This is another working of the NEW JISEKI PAIR service. How did we do pairs previously? What has changed? Previously we used to do net rankings, selling the best and buying the worst. Now we are combining three Jiseki cycles together, like we do in individual stocks. The combination of the various Jiseki cycles tell us if the pair ratio line is headed higher or lower. If the ratio line between BPCL and HPCL (blue) is headed higher, it is long BPCL, short HPCL and vice versa. Interpretation can wary, a more risky trade can just involve the interaction of Jiseki 1>or<Jiseki2 or it can involve all the three of them. Example only go long BPCL short HPCL if all the three Jiseki are trended up, as at point C. From C point the pair has delivered 20% over the last 12 months. JISEKI PAIR service can also be used for stock selection, which sector peer to own and which to reduce or close.

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Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.

Author: Orpheus | Date: 13 January 2012 | Comments (0)

Categories: India, Indian Pairs and Assets, Research Updates

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