10sep11 Tsfi Meeting

8/6/2019 10sep11 Tsfi Meeting

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Tri-State Financials Investors

Group MeetingSeptember 11th, 2010

Paul Duncan703-509-5332

[email protected]

Twitter: @GREMS8544

GGT Blog: http://greekgodtrading.blogspot.com

GGT TSP Blog: http://ggt-tsp.blogspot.com


2/31

Housekeeping

Welcome Old Faces and Newbies!

Yahoo!Website One central area for calendar, contacts, files http://finance.groups.yahoo.com/group/GreekGodTrading

Join: [email protected]

Post message: [email protected]

Next Meeting: Saturday, October 9th, 10 a.m. to 1p.m., herndon Fortnightly Library, 768 Center Street,Herndon,VA 20170-4670, Phone 703-437-8855 (NOVEMBER 2010 MEETING INSAME LOCATION).

Request $4-5 each meeting to cover copying costs, otherincidentals


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General Disclaimer You are responsible for your own investment/trading decisions, not me nor any

representative /memberof the Tri-State Financial Investors group nor of the Greek God

Trading group. This group, as well as the portfolios and topics presented today as well

as in the past, are no substitute for the services of a professional investment advisor.

Investments recommended may not be appropriate for all investors. Recommendations

are made without any consideration of your financial sophistication, financial situation,

investing time horizon, or risk tolerance. Past performance is no guarantee of future results. Model and actual signals and related

analysis are for informational purposes only and should not be construed as an offer to

sell or the solicitation of an offer to buy securities. Most financial instruments (stocks,

bonds, funds) carry risk to principal and are not insured by the government. Anyone

attending or viewing this session via electronic media for investment purposes does so

at his or her own risk. Data accuracy cannot be guaranteed. Opinions and analyses included herein are based

on factual observations and are believed to be reliable and produced in good faith, but

no representation or warranty, expressed or implied, is made as to their accuracy,

completeness, timeliness, or correctness. Paul Duncan is not liable for any errors or

inaccuracies, regardless of cause, or for the lack of timeliness of, or for any delay or

interruptions in, the transmission thereof to the users.


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Ground Rule There is only 1

Paul Duncan will not discuss anything related

to the use of products from the Company

whose name will not be spoken. Please do

not ask.


5/31

Pauls GGT System What is it?

Started in early 2008, rigorous publication in the GGT Yahoo! group ofETF tracking on a daily basis and stock tracking on a weekly basis sinceSeptember 2008. You can download the ETF files daily if you desire.

Uses an adaptive method of analysis to constantly find optimal

exponential moving averages (EMAs) related to price, volume, andrate of change (ROC) which maximize an equity curve over someperiod in the past.

Basic concept is that as long as we do not venture too far fromoptimized look-back period, that optimized results should continueforward for a finite amount of time

System was developed with the understanding that most systems failgoing forward if they are not modified. GGT adaptation addresses thisobservation.

On average, the ETF database is completely updated once everymonth and the stock database is updated about once every threemonths


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Pauls GGT System

What is it (continued)?

Based upon the present stock price and volume (the only

two REAL indicators), other parameters are derived and

one of 6 classifications is assigned to the stock. About 3000 stocks are then grouped according to two

broad classifications: Long or Cash

Ratio of Longs to Cash, as well as other characteristics of

the group as a whole, can give us great insight into wherewe are in the present market climate.

Daily blog at http://greekgodtrading.blogspot.com


7/31

GGT Dashboard (usually in blog)

Raw

LCR

Value

Short-Term LCR

Change Timer

Status

Aggressive Elder

Intermediate

Timer Status

Conservative Elder

Intermediate Timer

Status


8/31

GGT Timers

Two Timers are Derived from the GGT Data:

Short-term Long-Cash Ratio Change Timer

Tri-state: -1 is CASH, 0 is LONG-CASH or CASH-LONG

(depends on where it just moved from), and +1 (LONG)

Typically the signal is posted daily on my blog

http://greekgodtrading.blogspot.com

Intermediate-term

Elder methodologies reign here

High Growth Stock Investing (HGSI) package shines

with Elder indicators

This signal is also posted daily on my blog


9/31

Short-Term LCR Change Timer Even though this is a fast timer,

it can remain in a Long status for

extended periods

Graph to the left shows how long

(in days) the timer has remained

in the LONG state The average is 9.1 +/- 6.4 days

since Sept 08, but note, the

distribution is NOT bell-shaped!

This means that the standard

deviation reported above isnt

very applicable

2- & 3-day whipsaws occur in

trendless markets!


10/31

Short-Term LCR Change Timer

Graph to the left shows how

long (in days) the timer has

remained in CASH.

The average is 10.3 +/- 7.5days since Sept 08

Distribution not bell-shaped

2- & 3-day whipsaws are

less than the LONG call, but

still occur


11/31

GGT Short Term LCR Change Timer

The LCR is constructed using about 3000 qualitystocks

All are above 100K in volume

All are above $1 All trade on the three major exchanges

I learned long ago to match the timer and the vehicle e.g., it doesnt make sense to invest in technologystocks using a timer derived from the financial sector

Correspondingly, use the VTI (Vanguard Total IndexETF) as the trading vehicle

What is the efficacy of this ETF on the long side?


12/31

Invest only

when Priceof VTI is

above 150d

EMA


13/31

Improving on the VTI/GGT

Short-Term LCR Change Timer Pair As was shown on previous slide,blindly following the VTI / GGTLCR Change Timer could causefrustration.

The chart to the left shows the

impact of different EMA filters,whether long or short, incombination with the GGT LCRChange Timer

CR and ME are two very goodmetrics to use in your portfolio;make sure you understand them

Want (+) ME and CR > 2.0(ideally)

Bottom line: only purchase theVTI when the price of the VTI isABOVE the 150d EMA, and nevershort the VTI in accordance with

the timer moving to cash.


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What about Other ETFs?

The Long SideW

orks, but the Contra side .


15/31

What about Other ETFs?

The Long SideW

orks, but the Contra side .


16/31

Short-Term LCR Change Timer

Behavior When LONG (+1), you are at least two days from beingin CASH (-1)

You can get an advance jump if the markets aretransitioning by watching http://www.finviz.com,

specifically the ADV/DEC values in the upper left corner If LONG, and these ADV/DEC values show a solid move

down (more DEC), then the timer will transition fromLONG to LONG-CASH (0).

If the timer is in LONG-CASH (0) and youre holdinglong positions, a solid move down will cause the timerto move to CASH (-1). You would want to close anylong positions prior to the close if possible.


17/31

Short Term LCR Change Timer

Trading Rules Ensure you couple the LCR Change Timer signal with a movingexponential moving average of the equity you are considering atleast a 150d or greater

Trade the ETF between 3:30 pm and 4 pm after reviewinghttp://www.finviz.com, specifically the upper left ADV/DEC bar to

get a highly probable direction on the LCR Change Timer If you cannot trade ETFs between 3:30 and 4 pm, consider after-

hours trading, else place a trade for the open in the morning. Notethat trading during amateur-(half)hour is more risky than waitinguntil after 10:00 a.m., but I understand that many of you cannottrade during normal working hours.

Buy ONLY when transitioning from CASH-LONG (0) to LONG (+1),and

Sell AT LEASTWHEN transitioning from LONG-CASH (0) to CASH (-1).Note that you may be giving up significant gains if you wait to theLONG-CASH (0) signal (see next slide)


18/31

Short-Term LCR Change Signal

Locking in Gains Should I Sell?

For the chart above, read the amount of gain you have in a position, then findthe number of days youve held that position by reading down the left side

Since the GGT short-term timer lasts 2-10 days per signal, you can see whatyour annualized gain is and whether you should exit INDEPENDENT OFMARKET ACTION.


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Intermediate-Term Elder Timer

If you are not familiar with Dr. Alexander Elder, Google hisname and order Trading for a Living as well as Come IntoMy Trading Room. You will not regret spending the coin.

Im a big fan of the Elder Force Index concept, and coupled

with High Growth Stock Investing tools, staying on the rightside of the market is virtually assured.

The Force Index (FI) is simply todays change in pricemultiplied by todays volume.

Elder applies a 2d EMA, as well as a 13d EMA to this FI and

from here, we can determine what the market is doing Elder also uses a shorter as well as longer EMA (e.g. 13d

and 34d) to help establish trend in context with the FI

He discusses slope of these EMAs, and HGSI makes it veryeasy to explicitly search on the 13d and 50d slopes of these

EMAs


20/31

Elder Concepts

Bull Power: (High of the bar 13d EMA). The higher thebetter for bulls. HGSI uses 22d EMAs.

Bear Power: (Low of the bar 13d EMA). The higher thebetter for the bears. HGSI uses 22d EMAs.

When Bear Power goes positive (+), the bulls are incredibly

strong. Conversely, when Bull Power goes negative, the bears are

incredibly strong.

Elder 13d Force Index: We want this to be a POSITIVE numberto trade long. Consider this a GATE.

Elder 2d Force Index:W

e want this to be transitioning fromnegative to positive (or from more negative to less negative)for the equity we are reviewing. Consider this the foundationfor entry. If positive, avoid entry until a pull back occurs.

EMAs: We want both the short and long EMAs to have apositive slope


21/31

Elder View Setup in HGSI

The setup to the right ismodified from a defaultsetup within HGSI

The key here is that the 2d

FI HAS REVERSED COLORScompared to the defaultsetup GREEN is a negative2d FI, RED is a positive 2d FI.

The 13/34d EMA Slopes are

a NEW ADDITION to this, asthey give you great insightas to the momentum of theindex/equity


22/31

HGSI View of Elder 10SEP10

Bulls are in

control, but

waning a bit

13d FI

is (+)

Slopes are

presently

(+) Ignore2d FI

for

Indexes


23/31

Intermediate-Term Elder Timer

Notables RealW

orld Elder 13d FI moved (+) on September 1st, signaling a newbull leg

13d Price EMA was still below 34d EMA on this date,signaling caution

Both the slopes of the 13d price EMA and the 34d priceEMA moved positive on September 2nd, indicating that wehad a form of confirmation occurring. Bear power moved(+), further indicating a bull leg.

On September 3rd it appeared that the 13d price EMA had

crossed the 34d from below, signaling a bull leg Despite all these bull indicators, volume is anemic, which is

problematic for sustaining a bull (few institutional investors,just retail and surgical strikes from the institutions)


24/31

So Elder 13d FI > 0, NowWhat?

Hunt for individual stocks!

Ensure that short and long-term EMAs are in an

uptrend (slope > 0) The filter above will return quality stocks meeting

Elders criteria


25/31

Elder Candidates for Monday


26/31

How to Enter an Elder-Screened

Stock Gating Criteria:

Global 13d Force Index

must be positive

Global 13d and 34d priceEMAs must be in

uptrends (slopes are

positive)

If you fail either of theabove tests, stay in

cash

Stock Criteria:

Equity 13d Force Index

must be positive

Equity 2d Force Index mustbe negative

Equity 13d and 34d price

EMAs must be in uptrends

(HGSI only has ability to

filteron 50d slope, but youcan view any EMA slope)

Your entry MUST be above

the previous days HIGH.


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Example CRM, Salesforce.com


28/31

When to Sell an Elder-Screened

Position Incredibly simple: Sell when the:

Individual 13d Force Index on the equity moves

NEGATIVE, or

When the 13d and/or 34d slopes

1) Either Moves Negative

2) Cross each other from above (e.g., 13d x 34d from

above)

So, back to our CRM example:


29/31

Selling CRM

13d FI

is (-)

13d Slope 0,

only to have the 2d FI always > 0. Move on.

The key to Elder is to pick stocks that are:

In an uptrend as measured by the slopes of the

13d and 34d price EMAs these need to be > 0

Have sold off dramatically for whatever reason,

and will rubber band back to the mean.


31/31

GGT Investing via GGT, LLC

A LLC was formed last year to start a Put Our Money where OurMouth Is Club.

We presently have 6 members who are in;

We will collect checks from October through December 2010, thenwill close entry to the club until next year.

We need a minimum of $30,000 for day-trading status (preferredapproach).

The amount to participate is $2000; we are initially restricting to*just* this amount so that everybody is equal.

If you already contributed $1500 I ask that you up this to $2,000 so

that we can have equal shares across all members of the LLC. By-Laws are available upon request, and are being finalized.

Investment philosophy will be the same as shown here short termtimer, intermediate-term timer, liberal use of HGSI and TradeStationtools, and other approaches as we become more sophisticated.

10sep11 Tsfi Meeting

Documents

Transcript of 10sep11 Tsfi Meeting