ALPHA.ROM – TRENDING VS. ANTICIPATING

ALPHA is a trending system. A trending system is different from an anticipatory system. Trending system follows the trend and does not give a reversal signal till price changes direction. Anticipatory system on the other hand anticipates when the reversal can be expected and gives early warning signals regarding change in trend. Now both these aspects are connected to each other. TIME as a matter of fact has both a trend and structure that can assist in anticipating reversals. As we mentioned prior we are working on anticipatory systems, which will improve our overall stock picking ability. At this stage ALPHA ROMANIA remains positive. The only negatives are the facts that a few performers like BRD are exhausting against their counter pair assets like BETXT, BET (Blue chip exhaustion is not a positive sign for the market) and fresh signals on BETC and TGN have not returned large gains over the last 10 days.


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ALPHA is a pair trading, long only and short only strategy 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.
TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.
LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.
STOP LOSS AND EXITS are activated at 4%
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