SOLD:
iShares DowJones US Home Construction (ITB)
iShares DowJones US Telecommunications (IYZ)
BOUGHT:
*-
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA20 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%
LT Hold: Three ( 3 ), Holdings: FUSEX,FSIIX,FSEMX , Sell: - , Buy: -
Last (20,200) (10,100) (5,50) TTM TTM Weeks Weeks Weeks Days
EndD Ticker Index Price Slow_PO Int_PO Fast_PO NTR Gain(%GL) LastChg H52w L52w Status: Held
11-Oct-12 FUSEX SP500 50.80 6.1% 4.4% 0.8% 21.1% 19.2% 10 4 46 BUY 72
11-Oct-12 FSEMX DJ M/S 40.06 4.5% 4.2% 0.9% 19.6% 16.3% 8 4 46 BUY 38
11-Oct-12 FFNOX AA 29.23 5.5% 4.4% 1.1% 14.9% 12.6% 10 4 46 BUY
11-Oct-12 FSIIX EAFE 32.93 5.5% 5.7% 1.3% 7.4% 3.7% 9 50 19 BUY 59
11-Oct-12 FBIDX USGB 12.03 1.0% 0.5% 0.2% 5.5% 2.7% 10 11 50 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 1 of 6 or 17% , COUNTIF( Held ) 2 of 6 or 33%
LT Hold: Three ( 3 ), Holdings: DBC,PRF , Sell: - , Buy: PXF
Last 6m 3m 1m TTM R6,R3 % off % off PO Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 30/100 Status: Held
12-Oct-12 PXF GL:DM 33.91 15% 64% -39% 22% 2.0 1.2% -3.4% 6.1% BUY
12-Oct-12 DBC GL:Com 28.55 22% 27% -9% 18% 2.0 -0.1% -1.8% 5.6% HTD 25
12-Oct-12 PRF US:LC 61.43 20% 40% -16% 13% 2.0 -0.2% -2.4% 4.7% HTD 16
12-Oct-12 PGX US:PF 14.93 11% 5% 17% 5% 4.0 0.0% 0.5% 1.2% Sell
12-Oct-12 VNQ US:RE 64.77 10% -5% -48% 15% 5.0 -3.0% -1.6% 1.3% Sell
12-Oct-12 TLT US:FIT 123.97 7% -22% 39% 13% 6.0 -1.7% 2.3% -1.9% Sell
Taxable_Acct. - DowJones Sectors: RRS To Be REPLACED BY Balanced
SELL: IF( AvgRank >= 5.0 or RRS126 < 0 ), BUY: IF( AvgRank < 4.0 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 24 or 0% , COUNTIF( Held ) 0 of 24 or 0%
ST Hold: Three ( 3 ), Holdings: - , Sell: ITB,IYZ , Buy: -
Last 6m 3m 1m TTM R6,R3,R2 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 LR21 Status: Held
12-Oct-12 ITB US:HB 19.35 96% 163% -19% 25% 1.0 -1.8% -5.3% -1.7% HTD
12-Oct-12 IYZ US:TEL 25.16 56% 64% -15% 13% 3.0 -2.0% -3.1% -0.9% HTD
Taxable_Acct. - Balanced Trends and Ranks: RRS Swap From IRA_Acct. to replace DJ Sector screen
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 15 or 0% , COUNTIF( Held ) 1 of 15 or 7%
ST Hold: Three ( 3 ), Holdings: DBP , Sell: - , Buy: -
Last 6m 3m 1m TTM R6,R3 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 LR21 Status: Held
12-Oct-12 DBP GLC:PM 60.72 23% 104% -4% 21% 1.5 2.1% -3.5% -1.1% HTD 7
12-Oct-12 DBB GLC:BM 18.73 -1% 76% -48% 22% 8.5 0.8% -5.6% -2.3% Sell
12-Oct-12 SCZ GL:SC 38.56 8% 61% -22% 20% 7.0 2.4% -2.7% -0.1% HTD
12-Oct-12 ACWX GL:LCB 39.33 12% 47% -36% 19% 6.5 0.8% -2.9% 0.1% HTD
12-Oct-12 IWC US:SMC 51.95 21% 47% -27% 17% 4.0 -0.8% -3.0% -0.8% Sell
12-Oct-12 IWM US:SC 82.10 18% 43% -41% 16% 5.5 -1.4% -3.7% -0.3% Sell
12-Oct-12 EEM GL:EM 41.27 8% 39% -17% 22% 9.5 2.0% -1.6% -0.1% Sell
12-Oct-12 IWR US:MC 110.17 13% 36% -29% 14% 7.5 -0.3% -2.8% -0.1% Sell
12-Oct-12 IWL US:LC 33.12 19% 33% -23% 12% 6.5 -0.9% -2.6% -0.5% Sell
12-Oct-12 DBE GLC:ENE 28.88 10% 32% 19% 24% 10.0 3.3% -0.5% 1.1% Sell
12-Oct-12 DVY US:DIV 57.58 13% 9% -10% 8% 9.5 -1.3% -1.3% -0.6% Sell
12-Oct-12 IYR US:REIT 63.95 13% 0% -46% 14% 9.0 -3.0% -1.9% 0.8% Sell
12-Oct-12 AGG US:FI 112.32 3% -1% 6% 2% 13.5 -0.1% 0.4% 0.0% Sell
12-Oct-12 DBA GLC:AG 28.91 35% -9% -36% 17% 7.5 -5.6% -2.0% 0.0% Sell
12-Oct-12 TLH US:FIT 136.43 4% -10% 25% 7% 14.0 -0.8% 1.2% -0.2% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS Swap From FIDO_screen to replace IRA screens
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 13 or 0% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EFA,IDV , Sell: - , Buy: -
Last 6m 3m 1m TTM R6,R3 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 LR21 Status: Held
12-Oct-12 SCZ GL:SC 38.56 8% 61% -22% 20% 6.5 2.4% -2.7% -0.1% HTD 8
12-Oct-12 EFA GL:DM 53.17 14% 50% -35% 19% 4.0 0.8% -2.9% 0.3% HTD 8
12-Oct-12 IDV GL:Div'd 32.00 20% 40% -37% 19% 2.5 -0.1% -2.6% 0.8% HTD 8
12-Oct-12 IJR US:SCB 75.49 18% 39% -46% 15% 4.0 -2.0% -4.2% -0.4% HTD
12-Oct-12 EEM GL:EM 41.27 8% 39% -17% 22% 9.0 2.0% -1.6% -0.1% Sell
12-Oct-12 ONEQ US:LCB 119.77 18% 38% -42% 15% 5.5 -2.0% -4.2% -0.6% Sell
12-Oct-12 IJH US:MCB 97.49 11% 35% -40% 15% 8.5 -0.9% -3.5% 0.0% Sell
12-Oct-12 IVV US:LCB 143.41 19% 33% -24% 12% 5.5 -1.0% -2.7% -0.5% Sell
12-Oct-12 EMB GL:FIEM 122.54 21% 16% 15% 7% 5.0 0.5% 0.6% 0.6% Sell
12-Oct-12 DVY US:Div'd 57.58 13% 9% -10% 8% 9.0 -1.3% -1.3% -0.6% Sell
12-Oct-12 HYG US:FIHY 92.51 9% 7% -21% 8% 11.0 -0.4% -0.4% 0.8% Sell
12-Oct-12 LQD US:FIIG 122.75 12% 6% 28% 5% 10.5 0.7% 1.2% 0.1% Sell
12-Oct-12 IYR US:REIT 63.95 13% 0% -46% 14% 10.0 -3.0% -1.9% 0.8% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5.5 & Pri < LR63 )
COUNTIF( Sell ) 5 of 10 or 50% , COUNTIF( Held ) 0 of 10 or 0%
Holdings: - , Sell: - , Buy: -
Last 3m 2m 1m TTM R3,R2,R1 % off % off % off Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank LR63 LR42 LR21 Status: Held
12-Oct-12 IYR US:REIT 63.95 0% -10% -46% 14% 9.7 -1.9% -1.3% 0.8% SELL
12-Oct-12 QQQ US:LCB 66.68 37% 1% -47% 16% 7.7 -4.8% -2.9% -0.7% SELL
12-Oct-12 IJH US:MCB 97.49 35% 12% -40% 15% 6.3 -3.5% -2.4% 0.0% SELL
12-Oct-12 HYG US:FIHY 92.51 7% 5% -21% 8% 6.3 -0.4% -0.3% 0.8% SELL
12-Oct-12 IVW US:LCG 76.93 29% 15% -29% 11% 6.0 -2.8% -2.1% -0.5% SELL
12-Oct-12 LQD US:FIIG 122.75 6% 20% 28% 5% 5.0 1.2% 0.4% 0.1% Buy
12-Oct-12 IVV US:LCB 143.41 33% 20% -24% 12% 4.7 -2.7% -2.1% -0.5% HTD
12-Oct-12 IWM US:SCB 82.10 43% 26% -41% 16% 4.3 -3.7% -3.0% -0.3% Buy
12-Oct-12 EFA GL:DM 53.17 50% 29% -35% 19% 3.0 -2.9% -1.9% 0.3% Buy
12-Oct-12 EEM GL:EM 41.27 39% 38% -17% 22% 2.0 -1.6% -1.5% -0.1% Buy
Notes: Last modified 9/28/2012.
Universe: Selected ETF's from Fidelity's List with at least 1-year of history. Non-traditional ETFs/ETNs/Holders are excluded.
Strategy / Conditions: ---------------------------------------------------------------------------------------
1) Apply a mechanical trend analysis model for trading ETF's that outperforms a buy and hold strategy.
2) Each group Backtested with DAILY data. http://www.etfscreen.com
3) The Regression Relative Strength (RRSx) is the Log-price regression SLOPE of each ETF, then Annualized.
4) The final sort is the RRSx Ranks, where R6, R3, R2 or R1 are rankings of monthly lookback periods.
5) LRxx is the last price on Linear Regression Trend line - TREND(days). Included as a tie breaker.
6) Buy, Sell and HTD criteria are as noted. Set Trailing Stops @ ATR when Ranking status is HTD condition.
7) Go to cash when the specified number to hold are not available.
8) Historic prices are Non-dividend adjusted values.
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