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Livermore Active Issues Index for Friday, Jan 29th

January 29, 2010

4 Comments leave one →
  1. January 29, 2010 7:03 pm

    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

  2. david varadi permalink*
    January 29, 2010 7:08 pm

    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

  3. sea dog permalink
    January 29, 2010 7:44 pm

    R these results after slippage though?

    • david varadi permalink*
      January 29, 2010 11:04 pm

      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

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