Not much going on lately, the markets have been trending for a while now (up), making trend following strategies look awesome. All positions mentioned lately have been doing well:

Asset Symbol Position Date In Gain
Emerging Markets EEM Long 2010-07-23 13.53%
Nasdaq 100 ^NDX Long 2010-09-03 12.15%
US REIT VNQ Long 2010-07-23 8.91%
S&P 500 ^GSPC Long 2010-09-30 3.06%

In the column field, I use the Yahoo Finance Symbol. Symbols starting with “^” are indexes, not a particular trading instrument.

Another new detail is that I have started using the closing day date instead of the opening of the next day. For long term trend following systems that change should be irrelevant, however, it is certainly better for short-term contrarian systems and is widely used (just check the volume of the last hour on any trading day). For the ones interested in similar strategies, there is plenty of information on the web, certainly the MarketSci Blog articles and research on RSI(2) systems is a good place to start.

One last point – the markets seem overbought here. Especially the Nasdaq 100. On the other hand, with all the money pumping noone knows what’s going to happen.

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