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Livermore Active Issues Index for Friday, Mar 12th

March 19, 2010

4 Comments leave one →
  1. Bob permalink
    March 19, 2010 6:15 pm

    “Using quantitative research to [get] beat [by] the market”

    just a suggestion.

    • david varadi permalink*
      March 19, 2010 7:48 pm

      hi bob,thanks for your insightful suggestion.
      best
      david

  2. March 19, 2010 8:33 pm

    I’m building portfolio positions and I am adjusting the percentage of “short hedge” by using my Long Term index model which presently stands at 33% invested ( + – 66% short applied to this portfolio ). I think the model should add some performance to the overall ( albeit without seeing the historical porfolio data ).. Thanks

    http://confluencesystem.blogspot.com/2010/02/signal-list.html

  3. Kevin Smith permalink
    March 21, 2010 10:06 am

    David – if I understand correctly, the hedged Livermore index historical results back to 1999, include an equal weighting in an inverse QQQ, no splippage, commissions or margin interest assumptions. I will be executing the strategy in a tax sheltered account w/o the option of margin. With a 50-50 allocation between Livermore and an inverse etf, would I simply divide your posted returns by two? Thanks, Kevin

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