Introduction

COSMOS portfolios are based on the method and software described at http://tradingautomation.blogspot.com/ and we present here on a weekly basis the positions and actions taken on reference portfolios. One of these portfolios corresponds to a 10M USD reference account started on the Dec. 20th 2004.

Keywords

reference portfolios, trading signal, market analysis, trading automation, automatic trading, systematic trading, expert-systems, software, long short, leveraged, trend following, stocks, ETFs, equity indexes trading.

Reference Portfolio 3rd of March 2007

Tough week, indeed ! The system handles the situation as follows:

Actions
STOP - Security: Energizer Holdings, Inc. (ENR - N:11032) New stop @ 67,36 Stop type: TSL200+2
STOP - Security: SINA Corporation (SINA - N:24967) New stop @ 28,65 Stop type: ISL+2
STOP - Security: BLOCKBUSTER INC(VIACOM INTL) (BBI - N:131687) New stop @ 5,45 Stop type: ISL+2
STOP - Security: SUN MICROSYS (SUNW - N:140162) New stop @ 5,11 Stop type: ISL+2
STOP - Security: PRICELINE.COM (PCLN - N:16684) New stop @ 43,27 Stop type: ISL+2
STOP - Security: LAMAR ADVERTSNG STK A (LAMR - N:12463) New stop @ 56,93 Stop type: ISL+2
STOP - Security: LEVEL 3 CO MMS (LVLT - N:128499) New stop @ 5,46 Stop type: ISL+2
STOP - Security: APPLE COMPUTER (AAPL - N:8747) New stop @ 78,92 Stop type: ISL+2

Account general informations
NAV: 10 457 319,30
Market Expo: 10 022 941,58
Open Positions: 12

Actual portfolio (included today actions)
BLOCKBUSTER INC(VIACOM INTL) OpenDate: 17/01/2007 NB:131687 STOP: 5,45
APPLE COMPUTER OpenDate: 17/01/2007 NB:8747 STOP: 78,92
INTERPUBLIC GRP OpenDate: 17/01/2007 NB:61505 STOP: 10,95
LAMAR ADVERTSNG STK A OpenDate: 17/01/2007 NB:12463 STOP: 56,93
AMKOR TECHNOLOGY OpenDate: 17/01/2007 NB:75905 STOP: 8,95
SINA Corporation OpenDate: 17/01/2007 NB:24967 STOP: 28,65
Redback Networks Inc. OpenDate: 17/01/2007 NB:34222 STOP: 19,86
LEVEL 3 COMMS OpenDate: 17/01/2007 NB:128499 STOP: 5,46
SUN MICROSYS OpenDate: 17/01/2007 NB:140162 STOP: 5,11
SAVVIS Communications OpenDate: 18/01/2007 NB:21210 STOP: 40,95
Energizer Holdings, Inc. OpenDate: 18/01/2007 NB:11032 STOP: 67,36
PRICELINE.COM OpenDate: 20/02/2007 NB:16684 STOP: 43,27

Reference Portfolio as of the 24th Of Feb

The system pass the 11M$ mark again.
Here follows the positions and corresponding stops :

Actions
Nothing

Account general informations
NAV: 11 008 275,73
Market Expo: 10 573 898,00
Open Positions: 12

Actual portfolio (included today actions)
BLOCKBUSTER INC(VIACOM INTL) OpenDate: 17/01/2007 NB:131687 STOP: 5,16
APPLE COMPUTER OpenDate: 17/01/2007 NB:8747 STOP: 77,68
INTERPUBLIC GRP OpenDate: 17/01/2007 NB:61505 STOP: 10,95
LAMAR ADVERTSNG STK A OpenDate: 17/01/2007 NB:12463 STOP: 54,52
AMKOR TECHNOLOGY OpenDate: 17/01/2007 NB:75905 STOP: 8,95
SINA Corporati on OpenDate: 17/01/2007 NB:24967 STOP: 27,22
Redback Networks Inc. OpenDate: 17/01/2007 NB:34222 STOP: 19,86
LEVEL 3 COMMS OpenDate: 17/01/2007 NB:128499 STOP: 5,29
SUN MICROSYS OpenDate: 17/01/2007 NB:140162 STOP: 4,85
SAVVIS Communications OpenDate: 18/01/2007 NB:21210 STOP: 40,95
Energizer Holdings, Inc. OpenDate: 18/01/2007 NB:11032 STOP: 60,95
PRICELINE.COM OpenDate: 20/02/2007 NB:16684 STOP: 41,50

Reference Portfolio as of the 1st of Feb 2007

The system remains with a limited exposure so far and no action is reported lately :

Actions
Nothing

Account general informations
NAV: 10 713 507,39
Market Expo: 9 413 720,71
Open Positions: 11

Actual portfolio (included today actions)
BLOCKBUSTER INC(VIACOM INTL) OpenDate: 17/01/2007 NB:131687 STOP: 5,16
APPLE COMPUTER OpenDate: 17/01/2007 NB:8747 STOP: 77,68
INTERPUBLIC GRP OpenDate: 17/01/2007 NB:61505 STOP: 10,95
LAMAR ADVERTSNG STK A OpenDate: 17/01/2007 NB:12463 STOP: 54,52
AMKOR TECHNOLOGY OpenDate: 17/01/2007 NB:75905 STOP: 8,95
SINA Corporatio n OpenDate: 17/01/2007 NB:24967 STOP: 27,22
Redback Networks Inc. OpenDate: 17/01/2007 NB:34222 STOP: 19,86
LEVEL 3 COMMS OpenDate: 17/01/2007 NB:128499 STOP: 5,29
SUN MICROSYS OpenDate: 17/01/2007 NB:140162 STOP: 4,85
SAVVIS Communications OpenDate: 18/01/2007 NB:21210 STOP: 31,82
Energizer Holdings, Inc. OpenDate: 18/01/2007 NB:11032 STOP: 60,95

Reference Portfolio as of the 17th of Jan 2007

Finally the system resumes taking LONG position on the market:


Actions
OPEN POSITION LONG - Security: BLOCKBUSTER INC(VIACOM INTL) (BBI) NB: 131687 ISL: 5,16 M: 2
OPEN POSITION LONG - Security: APPLE COMPUTER (AAPL) NB: 8747 ISL: 77,68 M: 2
OPEN POSITION LONG - Security: INTERPUBLIC GRP (IPG) NB: 61505 ISL: 10,95 M: 2
OPEN POSITION LONG - Security: LAMAR ADVERTSNG STK A (LAMR) NB: 12463 ISL: 54,52 M: 2
OPEN POSITION LONG - Security: AMKOR TECHNOLOGY (AMKR) NB: 75905 ISL: 8,95 M: 2
OPEN POSITION LONG - Security: SINA Corporation (SINA) NB: 24967 ISL: 27,22 M: 2
OPEN POSITION LONG - Security: Redback Networks Inc. (RBAK) NB: 34222 ISL: 19,86 M: 2
OPEN POSITION LONG - Security: LEVEL 3 COMMS (LVLT) NB: 128499 ISL: 5,29 M: 2
OPEN POSITION LONG - Security: SUN MICROSYS (SUNW) NB: 140162 ISL: 4,85 M: 2

Account general informations
NAV: 10 617 172,22
Market Expo: 7 644 356,77
Open Positions: 9

Actual portfolio (included today actions)
BLOCKBUSTER INC(VIACOM INTL) OpenDate: 16/01/2007 NB:131687 STOP: 5,16
APPLE COMPUTER OpenDate: 16/01/2007 NB:8747 STOP: 77,68
INTERPUBLIC GRP OpenDate: 16/01/2007 NB:61505 STOP: 10,95
LAMAR ADVERTSNG STK A OpenDate: 16/01/2007 NB:12463 STOP: 54,52
AMKOR TECHNOLOGY OpenDate: 16/01/2007 NB:75905 STOP: 8,95
SINA Corporation OpenDate: 16/01/2007 NB:24967 STOP: 27,22
Redback Networks Inc. OpenDate: 16/01/2007 NB:34222 STOP: 19,86
LEVEL 3 COMMS OpenDate: 16/01/2007 NB:128499 STOP: 5,29
SUN MICROSYS OpenDate: 16/01/2007 NB:140162 STOP: 4,85

Account Viewer downloaded on FTP Server

Reference Portfolio on 10th Jan 2007

Happy new year 2007 and profitable trading !

Here follows a short summary of the reference portfolio and of the world markets:

Actions
Nothing

Account general informations
NAV: 10 613 440,02
Market Expo: 0,00
Open Positions: 0

Actual portfolio (included today actions)
Nothing

World markets summary:

Refence Portfolio as of the 2nd of Dec. 2006

It's been a pretty uneventfull month and the system remains flat so far:

Actions
Nothing

Account general informations
NAV: 10 582 919,12
Market Expo: 0,00
Open Positions: 0

Actual portfolio (included today actions)
Nothing

Stay tuned, as soon as trading will resume, I will post.
As an aside comment, trading has already resumed on the european markets.

Cheers.

Reference Portfolio as of the 28th of Oct 2006

Flat, the system is flat, knowing that a small pullback that will almost certainly happen now will probably lead to a later entry.

Actions
Nothing

Account general informations
NAV: 10 552 485,98
Market Expo: 0,00
Open Positions: 0

Actual portfolio (included today actions)
Nothing