Archive for December 17th, 2010

New Trending LOSO

Trending and countertrend in prices are linked with Time. But a countertrend in Time is different than a countertrend in price. Why? All of equities and assets have a limitation on the downside i.e. they can not go to negative (below zero), but they can rise much more. Euphoria is where prices skyrocket. This imbalance between potential 1000% rises compared to falls (limited by 90% falls) makes prices different than Time. Time does not get as euphoric as Price. This is why creating a Time system has it’s challenges. Keeping this in mind we decided that a LONG signal generation could not be similar to the SHORT signal generation. Markets generally fall in a confusing choppy way. The countertrends are known to overlap. The New Trending LOSO considers up trend characteristics different from falling trend characteristics. From long – short neutral, now we have just long and short. This way we not only improve the system, we reduce the number of signals, we increase holding period per signal and we look at more continuity in underperformance. The illustrated cases show the change from the previous LOSO signals to the new one.

LOSO new trending is negative on PTR since 28 May registering 40% fall.LOSO new trending is negative on RRC since 28 May registering 20% fall. Enjoy the latest Alpha Rom Late Economic.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Fractal Geometry - Spidron

A spidron is a plane figure consisting of an alternating sequence of equilateral and isosceles (30°, 30°, 120°) triangles. Within the figure, one side of a regular triangle coincides with one of the sides of an isosceles triangle, while another side coincides with the hypotenuse of another, smaller isosceles triangle. The sequence can be repeated any number of times in the direction of the smaller and smaller triangles, and the entire figure is centrally projected through the mid-point of the base of the largest isosceles triangle.

The semi-spidron is half of the spidron, consisting of increasingly densely packed and smaller regular and isosceles triangles. The sequence can also be continued in the opposite direction, with ever larger triangles, ad infinitum. It seems to me that this composition, or to use the term that is more customary in mathematics, this “triangle complex”, or the half of it I call a semi-spidron is the foundation for all the other shapes with their interesting spatial and almost “spatially flexing” properties which – according to the comments and the feedback I get – promise novel developments in the fields of geometry, physics and other branches of science.