The Average Investor's Blog

A software developer view on the markets

The Weekly Update

Posted by The Average Investor on Jul 17, 2011

An ugly week for the stock markets, the S&P 500 losing 2.05%, but another splendid week for the ARMA strategy winning 1.56% over the same period!

Date GSPC Gain Position Position Gain
2011-07-11 -1.81% Short 1.81%
2011-07-12 -0.44% Long -0.44%
2011-07-13 0.31% Long 0.31%
2011-07-14 -0.67% Long -0.67%
2011-07-15 0.56% Long 0.56%

The ARMA strategy was short only on Monday, but what a difference it made, -1.8% on the S&P 500! After this last successful week, the ARMA strategy has registered a growth of 5.98% in 2011, back ahead of the S&P 500 performance of 4.65%.

On the 20-week EMA front, all indexes lost their previous gains and went into negative territory, but only the Emerging Markets ETF (EEM), closed below it’s 20-week EMA on Friday.

Asset Symbol Position Date In Gain
US REIT VNQ Long 2011-07-01 0.39%
Nasdaq 100 ^NDX Long 2011-07-01 -0.20%
S&P 500 ^GSPC Long 2011-07-01 -1.76%

A long position taken on the last signals from EEM would have resulted in a lost of about 3.11% – the fifth unsuccessful signal from this instrument.

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