We closed the Long CMP – Short BETXT pair at a profit of 21% and reinitiate the long ATB – short BETXT pair. The SNP – BETXT pair is up 3% week over week, reaching 20% since 26 Feb when we started the pair. The anticipated underperformance of TGN and TEL, that we covered also in our previous reports proved correct. TGN and TEL fell more than BETXT. Even the long ALR – short BETXT pair is positive, up 14% since we initiated the pair on 15 March.
On the long only, short only side we have no short signals yet. The latest ALPHA.ROM carries the latest numeric Ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. TGN, TEL are the top ranked stocks while, BRD, SIF5 Futures, DOW the worst.
Numeric Ranking
Strategy Update
Pair Tracker
Long only – short Only
Performance Cycles – I
Alpha is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be 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.
Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 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.
Time Arbitrage portfolio legs should be risk weighted before any implementation.
Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones
Stop loss and Exits are activated at 4%
Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. 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 TIME ANALYTICS research products.
To login to the member’s area or access Orpheus estore click here.
ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM
ORPHEUS RESEARCH AT REUTERS – USA
Alpha. Romania – CMP outperforms BETXT and delivers 21% in 35 days
We closed the Long CMP – Short BETXT pair at a profit of 21% and reinitiate the long ATB – short BETXT pair. The SNP – BETXT pair is up 3% week over week, reaching 20% since 26 Feb when we started the pair. The anticipated underperformance of TGN and TEL, that we covered also in our previous reports proved correct. TGN and TEL fell more than BETXT. Even the long ALR – short BETXT pair is positive, up 14% since we initiated the pair on 15 March.
On the long only, short only side we have no short signals yet. The latest ALPHA.ROM carries the latest numeric Ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. TGN, TEL are the top ranked stocks while, BRD, SIF5 Futures, DOW the worst.
Numeric Ranking
Strategy Update
Pair Tracker
Long only – short Only
Performance Cycles – I
Alpha is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be 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.
Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 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.
Time Arbitrage portfolio legs should be risk weighted before any implementation.
Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones
Stop loss and Exits are activated at 4%
Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. 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 TIME ANALYTICS research products.
To login to the member’s area or access Orpheus estore click here.
ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM
ORPHEUS RESEARCH AT REUTERS – USA