Sunday, January 10, 2010

Aggregator System for Swing Trading The S&P 500 Finishes 2009 Up Over 36%

A couple of months ago I discussed the Aggregator System on the blog for the 1st time. The Quantifiable Edges Aggregator is a tool I introduced just after I began publishing the Subscriber Letter. The Aggregator tool looks at two things:

1) The net expectations from the active studies published in the Subscriber Letter and on the blog over the next few days.
2) The performance of the S&P versus expectations over the prior few days.

The Aggregator System produces mechanical signals based on the values supplied by the Quantifiable Edges Aggregator. Its signals are based on the S&P 500 cash index and all trades are assumed to take place at the close.

While it can sometimes be difficult to anticipate whether that night’s research will suggest a bullish or bearish tilt and whether it will be enough to shift net expectations, I have been able to incorporate the Intraday Quantifinder into the process to get a fairly accurate read on what the Aggregator is likely to signal that night.

“Probable” signals are published on the Quantifiable Edges systems page about 10-15 minutes before the bell each day. I’ve been publishing them for nearly 4 months now and to this point I believe there has only been one instance where the “probable” signal was switched based on that night’s research.

Once the “probable” signal is posted each day I typically send out notification and a link via Twitter to alert subscribers.

When I first discussed the Aggregator System on the blog in October it was trying to fight out of an 8% drawdown. It did manage to do so and it finished 2009 at a new high. The total reinvested (hypothetical – not including commissions/dividends/interest on cash) return for 2009 was 36.27%. The Quantifiable Edges Subscriber Letter began publishing on 2/25/2008 so that is as far back as Aggregator values go. Total returns for the partial (10+ months) year of 2008 was 60.20%. Therefore the total compounded profits since inception have been 118.31%.

For more general information on the Aggregator System and the Quantifinder you may refer to these posts:

1) The Quantifiable Edges Aggregator
2) The Quantifinder Unveiled
3) Quantifying the Value of Historical Research (The Aggregator System)

A detailed research paper on using the Aggregator System is available on the Quantifiable Edges Systems page in the members’ area. You may also download the complete performance spreadsheet there showing many different statistics and details of all individual trades. All this information may be accessed with a free trial.

I’ve placed a graphic on the right hand side of the blog showing the Aggregator System (hypothetical) equity curve. I will continue to update the performance periodically.

So what does a subscription to the Aggregator System cost? It’s included with all gold memberships. If you’ve never trialed Quantifiable Edges, you may sign up to do so here.
If you have trialed it in the past, but would like another peak before subscribing, just send an email request to support @ (no spaces).

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