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EurOil Index, Trading-by-Rotation and TbR logos © 2007/2008 Dimitrios D. Thomakos

 

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EurOil Index

Trends, Forecasts and Simulated Trading for Oil and the Euro

 

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Created and maintained by Dimitrios D. Thomakos

© 2007/2008

Last updated: 06/27/2008 -- Weeks running: 31

 

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Forecast and Trading updates available

 after Wed each week

 

Other content updates as indicated

oilbarrels

Figure on right updated on: 06/27/2008 – cumulative value of $1 over past 400 weeks, rolling window, no-cash rotation strategy

 

Visit another Trading-by-Rotation website: TbR with S&P500 and VIX

 

IMPORTANT: after 6 months of real time evaluation I will not be updating the whole page but only the trading recommendations of the models. For all the information, including methodology, references, figures and performance of the past 6 months please link to the saved webpage here!

 

In case the webpage is not promptly updated due to server problems please check its mirror page at http://metronfinance.awardspace.com/EurOil_Index.html

 

*          Summary of Trend Forecasts and Trading Recommendations (scroll down for more, including graphs with the strategies information ratios)

The historical summary below until 06/23/2008 – color codes are: positive; unchanged; negative with respect to previous week. The recommendation is for the week after, i.e. 06/30/2008.

 

Historical Evaluation until 06/23/2008

Recommendation

for 06/30/2008

Cumulative Returns

Rotation #1 – no cash (31 weeks)

38.66%

Euro

Rotation #2 – optimal with cash (31 weeks)

29.99%

Euro

Rotation #3 – no cash, re-optimized model (21 weeks)

9.58%

Euro

GMV portfolio* (31 weeks)

7.00%

 

Oil (31 weeks)

38.47%

Euro (31 weeks)

5.50%

 

Sign Success

Ratio

Rotation #1 – no cash (30 weeks)

58.06%

Weeks in Cash

Rotation #2 – optimal with cash (30 weeks)

6

*GMV == Global Minimum Variance

#Switch from #2 cash strategy to #1 cash strategy

 

Real Time Statistics of the TbR strategy and comparison with Oil and Euro

Summary Statistics

Oil

Euro

No-cash rotation

GMV portfolio

Average weekly return (%)

1.24

0.18

1.25

0.23

Weekly std. deviation (%)

3.02

1.45

2.35

1.44

Weekly Sharpe ratio

0.41

0.12

0.53

0.16

Minimum realized return (%)

-7.70

-2.38

-5.06

-2.43

Maximum realized return (%)

6.05

2.63

6.05

2.58

 

Trend Forecast Summary for the week of 06/30/2008 (unchanged from past week)

[1.] Oil. A short-term sharp trend reversal to within the standard error bounds is anticipated. The width of the standard error band has been decreasing over the past weeks, a potential indicator that the sharp rise of Oil prices is nearing an end.

[2.] Euro. The level of the series has reached the lower bound of the trend prediction bands. The short-term trend outlook now includes a further Euro depreciation before a reversal to within the standard error bounds.

 

Disclaimer: The contents of this webpage are provided for information purposes only. Prices shown in this webpage are indicative and the author is not offering to buy or sell or soliciting offers to buy or sell any financial instrument. The views in this publication are those of the author alone and are subject to change at any time, and he has no obligation to update the opinions or the information in this webpage. The author of this webpage does not accept any liability whatsoever for any direct or consequential loss arising from any use of the information provided. The information in this webpage is not intended to predict actual results, which may differ substantially from those presented.