Recent content by MichaelPurcell

Update on performance (since 23rd January 2012) has yielded 44 winners and 16 losers with a return of 17.84%.

NVP and Martinghoul ~ Thanks for the reference to the information :) Hi RVLS, I am including fx and the spread into the returns. Using a VECM for the cointegration and some bands derived from a historical VaR which give me a rule of thumb probability. I also watch the volatility at certain x...

My methodology to date (almost 3 months) has yielded 31 winners and 11 losers with a return of 12.51%. Is their a publication on the web that shows Hedge fund quarterly performance?

I trade short term (Hedged - Long/Short positions) between indices that are cointegrated over different time periods. If one of the pair of Indices diverges away by a x% given the specific relationship then on average it will converge back z% over a particular time frame according to my...

My blogs trades for today : Long emini S&P500 @ 1413.39 - Short SPI200 @ 4339 Long DIJA($10) @ 13205.3 - Short SPI200 @ 4339 Long NASDAQ100 @ 2782.6 - Short SPI200 @ 4339 SPI200 diverged away from the Americas by outperforming them by over 1% today. IMO the Americas have opportunity to...

Opinion is that we are due somewhat of a correction in the SP500. Nice work Snowrider! SP500 will close the week under the 1400 mark and reinforces the downwards trend.

Hi All, I have been trading for 2 months using my method of Statistical Arbitrage. Michael Purcell's Statistical Arbitrage Hedge Fund I wanted to share my trades and performance as a means of accountability and also for the trading community to contribute their knowledge whilst being able to...

Re: Wallstreet1928 Analysis & live calls on FTSE,DAX,S&P...aimed to help New traders Dax30 got to 7380 in this session. Now fallen off a cliff :(

WOW S&P500 bouncing back this week! It struggled earlier this month in the 1350s so could be some resistance here. Again, those multi-year highs at 1363.61 could be under threat if momentum can continue earlier in the week. Relative to the rest of the world the S&P500 and NASDAQ are flying...

DAX30 getting burnt relative to the US indices over the past month. The FTSE 100 has also outperformed the DAX30. Obviously due to the Euro debt issue that has reared up again. Seems though whenever this issue cools the DAX30 goes on a bit of rampage. Could be a good Long DAX30 hedge against...

Neither do I Nostradamus. I am merely stating that 1363.61 is a multi-year high and if the S&P500 can breach the next level at 1340 it is has momentum to exceed this 1363.61 multi-year high. It appears to have done this as of Friday 8th of July (1343.80). So therefore multi-year highs are...

Yes Australia does have debt and deficit... although not in the same stratosphere as the USA. Here are the basics: (RBA - Australia 4.75% Cash Rate and 3.3% Inflation) compared to (FED - USA 0.10% Federal funds rate and 3.6% Inflation) A large Interest rate differential has caused a major...

You guys thinking 6000 is going to be a key level of resistance this week? If it breaches (probably with the help of a bullish S&P500) back to the stubborn 6100 level... exciting week ahead!

This week saw the SPI200 fall further behind the Dow Jones and S&P500. Given the AUDUSD exceeded $1.07 at weeks end perhaps not just now. The moment inflationary pressures strike the US and rates look like being raised I will look to act but for now the gap continues to widen. Over the past 1...

The DAX30 was supported really well by the 7000 level and the next level of resistance looks like 7550 which could be under threat if the European crisis can be sorted out this week.