Live indicator snapshot for Tachlit TA-125 ETF. Shows all three strategy positions and the raw signal components driving them.
Growth of 100 ILS invested. Each strategy decides hourly whether to hold the ETF or go to cash. 0.1% cost per trade.
Full-period metrics for each strategy vs buy & hold.
| Strategy | Total | Annual | Max DD | Sharpe | Trades | Win Rate | Avg Days |
|---|
Strategy vs benchmark over recent windows.
| Strategy | Return | Benchmark | Max DD | Trades |
|---|
Weighted blend of VIX (25%), S&P futures (30%), Euro Stoxx (20%), trend (15%), RSI (10%). Above 0.15 = IN, below -0.15 = OUT.
Relative Strength Index on hourly ETF bars. Below 30 = oversold, above 70 = overbought. Used as filter in Composite and Trend strategies.
VIX = CBOE S&P 500 implied vol (US hours only, 16:30-23:00 Israel).
VTA35 = TASE TA-35 implied vol (Israel hours, 10:00-17:25). Real-time local fear gauge you can act on same-day.
Computed from hourly ETF returns, annualized. This is what actually happened — not implied. Spikes = recent large moves. Useful when VTA35 data is unavailable.
Key question: Is an intraday ETF worth it vs a mutual fund you can only sell at end-of-day?
Same signals, same strategy — but the ETF executes at the signal hour, while the fund sells at daily close and buys back at next-day open.
ETF sell price vs fund end-of-day NAV. Positive = ETF got a better price.
Nasdaq opens at 16:30 Israel time. TASE closes at 17:25 — that's a 55-minute overlap.
After 15 minutes of Nasdaq trading, you still have 40 minutes to act on TASE.
This study checks: does the S&P futures direction in the first Nasdaq hour predict TASE's afternoon move?
| ES Direction | Days | Avg TASE PM | Avg Full Day | % Negative PM |
|---|
Rule: if ES drops >0.3% in first Nasdaq hour → sell at TASE close, buy back next open. Otherwise hold.
When VIX spikes during US hours (16:30-23:00 Israel), Israeli stocks are closed. You can only react next morning at TASE open. This study measures that next-day correlation.
| VIX Change | Days | Avg TASE Return | Avg Gap | % Negative |
|---|
Days when VIX surged >10% during US session, and what happened to TASE the next trading day.
Entry/exit log for each strategy. Shows trigger reason (VIX level, ES change, SMA/RSI).