Enfin toujours connaître le niveau d'invalidation de sa position.
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| 6 | 7 | 8 | 9 | 10 | 11 | 12 | ||||
| 13 | 14 | 15 | 16 | 17 | 18 | 19 | ||||
| 20 | 21 | 22 | 23 | 24 | 25 | 26 | ||||
| 27 | 28 | 29 | ||||||||
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Alcatel, c'est reparti.
Un graphe en quotidien pour la tendance suivi d'un graphe en 60 mn pour le timing.
Si retracement belle opportunité à saisir.
Je poursuis mes opérations de trade LT en intégrant à présent 3 approches.
1/ Les secteurs ( 18 secteurs / eurostoxx 600)
2/ Les pays et zones géographiques (30 trackers )
3/ Une approche dite ''tacticale" (6 trackers)
Comme toutes approches de trend following, le nombre d'opérations gagnantes tournent aux alentours de 45/55 % avec un payoff supérieur à 2 .
Soit depuis début 2009 les résultats suivants:
| Time Period | Yearly Returns |
| 2009 | 21,49% |
| 2010 | 19,26% |
| 2011 | 1,50% |
29 opérations gagnantes sur 53 ( 55 % )
un payoff ratio de 2,32 => ce qui implique que les moyennes des op perdantes sont de -100 et les moyennes des op. gagnantes de + 232
Je joint la liste des trades depuis le début en janvier 2009 ( à noter que le 5 derniers en gras ne sont pas clôturés):
| Date | Support | Résultat | Durée |
| 12/01/09 | Lyxor etf china | -11,31 | 7 |
| 12/01/09 | Lyxor etf turkey | -7,10 | 7 |
| 19/01/09 | Lyxor etf dax | -7,97 | 7 |
| 24/04/09 | Lyxor pan africa | 2,25 | 102 |
| 04/05/09 | Lyxor etf Nasdaq100 | 15,12 | 42 |
| 27/07/09 | Lyx.etf msci korea | 13,97 | 98 |
| 10/08/09 | Lyxor etf china | -3,24 | 98 |
| 05/10/09 | Lyxor ba ressource | 26,05 | 182 |
| 09/11/09 | Lyxor insurance | -3,72 | 35 |
| 30/11/09 | Lyxor-Emerging markets hors Asie | 29,05 | 238 |
| 30/11/09 | Lyxor banks | 53,33 | 231 |
| 14/12/09 | Lyxor retail | 0,03 | 35 |
| 21/12/09 | SP 500 | 0,64 | 21 |
| 05/01/10 | Lyxor est europe | 9,28 | 162 |
| 11/01/10 | Lyxor food beverag | 4,43 | 42 |
| 25/01/10 | Lyxor chemicals | -6,90 | 42 |
| 01/02/10 | Lyxor etf brazil | -11,76 | 175 |
| 08/03/10 | Lyxor etf turkey | 58,83 | 308 |
| 29/03/10 | Lyxor etf brazil | -1,24 | 56 |
| 10/05/10 | Lyxor ba ressource | -7,60 | 119 |
| 10/05/10 | Lyxor etf russia | 6,28 | 63 |
| 24/05/10 | Lyxor south africa | -7,82 | 56 |
| 5/7/10 | Lyxor etf Nasdaq100 | 8,21 | 196 |
| 09/08/10 | Lyxor food beverag | 1,98 | 196 |
| 9/8/10 | Lyxor-Emerging markets hors Asie | 3,96 | 91 |
| 09/08/10 | Lyxor travel & lei | 13,15 | 35 |
| 23/08/10 | Lyxor banks | -7,39 | 14 |
| 06/09/10 | Lyxor pers goods | 3,57 | 14 |
| 20/9/10 | Lyxor euromts 15+y | -0,54 | 42 |
| 27/9/10 | Lyxor-Emerging markets hors Asie | -1,51 | 7 |
| 04/10/10 | Lyxor travel & lei | -4,66 | 28 |
| 11/10/10 | Lyxor euromts 15+y | 0,85 | 14 |
| 25/10/10 | Lyx etf msci mala | 8,40 | 168 |
| 29/11/10 | SP 500 | 1,39 | 189 |
| 29/11/10 | Lyxor etf turkey | 17,96 | 49 |
| 13/12/10 | Lyxor pers goods | 7,13 | 70 |
| 03/01/11 | Lyxor etf dax | 4,32 | 70 |
| 14/02/11 | Lyxor etf msci tw | 4,09 | 77 |
| 21/02/11 | Lyxor ba ressource | 0,85 | 70 |
| 28/2/11 | Lyxor etf Nasdaq100 | 3,96 | 91 |
| 26/04/11 | Lyxor insurance | -5,91 | 64 |
| 09/05/11 | Lyxor etf russia | -0,14 | 126 |
| 16/05/11 | Lyxor co materials | -2,47 | 20 |
| 23/05/11 | Lyxor auto parts | 27,69 | 287 |
| 13/06/11 | Lyxor technology | -7,52 | 21 |
| 13/6/11 | SP 500 | -3,39 | 105 |
| 24/06/11 | Lyxor etf dax | -4,57 | 39 |
| 24/06/11 | Lyxor health care | -4,31 | 11 |
| 24/06/11 | Lyx.etf msci korea | -4,28 | 130 |
| 24/06/11 | Lyxor chemicals | -1,72 | 46 |
| 24/6/11 | Lyxor Stoxx Europe 600_Short | 0,94 | 11 |
Répartition des opérations :
Equity curve au 24 juin 2011:
On avance difficilement en 2011 mais les Drawndowns sont modestes, c'est plutôt du surplace.
Sachant que nous n'avons qu'un ou 2 grands gagnants par année, il convient d'accrocher toutes les opérations.
C'est ce qui fait la difficulté de ce genre de système. Nous sommes obligés de n'en rejeter aucune sous peine de passer à coté d'un grand mouvement.
Le dernier gagnant a été le secteur de l'auto. acheté en aout 2010 et revendu en mai soit 287 jours + tard.
Le futur beau trade est peut être déjà en portefeuille et se développera sur 2012, à suivre ...
Listes des ETF utilisés :
Liste 1:
Groupe : ETF_Secteur Date : 27/06/2011
Tri suivant les Hausses depuis le début de l'année
7,18% Lyxor auto parts
4,10% Lyxor health care
3,29% Lyxor insurance
2,83% Lyxor chemicals
0,16% Lyxor food beverag
-1,45% Lyxor telecommunic
-1,66% Lyxor pers goods
-1,83% Lyxor ind goods sv
-2,01% Lyxor technology
-2,49% Lyxor utilities
-3,03% Lyxor media
-3,66% Lyxor co materials
-5,19% Lyxor retail
-5,60% Lyxor oil and gas
-6,51% Lyxor financial sv
-7,18% Lyxor travel & lei
-8,71% Lyxor banks
-14,66% Lyxor ba ressource
Liste 2 :
Groupe : ETF_ZoneGéo Date : 27/06/2011
Tri suivant les Hausses depuis le début de l'année
3,05% Lyxor etf dax
2,92% Lyxor est europe
2,55% Master shar.cac 40
0,68% Master sh.e.stxx50
-0,31% Ftseur80 mast unit
-1,69% Lyxor etf DJones
-1,90% Lyxor ETF S&P MIB
-2,06% Lyxor etf russia
-2,38% Lyxor etf msci eu
-2,95% Lyx etf msci mala
-3,33% Lyx.etf msci korea
-3,99% Lyxor ETF MSCI USA
-4,19% Lyxor sp500
-5,31% Titans master unit
-5,47% Lyxor etf Nasdaq100
-5,86% Lyxor msci world
-5,95% Lyxor etf china
-6,78% Lyxor ETF MSCI Asia APEX 50
-7,85% Lyxor asia pa exj
-9,09% Lyxor-Emerging markets hors Asie
-9,52% Lyxor etf hsi
-11,93% Lyxor lat america
-12,14% Lyxor etf japan
-12,16% Lyxor etf msci tw
-12,97% Lyxor south africa
-13,70% Lyxor pan africa
-14,37% Lyxor etf brazil
-15,17% Lyxor etf greece
-16,49% Lyxor msci india
-18,56% Lyxor etf turkey
Liste 3 :
Groupe : ETF_Tactical Date : 27/06/2011
Tri suivant les Hausses depuis le début de l'année
1,95% Lyxor Stoxx Europe 600_Short
-1,12% Lyxor euromts 15+y
-4,19% Lyxor sp500
-5,47% Lyxor etf Nasdaq100
-7,24% Lyxor commo crb
-9,09% Lyxor-Emerging markets hors Asie
A voir absolument le site de David VOMUND :
sutout pour ceux qui n'ont pas lu le livre .
Mon approche est fortement inspirée de son livre et des publications sur son site que je vous conseille de lire avec attention.
J'ai intégré des ETF bear comme lui afin d'être positif dans les phases de marché baissier.
J'ai testé plusieurs approches afin de ne pas avoir les mauvaises années des scores négatifs, ce qui me permet d'être plus serein dans ce type de trading.
Il faut tout de même bien comprendre ce que l'on fait et être conscient que l'on peut être négatif pendant plusieurs mois avant d'accrocher le trade gagnant qui va faire la performance de l'année. C'est le principe du trading long terme mis à la sauce ETF et qui s'avère très efficace, à condition de savoir maitriser ses émotions, avoir de la patience et savoir suivre son système à la lettre sans entorse aux rêgles.
Croyez moi pas si facile que celà !
Ces dernières approches cf son dernier livre, à méditer ....
"TACTICAL ALLOCATION PORTFOLIO
|
In 2011, we began a Tactical Allocation portfolio that profits from sector and country rotation.
This “one portfolio, three models” strategy uses our famed relative strength rotation model, but we apply the model to three different sets of ETFs and mutual funds. Using a three model program helps to alleviate the inconsistency of running an aggressive growth portfolio with just one model and very few holdings.
The Tactical Allocation portfolio has five holdings.
The first model invests in Fidelity sector funds and consists of two holdings.
The second model trades sector and country ETFs and has two holdings. A market timing model is applied to this model so it can go to cash in a bad market.
The third model trades broad-based ETFs and includes an inverse fund. It can go short in a bear market. This model has one holding. " |
Publication EQ de mon approche avec 2 portefeuilles ETF
- Approche 1 / Secteurs et
- Approche 2 / pays et zones géographiques
Cela fait 2 ans que le système tourne et est bénéfique d'environ 20 % par an en moyenne.
J'expliquerai dans un prochain articles les approches retenues. Ce qu'il faut remarquer c'est que 10 mn par semaine suffises pour suivre et qu'ils sont d'une simplicité incroyable.
Le cac en ce début de semaine confirme le pivot hebdo baissier, repasse sous sa mm200 à 3221 ce jour et commence une impulsion du haut du canal baissier LT.
En swing le stop est à 3 245, en Intraday Ut 15 mn 3 160.
Impulse en weekly :
| Date | Achat | Neutre | Vente | Pression LT | Pression Short | |
| 14/11/08 | 15,0 | 50,5 | 34,5 | 30,38 | 69,62 | |
| 21/11/08 | 0,0 | 14,2 | 85,8 | 0,00 | 100,00 |
Les semaines passent et toujours la même dynamique baissière.
L'indicateur est à nouveau en pression short à 100 %
avec 0 % à l'achat - 14,20 % en neutre et 85,80 % à la vente
La tendance générale est on ne peut plus vendeuse. Toutefois le support oblique TLT pourrait permettre un rebond sur qq semaines danc ce marché baissier ( ce n'est pas écrit dans le
marbre).
Friday, November 14, 2008
PAUL KANGAS: My guest "Market Monitor" this week is Stan Weinstein, editor and publisher of "Global Trend Alert," a financial advisory service for institutional investors. And Stan welcome back
to NIGHTLY BUSINESS REPORT.
STAN WEINSTEIN, EDITOR & PUBLISHER, "GLOBAL TREND ALERT": Always my pleasure to be back, Paul.
KANGAS: When you were last with us in September of 2007, too long ago, the Dow was at 13, 400. You said the bull market was no longer healthy and warned if it broke below 12,800 on the Dow, bear would emerge and that was a great call. Congratulations.
WEINSTEIN: Thank you very much.
KANGAS: Now the question is: can you tell us if the market is in the bottoming process and ready for buying?
WEINSTEIN: Process is the right word. It takes time. So I think the process has started, but long-term, we're still bearish. I don't think that the bear has breathed its last. Short-term is a different thing. Short-term I think you may have hit a low this past Thursday and I'll give you two numbers to watch, but this is trading. If the Dow can close above 9800, I think for the first time in a heck of a long time, we'll get a good short- term rally. If it doesn't happen, conversely instead you close around 7800, another down leg.
KANGAS: What moving average is the most important one to follow under these conditions?
WEINSTEIN: There are two that I especially focus on. For long-term investing, I think the 200-day moving average is key. But for trading, I think the 50-day moving average is important. So I wouldn't use one. I'd combine the two together.
KANGAS: What stock groups do you think will lead the market higher when that time comes?
WEINSTEIN: We should only get there. I think that two groups - they're not bullish yet, but two groups which I think have seen their bear market lows, irrespective if the Dow goes there, are the airlines and the banks which you know I was bearish on before. Some select regional banks and some airlines and some select healthcare stocks look like they're starting to base, but they're not yet officially bullish. They're basing.
KANGAS: Back in September of last year, you didn't like the retailers, either and look what's happened then. There must be a time to buy.
WEINSTEIN: Well again, very, very split groups. Some retailers selectively are bullish, but there's a lot of retailers - when the charts are doing their thing, you've got to look chart by chart.
KANGAS: What else would you stay away from in the way of stock groups?
WEINSTEIN: There is no longer such a matter of groups because the groups (INAUDIBLE) like the oils, the fertilizers, they've destroyed them. But there are a lot of individual stocks that aren't too late to sell and here's where the charts do their think. If you have a stock that's close to its 200-day moving average starting to break down, I think that's still saleable, but (INAUDIBLE).
KANGAS: As you know, the G-20 leaders are meeting in Washington this weekend. What would you like to come out of that summit on the financial crisis?
WEINSTEIN: First of all, I'm a cynic, so I don't expect too much. But secondly, I'm a technician so I care less about what they say and it's how the market reacts to the news more than the news itself that will impress me.
KANGAS: Are there any foreign markets you do like?
WEINSTEIN: This is what's really scary. There are no foreign markets -- I go through all the charts that are bullish and they (INAUDIBLE) . We're in a worldwide bear market and those are the most dangerous, reminds me very much of what we went through in 1973 and '74, which was a devastating bear market.
KANGAS: What about gold and gold stocks?
WEINSTEIN: Both of them have been bullish. But the gold stocks topped out last March. Gold bullion topped out this past July and turned bearish in August. There is really not a lot of places to hide. They're both in bear markets now, too.
KANGAS: Can you hide in bonds?
WEINSTEIN: Bonds are at least neutral which I think will win here and neutral, just stick with high-quality government bonds and I say, short- term maturities, five years or less.
KANGAS: Very interesting. Stan, we have about 30 seconds left. Any final thoughts for our viewers?
WEINSTEIN: I would say that they should learn from this terrible bear market that we're going through, that a simple buy and hold strategy is very dangerous to your investing health. I think you've got to keep looking at charts and when they turn negative, you can't fall in love with the stock. There is a time to buy and a time to sell. If they say sell, you got to sell.
KANGAS: So it is good for the brokers, too?
WEINSTEIN: And it's good for you, too.
KANGAS: Very good. Stan, it is great to see you and get your insight. Thanks very much.
WEINSTEIN: It's always my pleasure, also, Paul.
| Date | Achat | Neutre | Vente | Pression LT | Pression Short | |
|
19/09/08 |
31,7 |
24,8 |
43,5 |
|
42,11 |
57,89 |
|
26/09/08 |
14,0 |
27,1 |
58,9 |
|
19,23 |
80,77 |
|
03/10/08 |
29,6 |
14,5 |
55,9 |
|
34,65 |
65,35 |
|
10/10/08 |
0,0 |
0,0 |
100,0 |
|
0,00 |
100,00 |
|
17/10/08 |
5,1 |
0,7 |
94,3 |
|
5,13 |
94,87 |
|
24/10/08 |
0,0 |
26,1 |
76,8 |
|
0,00 |
100,00 |
|
Date |
Achat |
Neutre |
Vente |
|
Pression LT |
Pression Short |
|
22/08/08 |
12,11 |
71,74 |
16,17 |
|
42,82 |
57,18 |
|
29/08/08 |
35,58 |
61,62 |
2,82 |
|
92,66 |
7,34 |
|
05/09/08 |
2,37 |
18,62 |
79,03 |
|
2,91 |
97,09 |
|
12/09/08 |
30,95 |
16,61 |
52,46 |
|
37,11 |
62,89 |
|
19/09/08 |
31,66 |
24,83 |
43,53 |
|
42,11 |
57,89 |
|
26/09/08 |
14,03 |
27,08 |
58,92 |
|
19,23 |
80,77 |
|
03/10/08 |
29,64 |
14,50 |
55,89 |
|
34,65 |
65,35 |
En WEEKLY:
| Date | Achat | Neutre | Vente | Pression LT | Pression Short |
|
22/08/08 |
12,11 |
71,74 |
16,17 |
42,82 |
57,18 |
|
29/08/08 |
35,58 |
61,62 |
2,82 |
92,66 |
7,34 |
|
05/09/08 |
2,37 |
18,62 |
79,03 |
2,91 |
97,09 |
|
12/09/08 |
30,95 |
16,61 |
52,46 |
37,11 |
62,89 |
|
19/09/08 |
31,66 |
24,83 |
43,53 |
42,11 |
57,89 |
|
26/09/08 |
14,03 |
27,08 |
58,92 |
19,23 |
80,77 |