Disclaimer

I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog. 

Latest Signals Table

By clicking the following links, you acknowledge you have read the disclaimer above in its entirety and agree with it. Click here (or pdf version here) to see my latest signals for my trading setups based on the weekly Commitments of Traders reports issued by the U.S. Commodity Futures Trading Commission. I update this table after each weekly COT report issued Fridays at 3:30 EST.

Backtesting Results Table

By clicking the following links, you acknowledge you have read the disclaimer message above in its entirety and agree with it. Click here (or pdf version here) to see my backtesting results for my trading setups based on the weekly Commitments of Traders reports issued by the Commodity Futures Trading Commission. Be sure to click the tab for the explanatory notes.

Control Thy Risk

Here's my table of highly correlated markets for my Highly Correlated Markets Risk Control Rule, a.k.a. the Don't-Bet-Against-Myself Rule (see more on it on my "How It Works" page and this blog post):
S&P 500: Dow Jones industrials
Dow Jones industrials: BKX Banks Index, S&P 500
NASDAQ 100: n/a
BKX Bank Index: Dow Jones industrials
Nikkei: n/a
Natural gas: n/a
Gold, copper, silver, platinum, heating oil, crude oil (all highly correlated with each other)

Notes:
1) I defined markets as "highly correlated" when their weekly open prices have greater than 0.85 correlation between March 1995 (the start of the combined futures and options Commitments of Traders data) and the end of 2007 (the end of my test data).

2) Markets like the Nikkei and NASDAQ 100 that have the notation "n/a" aren't highly correlated with any other market. These uncorrelated markets are useful for building diversity into my portfolio.

3) No trade will be taken in the case of an equal number of long and short setups in highly correlated markets.