Saturday, March 03, 2007

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