After a week with no updates (been preparing for a seminar presentation!) we are back with updates on all trading projects.
In the EurOil Index project a good rotation from Oil to the Euro was followed by a drastic drop in both assets and the resulting rotation from the 17th to the 24th was not good (it was from Euro to Oil). Oil fell by -3.39% while Euro depreciated by -2.38%. The cumulative performance of the main strategy is 21.36% after 18 weeks. The corresponding 18-week cumulative return for Oil is 9.73% and that of the Euro is 4.88%.
In the Euro and Yen project the rotation from the 10th to the 17th (was from Euro to the Yen) was correct but the recommendation to stay with the Yen from the 17th to the 24th was not...The cumulative value of the strategy first went up to 9.87% and then dropped (this past Monday) to 5.94%. Note, however, that both the Euro and the Yen have depreciated against the dollar this past Monday, compared to the previous week. The recommendation for the 31st is again for the Yen.
In the S&P500 and VIX project the models are both back on track. The last recommendations for the S&P500 were both correct (Monday and Friday models) and the cumulative return of the corresponding strategies is now well on positive territory.
More, I hope, soon.
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