Livermore Active Issues Index for Friday, Jan 29th
January 29, 2010
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Outperformance’s starting to show up! 3% now
The top 10 have held up much better in this market slump it seems…
Well done for a good start!
It’d be interesting to get the performance of the bottom 10 as well
hi jez, thanks–its a long term index so alpha takes time to build with a fair amount of short-term variance, but it was designed to be asymmetric with more upside in positive markets and less downside in negative markets. it can be used as a ranking system, but the preferred use of the bottom 50 or bottom 10 is actually as a mean-reversion index that can be traded with using the RSI or DV2 etc. an offshoot of the livermore is that it responds especially well to trend-following methods–and since the index does not incorporate timing this is very beneficial.
cheers
dv
R these results after slippage though?
hi sea, no they are not net of slippage, but these are nasdaq 100 stocks and all very liquid. with infrequent rebalancing this is not going to eliminate the edge substantially.
best
dv