|
Recommendations: 0
Revisions to the Dow Jones Sectors and S&P Sectors were made this quarter period. Other than a few tweeks the criteria is the same.
The performance of these screens are lagging the BroadMarket while the VL screens continue to outperform.
Market Total Returns (CAGR ex. YTD) YTD(ROI) TTM Jan-09 TD Jan-03 TD StartD Reference:
Four-in-One Index (FFNOX) 13.5% 17.6% 13.1% 7.3% Sep-99 BrdMkt_AA
VL Arithmetic Index (.VAY) 13.4% 28.2% 23.1% 11.8% Apr-84 VL-Screens
S&P 1500 (EqWt: SPY,MDY,IJR) 13.5% 28.5% 17.0% 9.1% Jan-93 US-Equity
Foreign (EqWt: EFA,EEM) 8.0% 14.3% 11.8% 11.8% Apr-01 Foreign-Eq
US Bonds (EqWt: AGG,SHY) 1.0% 1.0% 3.1% 3.5% Jul-02 FixedIncome
-----------
MI Screens - Average Annual IRR (ex. YTD) YTD(ROI) TTM(IRR) Jan-09 TD Jan-03 TD StartD Vested (N)
BroadMarket_AA: SMA_PO 5.6% 6.8% 10.5% 10.5% Jun-98 101%
ETF's @ Fido: RRS_FIDO_Free 6.4% 9.3% 7.4% 15.4% Jan-05 0%
ETF's @ WT: RRS_TAR/DJ_Sector 2.1% 2.7% 3.0% 1.4% Apr-07 75%
ETF's @ IRA: RRS_SPEW/FIDO_Bal -1.0% -1.0% 3.9% 10.3% Feb-99 0%
ETF Screens Total Return = 3.1% 3.8% 3.5% 6.2% Jun-98 49%
Tactical_Asset_Rotation : ETF's
PowerShares DB Commodity Index (DBC)
PowerShares FTSE RAFI Dev Mkts ex-US (PXF)
PowerShares FTSE RAFI US 1000 (PRF)
Vanguard REIT Index ETF (VNQ)
iShares Barclays 20+ Year Treas Bond (TLT)
PowerShares Preferred (PGX)
Dow Jones Sectors: ETF's
iShares DowJones US Broker-Dealers (IAI)
iShares DowJones US Insurance (IAK)
iShares DowJones US Regional Banks (IAT)
iShares DowJones US Utilities (IDU)
iShares DowJones US Oil & Gas Expl & Prod (IEO)
iShares DowJones US Oil Equip & Svcs (IEZ)
iShares DowJones US Pharmaceuticals (IHE)
iShares DowJones US Healthcare Providers (IHF)
iShares DowJones US Medical Devices (IHI)
iShares DowJones US Aerospace & Defense (ITA)
iShares DowJones US Home Construction (ITB)
iShares DowJones US Consumer Services (IYC)
iShares DowJones US Energy (IYE)
iShares DowJones US Financial Sector (IYF)
iShares DowJones US Financial Services (IYG)
iShares DowJones US Healthcare (IYH)
iShares DowJones US Industrial (IYJ)
iShares DowJones US Consumer Goods (IYK)
iShares DowJones US Basic Materials (IYM)
iShares DowJones US Real Estate (IYR)
iShares DowJones Transportation Average (IYT)
iShares DowJones US Technology (IYW)
iShares DowJones US Total Market (IYY)
iShares DowJones US Telecommunications (IYZ)
FIDO_Balanced: ETF's
MSCI ACWI ex US Index (ACWX)
Barclays Aggregate Bonds (AGG
MSCI Emerging Markets Index (EEM)
Russell 1000 Value Index (IWD)
Russell 1000 Growth Index (IWF)
Russell 2000 Value Index (IWN)
Russell 2000 Growth Index (IWO)
Dow Jones US Real Estate (IYR)
MSCI EAFE Small Cap Index (SCZ)
iShares Barclays 1-3 Yr Bonds (SHY)
PowerShares DB Agriculture Fund (DBA)
PowerShares DB Base Metals Fund (DBB)
PowerShares DB Energy Fund (DBE)
PowerShares DB Precious Metals (DBP)
Dow Jones Select Dividend (DVY)
Equal Weight Sector & BroadMkt: ETF's
Guggenheim S&P Equal Weight Consumer Disc (RCD)
Guggenheim S&P Equal Weight Consumer Staples (RHS)
Guggenheim S&P Equal Weight Energy (RYE)
Guggenheim S&P Equal Weight Financials (RYF)
Guggenheim S&P Equal Weight Health Care (RYH)
Guggenheim S&P Equal Weight Industrials (RGI)
Guggenheim S&P Equal Weight Materials (RTM)
Guggenheim S&P Equal Weight Technology (RYT)
Guggenheim S&P Equal Weight Utilities (RYU)
Guggenheim S&P 500 Equal Weight (RSP)
Guggenheim Russell 1000 Equal Weight (EWRI)
Guggenheim Russell 2000 Equal Weight (EWRS)
Guggenheim Russell MidCap Equal Weight (EWRM)
Guggenheim MSCI EAFE Equal Weight (EWEF)
Guggenheim MSCI Emerging Markets Eq Wt (EWEM)
Barclays TIPS (TIP)
FIDO_Free: ETF's
iBoxx $ Investment Grade Corporate (LQD)
DJ Select Dividend (DVY)
MSCI Emerging Markets (EEM)
MSCI EAFE (EFA)
JPM Emerging Markets Bond Fund (EMB)
DJ International Select Dividend (IDV)
S&P Mid Cap 400 (IJH)
S&P Small Cap 600 (IJR)
S&P 500 (IVV)
DJ US Real Estate (IYR)
MSCI EAFE Small Cap (SCZ)
iBoxx High Yield Corporate Bond (HYG)
Shortables: ETF's
S&P 500 (IVV)
Dow Jones US Real Estate (IYR)
Russell 2000 (IWM)
S&P 500 Growth (IVW)
MSCI EAFE Index (EFA)
MSCI Emerging Markets (EEM)
iBoxx High Yield Corporate Bond (HYG)
iBoxx $ Investment Grade Corporate (LQD)
S&P Mid Cap 400 (IJH)
PowerShares QQQ (QQQ)
|
Recommendations: 1
SOLD:
*-
BOUGHT:
PowerShares FTSE RAFI US 1000 (PRF)
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%
Hold: Three ( 3 ), LT 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
27-Sep-12 FUSEX SP500 51.53 6.2% 6.1% 2.8% 26.8% 24.9% 8 2 51 BUY 58
27-Sep-12 FSEMX DJ M/S 40.40 5.0% 6.2% 2.9% 26.1% 22.8% 6 2 51 BUY 24
27-Sep-12 FFNOX AA 29.47 5.5% 6.0% 2.7% 19.8% 17.6% 8 2 51 BUY
27-Sep-12 FSIIX EAFE 33.31 5.3% 8.4% 4.0% 13.3% 9.5% 7 48 17 BUY 45
27-Sep-12 FBIDX USGB 12.03 1.1% 0.3% 0.2% 5.7% 2.2% 8 9 48 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or RRS126 < 0 ), BUY: IF( AvgRank < 3.5 & SMA10 > SMA100 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 3 of 6 or 50%
Hold: Three ( 3 ), LT Holdings: VNQ,DBC,PRF , Sell: VNQ , Buy: PRF
Last 6m 3m 2m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
28-Sep-12 DBC GL:Com 28.68 11% 51% 29% 18% 3.0 31% 2.6% 5.6% BUY 11
28-Sep-12 PRF US:LC 61.54 13% 44% 45% 14% 3.0 28% 1.7% 6.2% BUY 2
28-Sep-12 PXF GL:DM 33.67 3% 69% 72% 23% 3.5 36% 3.2% 8.3% HTD
28-Sep-12 VNQ US:RE 64.97 14% 3% 3% 17% 3.5 9% -3.3% 1.5% HTD 52
28-Sep-12 TLT US:FIT 124.22 15% -22% -19% 13% 3.5 -3% -2.8% -2.4% HTD
28-Sep-12 PGX US:PF 14.78 10% 4% 1% 5% 4.5 7% -0.5% 1.3% Sell
Taxable_Acct. - DowJones Sectors(Rated>7): RRS
SELL: IF( AvgRank >= 5.0 or RRS126 < 0 ), BUY: IF( AvgRank < 4.0 & SMA10 > SMA100 )
COUNTIF( Buy ) 1 of 24 or 4% , COUNTIF( Held ) 1 of 24 or 4%
Hold: Three ( 3 ), ST Holdings: ITB , Sell: - , Buy: -
Last 6m 3m 2m TTM R6,R3,R2 6m,3m,2m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
28-Sep-12 ITB US:HB 19.35 90% 128% 270% 27% 1.0 163% 1.5% 18.0% BUY 58
28-Sep-12 IYZ US:TEL 25.53 47% 74% 71% 13% 4.0 64% 1.8% 11.2% HTD
28-Sep-12 IYC US:CS 86.52 19% 43% 56% 11% 9.0 39% 1.5% 6.4% Sell
28-Sep-12 IYG US:FS 55.67 5% 63% 90% 25% 9.3 53% 4.2% 8.5% Sell
28-Sep-12 IEO US:OGEP 64.06 12% 68% 55% 30% 9.3 45% 3.6% 8.6% Sell
28-Sep-12 IYE US:EN 42.18 18% 62% 41% 21% 9.7 40% 2.0% 8.1% Sell
28-Sep-12 IAT US:RB 25.54 12% 43% 71% 19% 10.0 42% 2.6% 6.9% Sell
28-Sep-12 IEZ US:OES 52.01 13% 84% 28% 31% 10.0 41% 0.8% 8.3% Sell
28-Sep-12 IYF US:FIN 58.31 9% 45% 61% 20% 11.0 38% 2.2% 6.6% Sell
28-Sep-12 IHF US:HCP 68.58 11% 37% 79% 17% 11.7 42% 3.5% 6.5% Sell
28-Sep-12 IYH US:HC 84.59 23% 33% 49% 10% 11.7 35% 1.6% 6.4% Sell
28-Sep-12 IAI US:BD 22.21 -11% 49% 105% 25% 12.0 48% 4.5% 5.9% Sell
28-Sep-12 IAK US:INS 32.05 6% 51% 56% 18% 12.0 38% 2.6% 6.0% Sell
28-Sep-12 IYW US:TECH 75.87 5% 63% 46% 18% 12.3 38% 2.3% 6.4% Sell
28-Sep-12 IHI US:MD 68.75 5% 38% 83% 17% 13.0 42% 4.2% 6.5% Sell
28-Sep-12 IHE US:PH 89.63 25% 15% 45% 11% 13.0 28% -0.2% 5.2% Sell
28-Sep-12 IYM US:BM 67.71 -1% 50% 57% 23% 13.3 35% 3.1% 6.3% Sell
28-Sep-12 IYY US:TM 72.00 12% 42% 40% 13% 13.7 31% 1.4% 5.8% Sell
28-Sep-12 IYJ US:IND 70.61 6% 38% 28% 16% 16.7 24% 1.5% 4.7% Sell
28-Sep-12 IYR US:RE 64.38 17% 9% 11% 16% 17.0 12% -2.7% 2.4% Sell
28-Sep-12 IDU US:UT 89.50 13% -10% -18% 8% 18.3 -5% -2.3% -0.4% Sell
28-Sep-12 IYK US:CG 74.49 6% 23% 19% 9% 18.7 16% 0.5% 3.4% Sell
28-Sep-12 ITA US:AD 65.25 0% 23% 26% 15% 20.0 17% 1.8% 3.4% Sell
28-Sep-12 IYT US:TA 87.09 -7% -12% -12% 15% 23.3 -10% -3.0% -2.1% Sell
IRA_Acct. - FIDO_Balanced Trends and Ranks: RRS
SELL: IF( AvgRank >= 4 or RRS126 < 0 ), BUY: IF( AvgRank < 3 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 15 or 0% , COUNTIF( Held ) 0 of 15 or 0%
Hold: Two ( 2 ), ST Holdings: - , Sell: - , Buy: -
Last 6m 3m 2m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
28-Sep-12 DBP GLC:PM 61.66 11% 92% 164% 22% 4.0 51% 7.1% 10.0% Sell
28-Sep-12 IWD US:LCV 72.18 16% 43% 42% 14% 4.5 30% 1.3% 6.2% Sell
28-Sep-12 IWN US:SCV 73.94 13% 41% 76% 17% 5.5 27% 1.7% 6.8% Sell
28-Sep-12 DBA GLC:AG 29.41 34% 7% -5% 17% 7.0 21% -3.4% 3.1% Sell
28-Sep-12 IYR US:REIT 64.38 17% 9% 11% 16% 7.0 13% -2.7% 2.4% Sell
28-Sep-12 SCZ GL:SC 38.70 -2% 57% 73% 21% 7.5 28% 5.3% 7.3% Sell
28-Sep-12 ACWX GL:LCB 39.39 2% 52% 51% 20% 7.5 27% 3.2% 7.1% Sell
28-Sep-12 DBE GLC:ENE 28.43 -3% 67% 20% 24% 8.0 32% 4.5% 4.6% Sell
28-Sep-12 IWF US:LCG 66.70 9% 40% 38% 13% 8.0 24% 1.5% 5.3% Sell
28-Sep-12 IWO US:SCG 95.61 11% 37% 72% 19% 8.0 24% 1.9% 6.3% Sell
28-Sep-12 DVY US:DIV 57.68 12% 14% 12% 9% 8.0 13% -0.6% 2.9% Sell
28-Sep-12 DBB GLC:BM 19.80 -10% 54% 169% 22% 9.5 22% 9.2% 8.3% Sell
28-Sep-12 EEM GL:EM 41.33 -3% 38% 32% 24% 11.0 18% 4.6% 6.0% Sell
28-Sep-12 AGG US:FIT 112.45 4% 0% 1% 2% 12.0 2% 0.0% 0.4% Sell
28-Sep-12 SHY US:FIT 84.50 0% 0% 0% 0% 12.5 0% 0.0% 0.0% Sell
IRA_Acct. - Equal Weight Sector & BroadMkt ETF's: RRS
SELL: IF(AvgRank >= 4.0 or RRS126 < 0 ), BUY: IF( AvgRank < 3 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 16 or 0% , COUNTIF( Held ) 0 of 16 or 0%
Hold: Two ( 2 ), ST Holdings: - , Sell: - , Buy: RYE
Last 6m 3m 2m TTM R6,R3,R2 6m,3m,2m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
28-Sep-12 RYE US:SE 64.52 17% 80% 50% 28% 3.0 49% 2.5% 9.0% HTD
28-Sep-12 RCD US:SD 55.43 7% 52% 78% 17% 4.7 46% 2.6% 6.8% Sell
28-Sep-12 RYF US:SF 28.16 9% 51% 66% 20% 4.7 42% 2.2% 7.0% Sell
28-Sep-12 EWRS US:SC 32.98 11% 33% 79% 20% 5.7 41% 3.3% 7.0% Sell
28-Sep-12 RSP US:LC 52.18 10% 45% 43% 15% 7.0 33% 1.8% 5.9% Sell
28-Sep-12 EWEF GL:DM 36.42 0% 53% 58% 20% 7.3 37% 3.4% 7.1% Sell
28-Sep-12 RYH US:SH 77.64 9% 32% 57% 12% 8.3 33% 3.1% 5.6% Sell
28-Sep-12 EWRM US:MC 34.24 6% 43% 47% 17% 8.3 32% 2.1% 5.5% Sell
28-Sep-12 EWRI US:LC 34.26 7% 41% 46% 16% 8.7 31% 2.2% 5.6% Sell
28-Sep-12 RYT US:ST 54.85 0% 65% 29% 22% 9.0 31% 1.9% 5.4% Sell
28-Sep-12 RTM US:SM 61.38 0% 38% 49% 20% 10.3 29% 3.1% 6.0% Sell
28-Sep-12 RYU US:SU 60.28 32% 20% 3% 9% 10.3 18% -1.2% 4.0% Sell
28-Sep-12 RHS US:SS 69.11 12% 16% 22% 7% 10.7 17% 0.4% 2.9% Sell
28-Sep-12 RGI US:SI 56.03 4% 40% 24% 16% 11.3 23% 1.0% 4.6% Sell
28-Sep-12 EWEM GL:EM 33.41 -7% 36% 39% 27% 12.7 23% 5.1% 5.9% Sell
28-Sep-12 TIP US:FIT 121.76 4% 3% 8% 4% 14.0 5% 0.2% 0.9% Sell
FIDO_Free Trends and Ranks: RRS
SELL: IF( AvgRank >= 5 or RRS126 < 0 ), BUY: IF( AvgRank < 4 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 12 or 0% , COUNTIF( Held ) 0 of 12 or 0%
Hold: Three ( 3 ), ST Holdings: - , Sell: - , Buy: -
Last 6m 3m 2m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
28-Sep-12 IVV US:LCB 144.40 14% 42% 38% 13% 4.0 28% 1.2% 5.9% HTD
28-Sep-12 IJR US:SCB 77.07 12% 43% 66% 17% 4.0 27% 1.4% 6.3% HTD
28-Sep-12 IDV GL:Div'd 31.62 11% 55% 42% 20% 4.5 33% 0.6% 6.9% HTD
28-Sep-12 EMB GL:FIEM 121.26 19% 19% 17% 7% 4.5 19% 0.4% 3.9% HTD
28-Sep-12 EFA GL:DM 53.00 5% 58% 55% 19% 5.5 31% 2.6% 7.3% Sell
28-Sep-12 SCZ GL:SC 38.70 -2% 57% 73% 21% 6.5 28% 5.3% 7.3% Sell
28-Sep-12 IYR US:REIT 64.38 17% 9% 11% 16% 6.5 13% -2.7% 2.4% Sell
28-Sep-12 DVY US:Div'd 57.68 12% 14% 12% 9% 7.0 13% -0.6% 2.9% Sell
28-Sep-12 IJH US:MCB 98.68 6% 42% 53% 16% 7.5 24% 1.6% 5.2% Sell
28-Sep-12 HYG US:FIHY 92.30 9% 11% 14% 9% 9.0 10% -0.3% 2.4% Sell
28-Sep-12 EEM GL:EM 41.33 -3% 38% 32% 24% 9.5 18% 4.6% 6.0% Sell
28-Sep-12 LQD US:FIIG 121.77 11% 5% 7% 6% 9.5 8% 0.4% 1.9% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5 & SMA5 < SMA50 )
COUNTIF( Sell ) 1 of 10 or 10% , COUNTIF( Held ) 0 of 10 or 0%
ST Holdings: - , Sell: - , Buy: -
Last 3m 2m 1m TTM R3,R2,R1 3m,2m,1m % off (5,50) Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank AvgRRS LR42 SMA_PO Status: Held
28-Sep-12 IYR US:REIT 64.38 9% 11% -24% 16% 9.3 -1% -2.5% -1.2% SELL
28-Sep-12 LQD US:FIIG 121.77 5% 7% 18% 6% 9.0 10% 0.8% 1.0% Buy
28-Sep-12 HYG US:FIHY 92.30 11% 14% 8% 9% 8.3 11% -1.0% 0.3% Buy
28-Sep-12 IVW US:LCG 77.85 40% 35% 40% 12% 5.3 38% -1.5% 1.9% Buy
28-Sep-12 IJH US:MCB 98.68 42% 53% 17% 16% 5.0 37% -2.7% 1.8% Buy
28-Sep-12 EEM GL:EM 41.33 38% 32% 136% 24% 5.0 69% -0.2% 2.9% Buy
28-Sep-12 IVV US:LCB 144.40 42% 38% 44% 13% 4.0 41% -1.7% 2.1% Buy
28-Sep-12 QQQ US:LCB 68.57 58% 45% 24% 16% 4.0 42% -2.3% 2.1% Buy
28-Sep-12 IWM US:SCB 83.44 39% 73% 47% 18% 3.3 53% -2.7% 2.9% Buy
28-Sep-12 EFA GL:DM 53.00 58% 55% 95% 19% 1.7 69% -2.7% 3.3% 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 Average of 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.
---------------------------------------------------------------------------------------
|
Recommendations: 0
Revisions to the Dow Jones Sectors and S&P Sectors were made this quarter period. Other than a few tweeks the criteria is the same.
The performance of these screens are lagging the BroadMarket while the VL screens continue to outperform.
After further review it was decided to cut down on the number of underperforming screens. This would be an good time since both screens are in cash at the moment.
Discontinued screens:
FIDO_Balanced - IRA_account
Equal Weight Sector & BroadMkt - IRA_account
Swap Screens:
FIDO_Free - Taxable_account to FIDO_Free - IRA_account
gdm
|
Recommendations: 2
SOLD:
*-
BOUGHT:
MSCI EAFE Small Cap (SCZ)
MSCI EAFE (EFA)
DJ International Select Dividend (IDV)
PowerShares DB Precious Metals (DBP)
iShares DowJones US Telecommunications (IYZ)
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%
Hold: Three ( 3 ), LT 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
4-Oct-12 FUSEX SP500 52.06 6.5% 5.4% 2.3% 27.5% 25.5% 9 3 52 BUY 65
4-Oct-12 FSEMX DJ M/S 40.68 5.2% 5.0% 2.1% 25.6% 22.3% 7 3 52 BUY 31
4-Oct-12 FFNOX AA 29.64 5.8% 5.2% 2.0% 20.2% 17.9% 9 3 45 BUY
4-Oct-12 FSIIX EAFE 33.32 5.9% 6.9% 2.2% 13.9% 10.1% 8 49 18 BUY 52
4-Oct-12 FBIDX USGB 12.03 1.0% 0.6% 0.4% 5.9% 2.4% 9 10 49 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or RRS126 < 0 ), BUY: IF( AvgRank < 3.5 & SMA10 > SMA100 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%
Hold: Three ( 3 ), LT Holdings: DBC,PRF , Sell: VNQ , Buy: -
Last 6m 3m 1m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
5-Oct-12 PRF US:LC 62.69 17% 46% 1% 13% 2.0 32% 2.6% 5.4% BUY 9
5-Oct-12 DBC GL:Com 28.54 17% 38% -31% 18% 2.0 27% 0.9% 5.1% BUY 18
5-Oct-12 PXF GL:DM 34.62 10% 74% -12% 22% 3.5 42% 4.5% 6.8% HTD
5-Oct-12 VNQ US:RE 65.17 13% -1% -53% 15% 4.0 6% -2.8% -0.4% Sell
5-Oct-12 PGX US:PF 14.88 10% 4% 0% 5% 4.5 7% -0.1% 1.4% Sell
5-Oct-12 TLT US:FIT 121.15 10% -24% 19% 13% 5.0 -7% -4.5% -1.5% Sell
Taxable_Acct. - DowJones Sectors: RRS To Be REPLACED BY Balanced
SELL: IF( AvgRank >= 5.0 or RRS126 < 0 ), BUY: IF( AvgRank < 4.0 & SMA10 > SMA100 )
COUNTIF( Buy ) 2 of 24 or 8% , COUNTIF( Held ) 2 of 24 or 8%
Hold: Three ( 3 ), ST Holdings: ITB,IYZ , Sell: - , Buy: IYZ
Last 6m 3m 2m TTM R6,R3,R2 6m,3m,2m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
5-Oct-12 ITB US:HB 20.50 95% 158% 208% 25% 1.0 154% 5.4% 16.2% BUY 65
5-Oct-12 IYZ US:TEL 25.76 53% 74% 65% 13% 3.3 64% 1.3% 9.8% BUY 3
5-Oct-12 IYG US:FS 57.79 13% 72% 82% 24% 6.3 56% 6.2% 7.8% Sell
5-Oct-12 IEO US:OGEP 63.51 20% 62% 33% 27% 8.3 38% 1.0% 6.9% Sell
5-Oct-12 IHF US:HCP 70.02 18% 47% 66% 16% 9.0 44% 4.1% 7.0% Sell
5-Oct-12 IYH US:HC 86.68 27% 40% 57% 9% 9.7 41% 3.0% 6.6% Sell
5-Oct-12 IAT US:RB 26.17 16% 48% 64% 18% 10.0 42% 3.9% 6.2% Sell
5-Oct-12 IHI US:MD 69.65 9% 55% 72% 17% 10.3 45% 4.3% 6.3% Sell
5-Oct-12 IYC US:CS 87.95 22% 47% 48% 10% 10.3 39% 2.3% 5.7% Sell
5-Oct-12 IYE US:EN 42.15 24% 53% 26% 19% 10.3 35% 0.7% 6.4% Sell
5-Oct-12 IAI US:BD 22.61 -4% 57% 68% 25% 11.0 40% 4.8% 4.1% Sell
5-Oct-12 IYF US:FIN 59.92 14% 50% 52% 19% 11.3 39% 3.8% 5.7% Sell
5-Oct-12 IAK US:INS 33.00 11% 57% 40% 17% 11.7 36% 4.5% 5.4% Sell
5-Oct-12 IHE US:PH 91.15 28% 21% 48% 10% 11.7 32% 0.7% 4.6% Sell
5-Oct-12 IYW US:TECH 75.43 11% 59% 18% 18% 13.0 29% 0.6% 4.5% Sell
5-Oct-12 IEZ US:OES 51.02 17% 55% -2% 28% 13.0 24% -2.0% 4.7% Sell
5-Oct-12 IYY US:TM 72.96 16% 42% 30% 12% 14.0 29% 1.8% 4.8% Sell
5-Oct-12 IYM US:BM 68.35 3% 53% 34% 21% 15.3 30% 3.1% 4.3% Sell
5-Oct-12 IYJ US:IND 71.65 10% 39% 17% 15% 18.0 22% 2.2% 3.8% Sell
5-Oct-12 IYR US:RE 64.69 16% 5% 4% 14% 18.3 8% -2.2% 0.7% Sell
5-Oct-12 ITA US:AD 66.36 4% 28% 17% 14% 19.7 16% 2.7% 3.1% Sell
5-Oct-12 IYK US:CG 76.03 9% 23% 15% 8% 20.0 16% 1.9% 2.9% Sell
5-Oct-12 IDU US:UT 90.32 12% -12% -11% 8% 20.7 -4% -1.3% -0.1% Sell
5-Oct-12 IYT US:TA 89.73 -7% -11% -21% 13% 23.7 -13% 0.2% -2.8% Sell
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 ) 2 of 15 or 13% , COUNTIF( Held ) 1 of 15 or 7%
Hold: Three ( 3 ), ST Holdings: DBP , Sell: - , Buy: DBP
Last 6m 3m 1m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
5-Oct-12 DBP GLC:PM 61.81 17% 107% 40% 21% 2.0 62% 5.5% 9.6% BUY 0
5-Oct-12 DBB GLC:BM 19.70 -4% 74% 30% 22% 8.5 35% 7.0% 7.7% Sell
5-Oct-12 SCZ GL:SC 39.37 3% 66% 15% 20% 7.5 34% 5.7% 6.6% BUY
5-Oct-12 ACWX GL:LCB 40.25 8% 56% 7% 19% 6.5 32% 4.1% 6.1% HTD
5-Oct-12 IWN US:SCV 74.75 17% 48% -16% 16% 4.5 33% 1.7% 5.3% Sell
5-Oct-12 DBE GLC:ENE 28.33 3% 47% -39% 24% 8.0 25% 2.8% 4.6% Sell
5-Oct-12 EEM GL:EM 41.95 3% 45% 29% 22% 10.0 24% 4.7% 5.7% Sell
5-Oct-12 IWO US:SCG 96.08 15% 45% -20% 17% 7.0 30% 1.3% 4.9% Sell
5-Oct-12 IWD US:LCV 73.45 20% 44% -2% 13% 5.5 32% 2.1% 5.3% Sell
5-Oct-12 IWF US:LCG 67.62 12% 41% -3% 12% 9.0 27% 2.0% 4.4% Sell
5-Oct-12 DVY US:DIV 58.60 13% 13% -4% 8% 9.0 13% 0.6% 2.4% Sell
5-Oct-12 IYR US:REIT 64.69 16% 5% -47% 14% 8.5 10% -2.2% 0.7% Sell
5-Oct-12 SHY US:FIT 84.42 0% 0% 0% 0% 13.5 0% 0.0% 0.0% Sell
5-Oct-12 AGG US:FIT 111.86 3% -1% 7% 2% 12.5 1% -0.5% 0.5% Sell
5-Oct-12 DBA GLC:AG 29.13 36% -2% -44% 17% 8.0 17% -4.7% 1.9% 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 ) 1 of 13 or 8% , COUNTIF( Held ) 3 of 13 or 23%
Hold: Three ( 3 ), ST Holdings: SCZ,EFA,IDV , Sell: - , Buy: SCZ,EFA,IDV
Last 6m 3m 1m TTM R6,R3 6m,3m % off (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank AvgRRS LR126 SMA_PO Status: Held
5-Oct-12 SCZ GL:SC 39.37 3% 66% 15% 20% 6.5 34% 5.7% 6.6% BUY 1
5-Oct-12 EFA GL:DM 54.14 10% 60% -5% 19% 5.5 35% 3.6% 6.1% HTD 1
5-Oct-12 IDV GL:Div'd 32.43 17% 52% -30% 19% 3.0 34% 2.0% 5.2% HTD 1
5-Oct-12 ONEQ US:LCB 123.49 16% 50% -9% 15% 5.0 33% 1.5% 5.0% HTD
5-Oct-12 IJR US:SCB 77.50 16% 46% -27% 16% 4.5 31% 1.0% 4.8% Sell
5-Oct-12 EEM GL:EM 41.95 3% 45% 29% 22% 9.5 24% 4.7% 5.7% Sell
5-Oct-12 IJH US:MCB 99.65 10% 43% -30% 15% 8.5 26% 1.8% 3.9% Sell
5-Oct-12 IVV US:LCB 146.70 17% 42% -1% 12% 5.0 30% 1.8% 4.9% Sell
5-Oct-12 EMB GL:FIEM 121.63 20% 17% 11% 7% 5.0 19% 0.2% 3.8% Sell
5-Oct-12 DVY US:Div'd 58.60 13% 13% -4% 8% 8.5 13% 0.6% 2.4% Sell
5-Oct-12 HYG US:FIHY 92.46 9% 9% -17% 8% 11.0 9% -0.3% 1.5% Sell
5-Oct-12 LQD US:FIIG 121.54 11% 5% 27% 6% 10.0 8% 0.0% 2.2% Sell
5-Oct-12 IYR US:REIT 64.69 16% 5% -47% 14% 9.0 10% -2.2% 0.7% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5 & SMA5 < SMA50 )
COUNTIF( Sell ) 2 of 10 or 20% , COUNTIF( Held ) 0 of 10 or 0%
ST Holdings: - , Sell: - , Buy: -
Last 3m 2m 1m TTM R3,R2,R1 3m,2m,1m % off (5,50) Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank AvgRRS LR42 SMA_PO Status: Held
5-Oct-12 IYR US:REIT 64.69 5% 4% -47% 14% 10.0 -13% -1.4% -1.5% SELL
5-Oct-12 HYG US:FIHY 92.46 9% 10% -17% 8% 8.0 1% -0.6% -0.1% SELL
5-Oct-12 LQD US:FIIG 121.54 5% 15% 27% 6% 6.3 16% 0.0% 1.2% Buy
5-Oct-12 IJH US:MCB 99.65 43% 30% -30% 15% 6.0 14% -1.1% 1.1% HTD
5-Oct-12 IVW US:LCG 78.72 39% 27% 0% 11% 5.3 22% -0.4% 1.6% HTD
5-Oct-12 QQQ US:LCB 68.98 56% 24% -9% 16% 5.0 23% -1.1% 1.3% HTD
5-Oct-12 IVV US:LCB 146.70 42% 30% -1% 12% 5.0 24% -0.2% 1.9% HTD
5-Oct-12 IWM US:SCB 84.11 47% 50% -18% 17% 4.0 26% -1.6% 2.2% HTD
5-Oct-12 EFA GL:DM 54.14 60% 41% -5% 19% 2.7 32% -0.5% 2.2% Buy
5-Oct-12 EEM GL:EM 41.95 45% 35% 29% 22% 2.7 36% 0.5% 3.1% 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 Average of 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.
---------------------------------------------------------------------------------------
|
Recommendations: 1
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.
---------------------------------------------------------------------------------------
|
Recommendations: 2
SOLD:
*-
BOUGHT:
PowerShares FTSE RAFI Dev Mkts ex-US (PXF)
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
18-Oct-12 FUSEX SP500 51.68 5.5% 3.9% 0.9% 22.0% 20.0% 11 5 47 BUY 79
18-Oct-12 FSEMX DJ M/S 40.63 3.7% 3.9% 0.9% 21.1% 17.8% 9 5 47 BUY 45
18-Oct-12 FFNOX AA 29.73 5.1% 4.2% 1.3% 16.7% 14.4% 11 5 47 BUY
18-Oct-12 FSIIX EAFE 33.91 5.1% 5.9% 2.3% 12.2% 8.5% 10 51 20 BUY 66
18-Oct-12 FBIDX USGB 11.91 0.9% 0.0% -0.4% 4.9% 2.1% 11 12 51 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 3 of 6 or 50%
LT Hold: Three ( 3 ), Holdings: DBC,PRF,PXF , Sell: - , Buy: PXF
Last 6m 3m 1m TTM R6,R3 % off % off 30/100 Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 PO Status: Held
19-Oct-12 PXF GL:DM 34.63 22% 58% 14% 22% 2.0 1.8% -1.8% 6.3% BUY 1
19-Oct-12 PRF US:LC 62.20 23% 37% 15% 13% 2.0 0.1% -1.6% 4.7% BUY 23
19-Oct-12 DBC GL:Com 28.00 27% 19% -2% 18% 2.0 -2.9% -3.2% 4.8% HTD 32
19-Oct-12 PGX US:PF 14.84 11% 5% 15% 5% 4.0 -0.8% -0.2% 1.0% Sell
19-Oct-12 VNQ US:RE 65.54 9% -6% 3% 15% 5.0 -1.7% -0.2% 0.7% Sell
19-Oct-12 TLT US:FIT 121.74 3% -20% -19% 13% 6.0 -2.7% 0.7% -2.4% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 1 of 15 or 7% , COUNTIF( Held ) 1 of 15 or 7%
ST Hold: Three ( 3 ), Holdings: DBP , Sell: - , Buy: SCZ
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
19-Oct-12 DBP GLC:PM 59.25 28% 87% -30% 21% 1.5 -1.3% -5.7% -1.6% HTD 14
19-Oct-12 DBB GLC:BM 18.43 2% 68% -63% 22% 8.0 -1.2% -6.8% -0.9% HTD
19-Oct-12 SCZ GL:SC 39.21 14% 57% 12% 20% 6.0 2.6% -1.6% 0.1% BUY
19-Oct-12 IWC US:Micro 51.04 23% 47% -32% 17% 3.5 -3.1% -4.9% -1.7% HTD
19-Oct-12 ACWX GL:LCB 39.92 17% 42% -2% 19% 6.0 1.1% -1.7% 0.2% Sell
19-Oct-12 IWM US:SC 81.85 20% 39% -24% 16% 5.5 -2.2% -4.0% -0.9% Sell
19-Oct-12 EEM GL:EM 41.50 14% 37% 10% 22% 9.0 1.2% -1.5% -0.6% Sell
19-Oct-12 IWR US:MC 111.01 16% 32% 2% 14% 8.0 -0.3% -2.1% -0.4% Sell
19-Oct-12 IWL US:LC 33.27 21% 28% -6% 12% 6.5 -1.2% -2.2% -0.6% Sell
19-Oct-12 DBE GLC:ENE 28.10 17% 24% 44% 24% 8.0 -0.9% -3.0% -2.5% Sell
19-Oct-12 DVY US:DIV 58.25 14% 11% 9% 8% 10.5 -0.5% -0.4% -0.2% Sell
19-Oct-12 AGG US:FI 111.95 3% 0% -2% 2% 12.5 -0.4% 0.0% -0.1% Sell
19-Oct-12 IYR US:REIT 64.78 13% -1% -4% 14% 12.5 -1.7% -0.5% 0.5% Sell
19-Oct-12 TLH US:FIT 134.79 2% -9% -11% 7% 14.5 -1.5% 0.0% -0.3% Sell
19-Oct-12 DBA GLC:AG 29.27 34% -12% -20% 17% 8.0 -4.3% 0.0% 1.1% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EFA,IDV , Sell: IDV , Buy: EEM
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
19-Oct-12 SCZ GL:SC 39.21 14% 57% 12% 20% 4.0 2.6% -1.6% 0.1% BUY 15
19-Oct-12 EFA GL:DM 54.14 20% 45% 8% 19% 4.0 1.3% -1.5% 0.3% BUY 15
19-Oct-12 EEM GL:EM 41.50 14% 37% 10% 22% 6.5 1.2% -1.5% -0.6% BUY
19-Oct-12 IDV GL:Div'd 32.41 25% 35% 22% 19% 2.5 0.0% -1.6% -0.3% HTD 15
19-Oct-12 IJR US:SCB 75.57 20% 33% -29% 16% 5.0 -2.4% -3.8% -0.5% Sell
19-Oct-12 IJH US:MCB 98.59 14% 31% -6% 15% 7.0 -0.4% -2.4% -0.1% Sell
19-Oct-12 IVV US:LCB 143.86 22% 28% -5% 12% 5.0 -1.4% -2.4% -0.8% Sell
19-Oct-12 ONEQ US:LCB 118.50 20% 27% -34% 16% 6.0 -3.6% -4.7% -1.3% Sell
19-Oct-12 EMB GL:FIEM 122.73 23% 19% 29% 7% 5.5 0.0% 0.2% -0.1% Sell
19-Oct-12 DVY US:Div'd 58.25 14% 11% 9% 8% 9.5 -0.5% -0.4% -0.2% Sell
19-Oct-12 LQD US:FIIG 122.80 12% 9% 23% 5% 11.5 0.4% 0.6% -0.2% Sell
19-Oct-12 HYG US:FIHY 92.96 10% 8% 10% 8% 12.5 -0.2% -0.1% 0.1% Sell
19-Oct-12 IYR US:REIT 64.78 13% -1% -4% 14% 12.0 -1.7% -0.5% 0.5% 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 ) 4 of 10 or 40% , 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
19-Oct-12 QQQ US:LCB 65.68 24% -11% -41% 16% 8.7 -5.4% -3.3% -1.6% SELL
19-Oct-12 IYR US:REIT 64.78 -1% -15% -4% 14% 8.3 -0.5% 0.5% 0.5% SELL
19-Oct-12 IVW US:LCG 76.62 24% 9% -17% 11% 6.7 -3.1% -2.2% -1.0% SELL
19-Oct-12 HYG US:FIHY 92.96 8% 4% 10% 8% 6.3 -0.1% 0.1% 0.1% Buy
19-Oct-12 IJH US:MCB 98.59 31% 6% -6% 15% 6.0 -2.4% -1.0% -0.1% SELL
19-Oct-12 IWM US:SCB 81.85 39% 12% -24% 16% 5.3 -4.0% -2.7% -0.9% HTD
19-Oct-12 IVV US:LCB 143.86 28% 16% -5% 12% 5.0 -2.4% -1.8% -0.8% HTD
19-Oct-12 LQD US:FIIG 122.80 9% 19% 23% 5% 4.0 0.6% 0.0% -0.2% Buy
19-Oct-12 EFA GL:DM 54.14 45% 30% 8% 19% 2.3 -1.5% -0.7% 0.3% Buy
19-Oct-12 EEM GL:EM 41.50 37% 46% 10% 22% 2.3 -1.5% -1.8% -0.6% 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.
---------------------------------------------------------------------------------------
|
Recommendations: 1
SOLD:
*-
BOUGHT:
MSCI EAFE Small Cap Index (SCZ)
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
25-Oct-12 FUSEX SP500 50.11 4.5% 2.4% -1.2% 12.0% 10.1% 12 6 48 BUY 86
25-Oct-12 FSEMX DJ M/S 39.61 2.9% 2.6% -1.0% 9.0% 5.7% 10 6 48 BUY 52
25-Oct-12 FFNOX AA 29.04 4.4% 3.1% -0.3% 7.6% 5.3% 12 6 48 BUY
25-Oct-12 FBIDX USGB 11.90 0.7% -0.4% -0.5% 5.1% 2.3% 12 13 52 SELL
25-Oct-12 FSIIX EAFE 33.17 4.7% 5.2% 0.9% 0.8% -3.0% 11 52 21 BUY 73
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 3 of 6 or 50%
LT Hold: Three ( 3 ), Holdings: DBC,PRF,PXF , Sell: - , Buy: -
Last 6m 3m 1m TTM R6,R3 % off % off 30/100 Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 PO Status: Held
26-Oct-12 PXF GL:DM 34.26 29% 39% 19% 21% 1.5 -0.6% -2.2% 5.4% HTD 8
26-Oct-12 DBC GL:Com 27.58 30% 5% -40% 18% 2.0 -4.8% -3.3% 3.3% HTD 39
26-Oct-12 PRF US:LC 61.11 26% 26% -9% 12% 2.5 -2.3% -2.7% 3.9% HTD 30
26-Oct-12 PGX US:PF 14.80 10% 4% -1% 5% 4.0 -1.1% -0.4% 0.8% Sell
26-Oct-12 VNQ US:RE 63.76 8% -11% -6% 14% 5.0 -4.2% -2.1% -0.4% Sell
26-Oct-12 TLT US:FIT 122.64 -1% -15% -24% 12% 6.0 -1.2% 1.1% -2.2% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 1 of 15 or 7% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: DBP,SCZ , Sell: - , Buy: SCZ
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
26-Oct-12 DBP GLC:PM 58.92 31% 66% -54% 21% 1.5 -2.6% -5.5% 0.4% HTD 21
26-Oct-12 DBB GLC:BM 17.96 5% 46% -75% 23% 7.5 -4.0% -7.8% 0.3% HTD
26-Oct-12 SCZ GL:SC 39.13 22% 45% 15% 19% 5.5 0.9% -1.7% -0.3% BUY 3
26-Oct-12 IWC US:Micro 50.77 24% 31% -47% 17% 3.5 -3.8% -4.4% -0.1% HTD
26-Oct-12 ACWX GL:LCB 39.58 23% 29% 3% 18% 5.0 -0.9% -2.0% -0.6% Sell
26-Oct-12 EEM GL:EM 41.21 19% 26% -6% 21% 7.5 -0.5% -1.8% -0.6% Sell
26-Oct-12 IWM US:SC 81.14 22% 23% -33% 16% 7.0 -3.4% -3.8% -0.5% Sell
26-Oct-12 IWR US:MC 109.36 19% 19% -15% 13% 9.0 -2.3% -2.8% -0.8% Sell
26-Oct-12 IWL US:LC 32.83 23% 15% -25% 11% 7.5 -2.8% -2.6% -0.4% Sell
26-Oct-12 DVY US:DIV 57.60 15% 7% -4% 7% 10.5 -1.8% -1.2% -0.6% Sell
26-Oct-12 DBE GLC:ENE 27.54 23% 5% -32% 24% 7.5 -3.6% -3.3% -1.1% Sell
26-Oct-12 AGG US:FI 112.03 3% 1% -4% 2% 13.0 -0.3% 0.0% 0.1% Sell
26-Oct-12 IYR US:REIT 63.29 12% -6% -7% 13% 12.5 -3.9% -2.0% -1.3% Sell
26-Oct-12 TLH US:FIT 135.32 -1% -6% -19% 7% 14.5 -0.7% 0.3% 0.7% Sell
26-Oct-12 DBA GLC:AG 28.81 32% -16% -17% 16% 8.0 -5.7% -0.9% -0.4% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 2 of 13 or 15% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EFA,IDV , Sell: IDV , 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
26-Oct-12 SCZ GL:SC 39.13 22% 45% 15% 19% 3.0 0.9% -1.7% -0.3% BUY 22
26-Oct-12 EFA GL:DM 53.62 25% 31% 15% 17% 2.0 -0.7% -1.9% -0.8% BUY 22
26-Oct-12 EEM GL:EM 41.21 19% 26% -6% 21% 5.5 -0.5% -1.8% -0.6% HTD
26-Oct-12 IDV GL:Div'd 32.36 30% 22% 24% 17% 2.5 -1.1% -1.2% -0.6% HTD 22
26-Oct-12 IJH US:MCB 97.49 17% 18% -10% 14% 7.0 -2.1% -2.7% -0.7% Sell
26-Oct-12 EMB GL:FIEM 121.80 24% 18% 17% 7% 4.5 -1.2% -0.8% -0.8% Sell
26-Oct-12 IJR US:SCB 74.89 21% 17% -33% 15% 6.5 -3.5% -3.6% -0.3% Sell
26-Oct-12 IVV US:LCB 141.93 24% 16% -25% 11% 6.0 -3.1% -2.9% -0.7% Sell
26-Oct-12 LQD US:FIIG 122.64 13% 12% 12% 5% 10.0 0.0% 0.1% -0.2% Sell
26-Oct-12 ONEQ US:LCB 117.84 21% 8% -47% 15% 8.5 -4.2% -3.6% 0.2% Sell
26-Oct-12 DVY US:Div'd 57.60 15% 7% -4% 7% 10.5 -1.8% -1.2% -0.6% Sell
26-Oct-12 HYG US:FIHY 92.48 11% 7% 14% 7% 12.5 -1.0% -0.6% -0.6% Sell
26-Oct-12 IYR US:REIT 63.29 12% -6% -7% 13% 12.5 -3.9% -2.0% -1.3% 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 ) 6 of 10 or 60% , 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
26-Oct-12 QQQ US:LCB 65.35 3% -26% -52% 16% 9.7 -4.0% -1.8% 0.1% SELL
26-Oct-12 IYR US:REIT 63.29 -6% -23% -7% 13% 8.0 -2.0% -0.8% -1.3% SELL
26-Oct-12 IVW US:LCG 75.70 11% -8% -35% 10% 7.3 -3.1% -2.0% -0.5% SELL
26-Oct-12 IWM US:SCB 81.14 23% -11% -33% 16% 6.3 -3.8% -1.8% -0.5% SELL
26-Oct-12 IJH US:MCB 97.49 18% -9% -10% 14% 5.7 -2.7% -1.0% -0.7% SELL
26-Oct-12 IVV US:LCB 141.93 16% 0% -25% 11% 5.7 -2.9% -1.9% -0.7% SELL
26-Oct-12 HYG US:FIHY 92.48 7% 1% 14% 7% 4.7 -0.6% -0.3% -0.6% Buy
26-Oct-12 LQD US:FIIG 122.64 12% 19% 12% 5% 4.0 0.1% -0.3% -0.2% Buy
26-Oct-12 EEM GL:EM 41.21 26% 33% -6% 21% 2.3 -1.8% -2.1% -0.6% Buy
26-Oct-12 EFA GL:DM 53.62 31% 19% 15% 17% 1.3 -1.9% -1.3% -0.8% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 1
SOLD:
*-
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
1-Nov-12 FUSEX SP500 50.64 3.7% 1.2% -1.2% 14.0% 12.0% 13 7 49 BUY 92
1-Nov-12 FSEMX DJ M/S 40.35 2.5% 1.9% -0.6% 10.3% 7.0% 11 7 49 BUY 58
1-Nov-12 FFNOX AA 29.33 4.0% 2.2% -0.3% 10.0% 7.7% 13 7 49 BUY
1-Nov-12 FSIIX EAFE 33.45 4.6% 4.3% 0.7% 6.5% 2.8% 12 7 22 BUY 79
1-Nov-12 FBIDX USGB 11.94 0.4% -0.4% -0.4% 4.1% 1.4% 13 14 32 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 3 of 6 or 50%
LT Hold: Three ( 3 ), Holdings: DBC,PRF,PXF , Sell: - , Buy: -
Last 6m 3m 1m TTM R6,R3 % off % off 30/100 Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 PO Status: Held
2-Nov-12 PXF GL:DM 34.27 34% 28% 4% 21% 1.0 -1.5% -1.8% 4.6% HTD 14
2-Nov-12 PRF US:LC 61.52 28% 19% -20% 12% 2.5 -2.2% -1.7% 3.3% HTD 36
2-Nov-12 DBC GL:Com 27.14 31% -7% -53% 18% 3.0 -6.5% -3.5% 2.3% HTD 45
2-Nov-12 PGX US:PF 14.87 11% 3% -5% 5% 3.5 -0.8% 0.0% 0.8% HTD
2-Nov-12 TLT US:FIT 122.26 -4% -10% -3% 12% 5.5 -0.9% 0.5% -1.9% Sell
2-Nov-12 VNQ US:RE 65.12 9% -12% -10% 14% 5.5 -2.1% 0.3% -1.1% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 1 of 15 or 7% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: DBP,SCZ , 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
2-Nov-12 DBP GLC:PM 57.55 33% 46% -58% 21% 1.0 -5.2% -6.6% -0.5% HTD 27
2-Nov-12 SCZ GL:SC 39.11 27% 37% 7% 19% 2.5 -0.2% -1.6% -0.2% BUY 9
2-Nov-12 DBB GLC:BM 17.93 7% 26% -71% 23% 8.0 -4.3% -6.5% 1.4% HTD
2-Nov-12 EEM GL:EM 41.60 24% 22% -5% 21% 6.0 -0.5% -0.8% 0.3% HTD
2-Nov-12 ACWX GL:LCB 39.75 27% 21% 0% 17% 4.5 -1.3% -1.3% -0.1% Sell
2-Nov-12 IWC US:Micro 50.72 25% 19% -47% 17% 6.0 -4.1% -3.7% 0.5% Sell
2-Nov-12 IWM US:SC 81.19 23% 11% -32% 16% 8.0 -3.6% -2.9% 0.1% Sell
2-Nov-12 IWR US:MC 110.41 21% 11% -20% 13% 9.0 -1.8% -1.3% 0.4% Sell
2-Nov-12 IWL US:LC 32.79 24% 8% -34% 11% 8.0 -3.2% -2.1% 0.3% Sell
2-Nov-12 DVY US:DIV 57.60 15% 5% -15% 7% 10.5 -2.0% -1.0% -0.2% Sell
2-Nov-12 AGG US:FI 111.87 2% 1% -2% 2% 12.5 -0.4% -0.2% 0.0% Sell
2-Nov-12 TLH US:FIT 135.49 -2% -4% -5% 7% 13.5 -0.3% 0.2% 0.3% Sell
2-Nov-12 IYR US:REIT 64.50 12% -7% -7% 13% 12.5 -2.1% 0.1% 0.6% Sell
2-Nov-12 DBE GLC:ENE 26.83 27% -10% -60% 24% 9.5 -6.5% -4.1% -0.9% Sell
2-Nov-12 DBA GLC:AG 28.85 29% -17% -10% 16% 8.5 -5.3% -0.3% -0.2% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 2 of 13 or 15% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EFA,IDV , Sell: IDV , 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
2-Nov-12 SCZ GL:SC 39.11 27% 37% 7% 19% 2.0 -0.2% -1.6% -0.2% BUY 28
2-Nov-12 EFA GL:DM 53.69 30% 23% 3% 17% 2.0 -1.5% -1.5% -0.4% BUY 28
2-Nov-12 EEM GL:EM 41.60 24% 22% -5% 21% 4.5 -0.5% -0.8% 0.3% HTD
2-Nov-12 EMB GL:FIEM 120.86 24% 16% -3% 6% 4.5 -2.2% -1.5% -0.8% HTD
2-Nov-12 IDV GL:Div'd 32.20 34% 15% 5% 17% 3.0 -2.4% -1.4% -0.7% Sell 28
2-Nov-12 LQD US:FIIG 122.24 13% 14% 5% 5% 8.5 -0.5% -0.6% -0.4% Sell
2-Nov-12 IJH US:MCB 98.83 20% 10% -6% 14% 8.0 -1.3% -0.9% 0.4% Sell
2-Nov-12 IVV US:LCB 142.10 25% 8% -33% 11% 6.0 -3.3% -2.1% 0.3% Sell
2-Nov-12 IJR US:SCB 75.35 23% 7% -27% 15% 8.0 -3.2% -2.1% 0.4% Sell
2-Nov-12 HYG US:FIHY 92.41 11% 5% 3% 7% 11.5 -1.2% -0.6% -0.4% Sell
2-Nov-12 DVY US:Div'd 57.60 15% 5% -15% 7% 10.5 -2.0% -1.0% -0.2% Sell
2-Nov-12 ONEQ US:LCB 117.54 22% -3% -47% 15% 10.0 -4.6% -2.6% 0.7% Sell
2-Nov-12 IYR US:REIT 64.50 12% -7% -7% 13% 12.5 -2.1% 0.1% 0.6% 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 ) 4 of 10 or 40% , 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
2-Nov-12 QQQ US:LCB 65.17 -9% -36% -51% 16% 10.0 -2.8% -0.5% 0.7% SELL
2-Nov-12 IVW US:LCG 75.65 2% -19% -40% 10% 8.0 -2.4% -0.9% 0.3% SELL
2-Nov-12 IYR US:REIT 64.50 -7% -25% -7% 13% 8.0 0.1% 1.5% 0.6% HTD
2-Nov-12 IWM US:SCB 81.19 11% -24% -32% 16% 6.3 -2.9% -0.5% 0.1% SELL
2-Nov-12 IVV US:LCB 142.10 8% -13% -33% 11% 6.3 -2.1% -0.8% 0.3% SELL
2-Nov-12 IJH US:MCB 98.83 10% -16% -6% 14% 5.3 -0.9% 0.8% 0.4% HTD
2-Nov-12 HYG US:FIHY 92.41 5% -2% 3% 7% 4.7 -0.6% -0.1% -0.4% Buy
2-Nov-12 EEM GL:EM 41.60 22% 14% -5% 21% 2.7 -0.8% -0.5% 0.3% Buy
2-Nov-12 EFA GL:DM 53.69 23% 4% 3% 17% 2.0 -1.5% -0.5% -0.4% Buy
2-Nov-12 LQD US:FIIG 122.24 14% 18% 5% 5% 1.7 -0.6% -0.8% -0.4% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 2
SOLD:
DJ International Select Dividend (IDV)
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
8-Nov-12 FUSEX SP500 48.91 2.7% 0.0% -2.7% 13.2% 11.2% 14 8 50 BUY 99
8-Nov-12 FSEMX DJ M/S 38.95 1.9% 1.0% -1.8% 12.1% 8.9% 12 8 50 BUY 65
8-Nov-12 FFNOX AA 28.56 3.3% 1.2% -1.5% 10.6% 8.3% 14 8 50 BUY
8-Nov-12 FSIIX EAFE 32.64 4.3% 3.1% -0.7% 8.7% 5.0% 13 8 23 BUY 86
8-Nov-12 FBIDX USGB 11.98 0.3% -0.3% -0.2% 4.8% 2.0% 14 15 33 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 3 of 6 or 50%
LT Hold: Three ( 3 ), Holdings: DBC,PRF,PXF , Sell: DBC , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 LR21 Status: Held
9-Nov-12 PXF GL:DM 33.47 38% 18% 3.9% 20% 1.0 -4.5% -3.4% -1.1% HTD 21
9-Nov-12 PRF US:LC 60.03 29% 10% 2.6% 12% 2.5 -4.7% -3.3% -0.8% HTD 43
9-Nov-12 PGX US:PF 14.81 11% 4% 0.7% 5% 3.5 -1.3% -0.4% 0.0% HTD
9-Nov-12 DBC GL:Com 27.60 32% -14% 1.0% 18% 3.5 -5.0% -0.8% 1.5% HTD 52
9-Nov-12 TLT US:FIT 125.98 -6% -4% -1.8% 12% 5.0 2.5% 2.7% 1.5% Sell
9-Nov-12 VNQ US:RE 63.74 8% -16% -1.5% 13% 5.5 -4.0% -1.0% -0.5% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 15 or 0% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: DBP,SCZ , 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
9-Nov-12 DBP GLC:PM 59.62 35% 28% -29% 21% 1.0 -2.3% -2.4% 1.8% HTD 34
9-Nov-12 SCZ GL:SC 38.23 32% 26% -17% 19% 2.0 -3.2% -3.3% -1.2% HTD 16
9-Nov-12 EEM GL:EM 41.00 28% 20% -12% 20% 4.0 -2.7% -2.3% -0.7% HTD
9-Nov-12 ACWX GL:LCB 39.09 31% 16% -17% 17% 3.5 -3.5% -2.6% -0.9% HTD
9-Nov-12 DBB GLC:BM 17.98 8% 9% -49% 23% 9.0 -4.1% -4.6% 1.2% Sell
9-Nov-12 IWC US:Micro 49.22 23% 3% -51% 17% 7.0 -6.7% -5.0% -0.8% Sell
9-Nov-12 IWR US:MC 108.32 23% 3% -25% 13% 8.5 -4.0% -2.5% -0.7% Sell
9-Nov-12 AGG US:FI 112.08 2% 2% -2% 2% 11.0 -0.2% -0.1% 0.1% Sell
9-Nov-12 TLH US:FIT 137.89 -3% 0% 19% 7% 12.0 1.6% 1.6% 0.9% Sell
9-Nov-12 IWM US:SC 79.38 23% -1% -40% 16% 9.5 -5.7% -3.7% -0.8% Sell
9-Nov-12 DVY US:DIV 56.06 14% -1% -35% 7% 11.0 -4.4% -2.9% -1.0% Sell
9-Nov-12 IWL US:LC 31.93 23% -1% -42% 11% 9.5 -5.7% -3.5% -0.8% Sell
9-Nov-12 IYR US:REIT 62.98 12% -12% -23% 13% 12.5 -4.2% -1.4% -0.7% Sell
9-Nov-12 DBE GLC:ENE 27.51 30% -17% -58% 24% 9.0 -4.6% -0.5% 2.4% Sell
9-Nov-12 DBA GLC:AG 28.69 25% -19% -12% 16% 10.5 -5.4% -0.2% -0.4% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 13 or 0% , COUNTIF( Held ) 2 of 13 or 15%
ST Hold: Three ( 3 ), Holdings: SCZ,EFA , Sell: IDV , 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
9-Nov-12 SCZ GL:SC 38.23 32% 26% -17% 19% 2.0 -3.2% -3.3% -1.2% HTD 35
9-Nov-12 EEM GL:EM 41.00 28% 20% -12% 20% 3.0 -2.7% -2.3% -0.7% HTD
9-Nov-12 EFA GL:DM 52.80 33% 16% -21% 17% 2.5 -3.7% -2.6% -0.8% HTD 35
9-Nov-12 EMB GL:FIEM 121.60 25% 15% -16% 6% 4.5 -1.9% -1.0% 0.3% HTD
9-Nov-12 LQD US:FIIG 121.54 13% 14% -12% 4% 8.0 -1.2% -1.2% -0.2% Sell
9-Nov-12 IDV GL:Div'd 31.56 36% 9% -25% 17% 3.5 -4.8% -2.7% -1.1% Sell
9-Nov-12 IJH US:MCB 97.05 21% 3% -11% 14% 7.5 -3.4% -2.0% -1.0% Sell
9-Nov-12 HYG US:FIHY 91.39 11% 2% -18% 7% 10.5 -2.4% -1.3% -0.4% Sell
9-Nov-12 DVY US:Div'd 56.06 14% -1% -35% 7% 9.5 -4.4% -2.9% -1.0% Sell
9-Nov-12 IVV US:LCB 138.60 24% -1% -42% 12% 8.0 -5.6% -3.4% -0.7% Sell
9-Nov-12 IJR US:SCB 73.84 23% -4% -27% 15% 9.0 -5.2% -3.0% -0.9% Sell
9-Nov-12 IYR US:REIT 62.98 12% -12% -23% 13% 12.0 -4.2% -1.4% -0.7% Sell
9-Nov-12 ONEQ US:LCB 114.84 21% -14% -46% 16% 11.0 -6.5% -3.2% -0.4% 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
9-Nov-12 QQQ US:LCB 63.43 -21% -46% -52% 16% 10.0 -3.4% -1.0% -0.5% SELL
9-Nov-12 IVW US:LCG 74.00 -7% -31% -45% 11% 8.3 -3.2% -1.3% -0.4% SELL
9-Nov-12 IWM US:SCB 79.38 -1% -34% -40% 16% 7.3 -3.7% -1.1% -0.8% SELL
9-Nov-12 IVV US:LCB 138.60 -1% -26% -42% 12% 7.3 -3.4% -1.6% -0.7% SELL
9-Nov-12 IYR US:REIT 62.98 -12% -26% -23% 13% 7.0 -1.4% -0.2% -0.7% SELL
9-Nov-12 HYG US:FIHY 91.39 2% -8% -18% 7% 4.0 -1.3% -0.7% -0.4% Buy
9-Nov-12 EFA GL:DM 52.80 16% -12% -21% 17% 3.7 -2.6% -1.0% -0.8% Buy
9-Nov-12 IJH US:MCB 97.05 3% -18% -11% 14% 3.3 -2.0% -0.5% -1.0% Buy
9-Nov-12 EEM GL:EM 41.00 20% -5% -12% 20% 2.0 -2.3% -0.9% -0.7% Buy
9-Nov-12 LQD US:FIIG 121.54 14% 11% -12% 4% 2.0 -1.2% -1.1% -0.2% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 2
SOLD:
MSCI EAFE (EFA)
PowerShares DB Commodity Index (DBC)
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
15-Nov-12 FUSEX SP500 48.09 1.0% -2.1% -4.9% 13.4% 11.4% 15 9 51 BUY 106
15-Nov-12 FFNOX AA 28.14 2.0% -0.6% -3.4% 10.6% 8.3% 15 9 51 BUY
15-Nov-12 FSEMX DJ M/S 37.90 0.4% -1.4% -4.8% 10.4% 7.2% 13 9 51 BUY 72
15-Nov-12 FSIIX EAFE 32.22 3.3% 1.1% -2.6% 9.4% 5.7% 14 9 24 BUY 93
15-Nov-12 FBIDX USGB 11.96 0.3% -0.2% -0.1% 4.6% 1.8% 15 16 34 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 2 of 6 or 33%
LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: DBC , Buy: -
Last 6m 3m 30/100 TTM R6,R3 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 LR21 Status: Held
16-Nov-12 PXF GL:DM 32.93 37% 7% 3.1% 20% 1.0 -6.0% -3.9% -0.4% HTD 28
16-Nov-12 PGX US:PF 14.64 9% 2% 0.5% 5% 3.0 -2.2% -1.2% -0.4% HTD
16-Nov-12 PRF US:LC 59.09 26% 0% 1.9% 12% 3.0 -5.9% -3.7% -0.1% HTD 50
16-Nov-12 DBC GL:Com 27.51 30% -19% 0.4% 18% 3.5 -5.2% -0.2% 0.9% HTD
16-Nov-12 TLT US:FIT 126.37 -7% 0% -1.4% 12% 5.0 2.8% 2.4% -0.3% Sell
16-Nov-12 VNQ US:RE 62.44 6% -22% -1.8% 14% 5.5 -5.4% -1.9% -0.6% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 15 or 0% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: DBP,SCZ , 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
16-Nov-12 EEM GL:EM 40.41 27% 15% -35% 20% 3.0 -4.1% -3.2% -0.5% HTD
16-Nov-12 SCZ GL:SC 37.67 31% 15% -47% 18% 2.0 -4.7% -3.8% -0.3% HTD 23
16-Nov-12 DBP GLC:PM 58.93 34% 12% -5% 20% 2.0 -3.5% -2.4% -0.1% HTD 41
16-Nov-12 ACWX GL:LCB 38.59 30% 8% -42% 17% 4.0 -4.7% -3.1% -0.3% HTD
16-Nov-12 TLH US:FIT 138.19 -3% 2% 56% 7% 10.0 1.8% 1.4% -0.2% Sell
16-Nov-12 AGG US:FI 112.21 2% 1% 4% 2% 10.0 -0.1% 0.0% 0.0% Sell
16-Nov-12 IWR US:MC 107.01 21% -5% -43% 13% 6.5 -4.9% -2.6% -0.1% Sell
16-Nov-12 DBB GLC:BM 18.10 9% -5% -22% 23% 10.5 -3.5% -2.6% 0.7% Sell
16-Nov-12 DVY US:DIV 55.45 11% -8% -55% 8% 10.0 -5.0% -2.9% 0.3% Sell
16-Nov-12 IWL US:LC 31.46 20% -10% -55% 12% 9.0 -6.6% -3.7% -0.3% Sell
16-Nov-12 IWC US:Micro 47.62 19% -12% -65% 18% 10.5 -9.0% -6.0% -1.1% Sell
16-Nov-12 IWM US:SC 77.48 19% -14% -59% 16% 10.5 -7.4% -4.2% -0.5% Sell
16-Nov-12 IYR US:REIT 61.89 9% -19% -45% 13% 12.5 -5.3% -1.9% -0.3% Sell
16-Nov-12 DBE GLC:ENE 27.72 31% -20% -28% 24% 8.5 -4.1% 0.9% 1.9% Sell
16-Nov-12 DBA GLC:AG 28.29 21% -24% -33% 15% 11.0 -6.1% -0.6% -0.3% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 13 or 0% , COUNTIF( Held ) 1 of 13 or 8%
ST Hold: Three ( 3 ), Holdings: SCZ , Sell: EFA , 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
16-Nov-12 EEM GL:EM 40.41 27% 15% -35% 20% 2.5 -4.1% -3.2% -0.5% HTD
16-Nov-12 SCZ GL:SC 37.67 31% 15% -47% 18% 2.5 -4.7% -3.8% -0.3% HTD 42
16-Nov-12 LQD US:FIIG 121.66 12% 12% -13% 4% 6.5 -1.2% -1.0% 0.1% HTD
16-Nov-12 EMB GL:FIEM 120.75 23% 12% -17% 6% 4.5 -2.6% -1.5% -0.1% HTD
16-Nov-12 EFA GL:DM 52.09 32% 7% -45% 17% 3.5 -5.0% -3.1% -0.1% Sell
16-Nov-12 IDV GL:Div'd 31.20 35% 1% -46% 17% 3.5 -5.8% -3.0% -0.3% Sell
16-Nov-12 HYG US:FIHY 90.93 10% -2% -30% 7% 9.5 -2.7% -1.3% 0.1% Sell
16-Nov-12 IJH US:MCB 95.37 20% -5% -38% 14% 7.5 -4.9% -2.7% -0.7% Sell
16-Nov-12 DVY US:Div'd 55.45 11% -8% -55% 8% 10.0 -5.0% -2.9% 0.3% Sell
16-Nov-12 IVV US:LCB 136.84 21% -10% -54% 12% 8.0 -6.4% -3.4% 0.0% Sell
16-Nov-12 IJR US:SCB 72.12 20% -15% -51% 15% 9.5 -6.9% -3.6% -0.8% Sell
16-Nov-12 IYR US:REIT 61.89 9% -19% -45% 13% 12.5 -5.3% -1.9% -0.3% Sell
16-Nov-12 ONEQ US:LCB 112.46 17% -24% -57% 16% 11.0 -7.8% -3.4% -0.3% 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
16-Nov-12 QQQ US:LCB 62.30 -30% -51% -61% 17% 10.0 -3.2% -0.8% 0.0% SELL
16-Nov-12 IWM US:SCB 77.48 -14% -40% -59% 16% 8.3 -4.2% -1.7% -0.5% SELL
16-Nov-12 IVW US:LCG 73.18 -15% -38% -54% 11% 7.7 -3.0% -0.9% 0.2% SELL
16-Nov-12 IVV US:LCB 136.84 -10% -33% -54% 12% 7.0 -3.4% -1.4% 0.0% SELL
16-Nov-12 IYR US:REIT 61.89 -19% -25% -45% 13% 7.0 -1.9% -1.2% -0.3% SELL
16-Nov-12 IJH US:MCB 95.37 -5% -20% -38% 14% 4.7 -2.7% -1.5% -0.7% HTD
16-Nov-12 EFA GL:DM 52.09 7% -16% -45% 17% 4.0 -3.1% -1.5% -0.1% Buy
16-Nov-12 HYG US:FIHY 90.93 -2% -9% -30% 7% 2.7 -1.3% -0.8% 0.1% Buy
16-Nov-12 EEM GL:EM 40.41 15% -11% -35% 20% 2.3 -3.2% -1.5% -0.5% Buy
16-Nov-12 LQD US:FIIG 121.66 12% 5% -13% 4% 1.3 -1.0% -0.6% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 1
SOLD:
*-
BOUGHT:
*-
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA15 < 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 15/200 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
21-Nov-12 FUSEX SP500 49.44 0.0% -2.0% -2.3% 22.1% 20.2% 16 10 51 BUY 113
21-Nov-12 FSEMX DJ M/S 39.27 -0.3% -1.4% -1.7% 21.3% 18.0% 14 10 51 BUY 79
21-Nov-12 FSIIX EAFE 32.94 2.6% 1.1% -0.6% 18.4% 14.7% 15 10 25 BUY 100
21-Nov-12 FFNOX AA 28.78 1.3% -0.6% -1.4% 18.1% 15.9% 16 10 51 BUY
21-Nov-12 FBIDX USGB 11.92 0.3% -0.4% -0.4% 4.5% 1.7% 16 17 35 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 2 of 6 or 33%
LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off % off Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 LR21 Status: Held
23-Nov-12 PXF GL:DM 34.50 36% 3% 2.4% 20% 1.0 -1.7% 1.0% 2.7% HTD 35
23-Nov-12 PGX US:PF 14.75 7% -1% 0.1% 5% 3.5 -1.2% -0.2% 0.5% HTD
23-Nov-12 PRF US:LC 61.16 24% -5% 0.8% 12% 3.5 -2.4% 0.3% 2.2% HTD 57
23-Nov-12 DBC GL:Com 28.06 30% -19% -1.0% 18% 3.5 -3.4% 2.0% 0.7% Sell
23-Nov-12 TLT US:FIT 124.21 -8% 1% -0.9% 12% 4.0 1.2% 0.4% -1.6% Sell
23-Nov-12 VNQ US:RE 64.04 2% -24% -2.4% 14% 5.5 -2.3% 1.4% 1.4% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 15 or 0% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: DBP,SCZ , Sell: DBP , 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
23-Nov-12 EEM GL:EM 41.63 26% 13% -14% 20% 3.0 -1.3% -0.1% 1.7% HTD
23-Nov-12 SCZ GL:SC 39.15 32% 10% -25% 18% 2.5 -1.3% 0.3% 2.6% HTD 30
23-Nov-12 ACWX GL:LCB 40.29 29% 6% -8% 17% 3.5 -0.8% 1.2% 2.5% HTD
23-Nov-12 TLH US:FIT 136.71 -3% 2% 30% 7% 9.5 0.7% 0.2% -1.0% Sell
23-Nov-12 AGG US:FI 111.96 2% 1% 2% 2% 9.5 -0.3% -0.1% -0.2% Sell
23-Nov-12 DBP GLC:PM 60.74 33% 0% 47% 20% 4.0 -1.0% 1.3% 1.0% Sell 48
23-Nov-12 IWR US:MC 110.73 20% -8% -13% 13% 6.5 -1.6% 1.2% 2.0% Sell
23-Nov-12 DVY US:DIV 56.83 9% -11% -36% 8% 10.0 -2.2% 0.1% 2.1% Sell
23-Nov-12 IWL US:LC 32.66 18% -15% -28% 12% 8.0 -2.7% 0.8% 2.4% Sell
23-Nov-12 DBE GLC:ENE 28.39 34% -16% 64% 24% 5.5 -2.3% 2.9% 0.9% Sell
23-Nov-12 DBB GLC:BM 18.42 9% -19% 30% 23% 11.0 -1.8% 0.8% 0.5% Sell
23-Nov-12 IWM US:SC 80.47 16% -21% -39% 16% 10.5 -3.3% 0.6% 2.6% Sell
23-Nov-12 IYR US:REIT 63.33 6% -22% -29% 13% 13.0 -2.5% 1.1% 1.6% Sell
23-Nov-12 IWC US:Micro 49.71 15% -22% -50% 18% 12.0 -4.3% -0.3% 2.9% Sell
23-Nov-12 DBA GLC:AG 28.73 16% -24% -18% 15% 11.5 -4.0% 1.3% 0.8% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 0 of 13 or 0% , COUNTIF( Held ) 1 of 13 or 8%
ST Hold: Three ( 3 ), Holdings: SCZ , 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
23-Nov-12 EEM GL:EM 41.63 26% 13% -14% 20% 2.5 -1.3% -0.1% 1.7% HTD
23-Nov-12 SCZ GL:SC 39.15 32% 10% -25% 18% 2.0 -1.3% 0.3% 2.6% HTD 49
23-Nov-12 LQD US:FIIG 121.80 11% 9% -9% 4% 6.5 -1.0% -0.7% 0.2% HTD
23-Nov-12 EMB GL:FIEM 121.45 21% 8% -6% 6% 4.5 -2.0% -0.6% 0.2% HTD
23-Nov-12 EFA GL:DM 54.54 31% 5% -7% 17% 4.0 -0.8% 1.5% 2.7% Sell
23-Nov-12 IDV GL:Div'd 32.62 33% -1% -18% 17% 3.5 -1.6% 1.6% 2.9% Sell
23-Nov-12 HYG US:FIHY 92.37 9% -4% -12% 7% 9.0 -1.0% 0.4% 1.0% Sell
23-Nov-12 IJH US:MCB 99.13 19% -8% -13% 14% 7.0 -1.2% 1.5% 2.0% Sell
23-Nov-12 DVY US:Div'd 56.83 9% -11% -36% 8% 10.5 -2.2% 0.1% 2.1% Sell
23-Nov-12 IVV US:LCB 141.83 19% -14% -25% 12% 8.5 -2.7% 0.8% 2.3% Sell
23-Nov-12 IJR US:SCB 74.89 17% -20% -32% 15% 9.5 -3.0% 1.1% 2.3% Sell
23-Nov-12 IYR US:REIT 63.33 6% -22% -29% 13% 12.5 -2.5% 1.1% 1.6% Sell
23-Nov-12 ONEQ US:LCB 116.87 14% -29% -33% 16% 11.0 -3.6% 1.5% 2.6% 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 ) 0 of 10 or 0% , 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
23-Nov-12 QQQ US:LCB 64.90 -34% -46% -33% 17% 9.7 2.0% 3.5% 2.7% HTD
23-Nov-12 IWM US:SCB 80.47 -21% -36% -39% 16% 9.0 0.6% 2.3% 2.6% HTD
23-Nov-12 IYR US:REIT 63.33 -22% -19% -29% 13% 7.7 1.1% 1.0% 1.6% HTD
23-Nov-12 IVW US:LCG 75.86 -19% -32% -21% 11% 7.0 1.3% 2.7% 2.3% HTD
23-Nov-12 IVV US:LCB 141.83 -14% -29% -25% 12% 6.7 0.8% 2.3% 2.3% HTD
23-Nov-12 IJH US:MCB 99.13 -8% -11% -13% 14% 4.7 1.5% 1.9% 2.0% HTD
23-Nov-12 EEM GL:EM 41.63 13% -9% -14% 20% 3.3 -0.1% 1.4% 1.7% Buy
23-Nov-12 HYG US:FIHY 92.37 -4% -5% -12% 7% 3.0 0.4% 0.6% 1.0% Buy
23-Nov-12 EFA GL:DM 54.54 5% -7% -7% 17% 2.3 1.5% 2.5% 2.7% Buy
23-Nov-12 LQD US:FIIG 121.80 9% 0% -9% 4% 1.7 -0.7% -0.2% 0.2% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 2
SOLD:
PowerShares DB Precious Metals Fund (DBP)
BOUGHT:
MSCI ACWI ex US Index (ACWX)
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA15 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 5 or 0% , COUNTIF( Held ) 3 of 5 or 60%
LT Hold: Three ( 3 ), Holdings: FUSEX,FSIIX,FSEMX , Sell: - , Buy: -
Last 15/200 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
29-Nov-12 FUSEX SP500 50.36 0.5% -0.3% -0.5% 15.8% 13.9% 17 11 49 B&H 120
29-Nov-12 FSEMX DJ M/S 40.28 0.4% 0.7% 0.6% 14.9% 11.6% 15 11 49 B&H 86
29-Nov-12 FFNOX AA 29.35 1.8% 0.9% 0.3% 13.1% 10.8% 17 11 49 B&H
29-Nov-12 FSIIX EAFE 33.93 3.7% 3.1% 1.8% 12.3% 8.6% 16 11 26 B&H 107
29-Nov-12 FBIDX USGB 11.94 0.3% -0.4% -0.2% 4.9% 2.1% 17 18 36 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 2 of 6 or 33%
LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off 10/50 Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 PO Status: Held
30-Nov-12 PXF GL:DM 34.88 35% 2% 2.1% 28% 1.5 -1.0% 1.9% 0.1% HTD 42
30-Nov-12 TLT US:FIT 124.79 -7% 5% -0.3% 16% 3.5 1.7% 0.3% 1.2% Sell
30-Nov-12 PGX US:PF 14.78 6% -2% 0.0% 6% 3.5 -0.9% 0.1% -0.4% HTD
30-Nov-12 PRF US:LC 61.53 22% -8% 0.3% 16% 3.5 -1.8% 1.2% -1.1% HTD 64
30-Nov-12 DBC GL:Com 28.10 27% -19% -1.2% 24% 3.5 -3.2% 2.2% -0.3% Sell
30-Nov-12 VNQ US:RE 64.21 0% -24% -2.6% 18% 5.5 -1.5% 1.9% -1.3% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 2 of 15 or 13% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: SCZ,ACWX , Sell: DBP , Buy: ACWX,EEM
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
30-Nov-12 EEM GL:EM 41.78 24% 8% 3% 27% 3.0 -1.1% 0.3% 1.1% BUY
30-Nov-12 SCZ GL:SC 39.57 32% 7% 20% 25% 2.5 -0.7% 1.3% 1.5% BUY 37
30-Nov-12 TLH US:FIT 137.65 -3% 5% 14% 9% 9.0 1.3% 0.5% -0.2% Sell
30-Nov-12 ACWX GL:LCB 40.59 28% 5% 33% 23% 4.0 -0.4% 1.8% 1.2% HTD 2
30-Nov-12 AGG US:FI 112.25 1% 1% 3% 3% 9.5 0.0% 0.1% 0.0% Sell
30-Nov-12 DBP GLC:PM 59.45 32% -7% 41% 26% 4.0 -3.2% -0.2% -1.4% Sell
30-Nov-12 IWR US:MC 111.45 19% -9% 11% 17% 6.5 -1.1% 1.9% 1.3% Sell
30-Nov-12 DVY US:DIV 57.64 8% -12% 2% 10% 10.0 -0.7% 1.7% 1.6% Sell
30-Nov-12 DBE GLC:ENE 28.08 33% -16% 59% 33% 5.0 -3.5% 1.9% -0.6% Sell
30-Nov-12 IWL US:LC 32.86 16% -16% 7% 16% 8.5 -2.0% 1.7% 1.3% Sell
30-Nov-12 DBA GLC:AG 28.85 12% -22% 3% 20% 10.5 -3.0% 1.7% 0.3% Sell
30-Nov-12 DBB GLC:BM 19.23 11% -22% 100% 32% 11.5 2.0% 5.4% 1.9% Sell
30-Nov-12 IWM US:SC 82.08 15% -22% 8% 21% 10.5 -1.3% 3.0% 2.0% Sell
30-Nov-12 IYR US:REIT 63.63 3% -22% -11% 17% 13.5 -1.6% 2.0% 1.3% Sell
30-Nov-12 IWC US:Micro 51.11 12% -25% 1% 24% 12.0 -1.3% 3.1% 2.7% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 1 of 13 or 8%
ST Hold: Three ( 3 ), Holdings: SCZ , Sell: - , Buy: EEM,LQD
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
30-Nov-12 EEM GL:EM 41.78 24% 8% 3% 27% 2.5 -1.1% 0.3% 1.1% BUY
30-Nov-12 LQD US:FIIG 122.13 10% 7% 0% 6% 6.0 -0.8% -0.4% 0.2% BUY
30-Nov-12 SCZ GL:SC 39.57 32% 7% 20% 25% 2.0 -0.7% 1.3% 1.5% BUY 56
30-Nov-12 EMB GL:FIEM 122.70 19% 7% 12% 8% 5.0 -1.0% 0.3% 0.4% HTD
30-Nov-12 EFA GL:DM 55.07 31% 5% 42% 23% 3.5 -0.2% 2.1% 1.3% Sell
30-Nov-12 IDV GL:Div'd 32.74 30% -2% 26% 23% 4.5 -1.3% 1.9% 1.2% Sell
30-Nov-12 HYG US:FIHY 93.05 8% -3% 12% 8% 9.0 -0.3% 1.1% 0.6% Sell
30-Nov-12 IJH US:MCB 100.12 20% -8% 14% 18% 6.5 -0.5% 2.4% 1.4% Sell
30-Nov-12 DVY US:Div'd 57.64 8% -12% 2% 10% 10.5 -0.7% 1.7% 1.6% Sell
30-Nov-12 IVV US:LCB 142.71 17% -15% 8% 16% 8.5 -1.9% 1.7% 1.3% Sell
30-Nov-12 IJR US:SCB 76.30 16% -21% 10% 20% 9.5 -1.2% 3.1% 1.9% Sell
30-Nov-12 IYR US:REIT 63.63 3% -22% -11% 17% 12.5 -1.6% 2.0% 1.3% Sell
30-Nov-12 ONEQ US:LCB 119.15 12% -28% 15% 22% 11.0 -1.5% 3.6% 2.0% 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 ) 0 of 10 or 0% , 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
30-Nov-12 IYR US:REIT 63.63 -22% -17% -11% 17% 8.3 2.0% 1.5% 1.3% HTD
30-Nov-12 IWM US:SCB 82.08 -22% -27% 8% 21% 7.7 3.0% 3.5% 2.0% Buy
30-Nov-12 QQQ US:LCB 65.80 -33% -35% 17% 23% 7.3 3.6% 4.0% 1.6% Buy
30-Nov-12 IVV US:LCB 142.71 -15% -24% 8% 16% 6.7 1.7% 2.6% 1.3% Buy
30-Nov-12 IVW US:LCG 76.30 -19% -26% 15% 15% 6.0 2.1% 2.8% 1.1% Buy
30-Nov-12 EEM GL:EM 41.78 8% -7% 3% 27% 4.7 0.3% 1.5% 1.1% Buy
30-Nov-12 LQD US:FIIG 122.13 7% -2% 0% 6% 4.3 -0.4% 0.2% 0.2% Buy
30-Nov-12 IJH US:MCB 100.12 -8% -3% 14% 18% 4.3 2.4% 2.1% 1.4% Buy
30-Nov-12 HYG US:FIHY 93.05 -3% -2% 12% 8% 4.0 1.1% 1.0% 0.6% Buy
30-Nov-12 EFA GL:DM 55.07 5% 2% 42% 23% 1.7 2.1% 2.4% 1.3% 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(). 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.
---------------------------------------------------------------------------------------
|
Recommendations: 3
SOLD:
*-
BOUGHT:
MSCI Emerging Markets (EEM)
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA15 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 5 or 0% , COUNTIF( Held ) 3 of 5 or 60%
LT Hold: Three ( 3 ), Holdings: FUSEX,FSIIX,FSEMX , Sell: - , Buy: -
Last 15/200 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
6-Dec-12 FSEMX DJ M/S 40.34 1.7% 1.5% 1.1% 16.8% 13.5% 16 12 50 B&H 93
6-Dec-12 FUSEX SP500 50.32 1.3% 0.0% -0.3% 16.6% 14.7% 18 12 50 B&H 127
6-Dec-12 FSIIX EAFE 34.19 5.1% 4.0% 2.8% 14.6% 10.9% 17 0 27 B&H 114
6-Dec-12 FFNOX AA 29.42 2.7% 1.4% 0.8% 14.2% 11.9% 18 12 50 B&H
6-Dec-12 FBIDX USGB 11.97 0.3% -0.2% 0.0% 4.6% 1.8% 18 19 37 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 2 of 6 or 33%
LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off 10/50 Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 PO Status: Held
7-Dec-12 PXF GL:DM 35.29 33% -1% 2.0% 28% 1.5 -0.2% 2.9% 2.0% HTD 49
7-Dec-12 TLT US:FIT 124.43 -7% 13% 0.3% 16% 3.5 1.2% -0.7% 0.9% HTD
7-Dec-12 PRF US:LC 62.07 19% -11% 0.1% 16% 3.5 -0.9% 2.3% 0.1% HTD 71
7-Dec-12 PGX US:PF 14.73 4% -3% -0.1% 6% 3.5 -1.0% -0.1% -0.3% Sell
7-Dec-12 DBC GL:Com 27.61 22% -18% -1.3% 24% 3.5 -4.3% 0.6% -0.3% Sell
7-Dec-12 VNQ US:RE 65.21 -3% -20% -2.3% 17% 5.5 0.5% 3.1% -0.1% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 2 of 15 or 13% , COUNTIF( Held ) 2 of 15 or 13%
ST Hold: Three ( 3 ), Holdings: SCZ,ACWX , Sell: - , Buy: EEM
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
7-Dec-12 TLH US:FIT 137.16 -2% 9% -6% 9% 8.0 0.8% -0.3% -0.1% Sell
7-Dec-12 EEM GL:EM 42.78 24% 3% 86% 27% 3.5 0.9% 2.7% 0.6% BUY
7-Dec-12 SCZ GL:SC 39.79 31% 2% 104% 25% 2.5 -0.5% 1.9% -0.5% BUY 44
7-Dec-12 ACWX GL:LCB 40.93 27% 1% 118% 23% 4.0 0.1% 2.4% -0.5% HTD 9
7-Dec-12 AGG US:FI 111.66 1% 0% -5% 3% 9.0 -0.4% -0.3% -0.1% Sell
7-Dec-12 IWR US:MC 111.97 17% -10% 76% 17% 6.0 -0.6% 2.4% -0.3% Sell
7-Dec-12 DVY US:DIV 57.75 5% -12% 70% 10% 9.5 -0.2% 1.9% -0.3% Sell
7-Dec-12 DBP GLC:PM 59.01 31% -16% -10% 25% 4.5 -4.0% 0.2% -0.5% Sell
7-Dec-12 DBE GLC:ENE 27.11 28% -17% 0% 33% 6.0 -6.3% -1.1% -2.2% Sell
7-Dec-12 DBA GLC:AG 28.82 6% -18% 20% 20% 10.5 -2.2% 1.4% -0.4% Sell
7-Dec-12 IWL US:LC 32.84 12% -19% 60% 16% 9.5 -1.7% 2.0% -0.4% Sell
7-Dec-12 IYR US:REIT 64.38 0% -20% 46% 17% 13.0 0.1% 2.9% 0.4% Sell
7-Dec-12 IWM US:SC 82.18 12% -23% 108% 21% 11.0 -0.9% 3.2% -0.6% Sell
7-Dec-12 DBB GLC:BM 19.15 13% -26% 144% 32% 10.5 0.9% 5.1% -0.8% Sell
7-Dec-12 IWC US:Micro 50.64 8% -28% 105% 24% 12.5 -1.8% 2.7% -1.1% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 2 of 13 or 15%
ST Hold: Three ( 3 ), Holdings: SCZ,EEM , Sell: SCZ , Buy: EEM,LQD,EMB
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
7-Dec-12 LQD US:FIIG 121.94 9% 5% 5% 6% 5.0 -0.9% -0.5% -0.2% BUY
7-Dec-12 EMB GL:FIEM 122.50 17% 5% 16% 8% 4.0 -1.1% 0.1% -0.1% BUY
7-Dec-12 EEM GL:EM 42.78 24% 3% 86% 27% 3.5 0.9% 2.7% 0.6% BUY 4
7-Dec-12 EFA GL:DM 55.49 30% 3% 133% 22% 3.0 0.2% 2.6% -0.6% HTD
7-Dec-12 SCZ GL:SC 39.79 31% 2% 104% 25% 3.0 -0.5% 1.9% -0.5% Sell 63
7-Dec-12 HYG US:FIHY 93.21 6% -3% 40% 8% 8.5 0.0% 1.1% -0.3% Sell
7-Dec-12 IDV GL:Div'd 33.03 28% -3% 106% 23% 5.0 -0.5% 2.5% -0.4% Sell
7-Dec-12 IJH US:MCB 100.42 18% -8% 90% 18% 6.5 -0.3% 2.4% -0.6% Sell
7-Dec-12 DVY US:Div'd 57.75 5% -12% 70% 10% 10.5 -0.2% 1.9% -0.3% Sell
7-Dec-12 IVV US:LCB 143.00 14% -18% 68% 16% 8.5 -1.4% 2.3% -0.3% Sell
7-Dec-12 IYR US:REIT 64.38 0% -20% 46% 17% 12.0 0.1% 2.9% 0.4% Sell
7-Dec-12 IJR US:SCB 76.26 13% -21% 100% 20% 10.0 -1.1% 3.0% -0.7% Sell
7-Dec-12 ONEQ US:LCB 117.51 8% -28% 84% 22% 11.5 -2.4% 2.5% -1.3% 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 ) 0 of 10 or 0% , 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
7-Dec-12 QQQ US:LCB 64.93 -32% -22% 82% 23% 8.3 2.6% 1.6% -1.5% Buy
7-Dec-12 IVW US:LCG 75.97 -21% -17% 64% 15% 8.0 2.1% 1.7% -0.7% Buy
7-Dec-12 IYR US:REIT 64.38 -20% -11% 46% 17% 7.0 2.9% 2.1% 0.4% Buy
7-Dec-12 IVV US:LCB 143.00 -18% -15% 68% 16% 6.7 2.3% 2.1% -0.3% Buy
7-Dec-12 IWM US:SCB 82.18 -23% -13% 108% 21% 6.0 3.2% 2.4% -0.6% Buy
7-Dec-12 HYG US:FIHY 93.21 -3% 1% 40% 8% 5.7 1.1% 0.8% -0.3% Buy
7-Dec-12 LQD US:FIIG 121.94 5% -4% 5% 6% 5.3 -0.5% 0.1% -0.2% Buy
7-Dec-12 IJH US:MCB 100.42 -8% 7% 90% 18% 3.7 2.4% 1.4% -0.6% Buy
7-Dec-12 EEM GL:EM 42.78 3% 7% 86% 27% 2.7 2.7% 2.5% 0.6% Buy
7-Dec-12 EFA GL:DM 55.49 3% 15% 133% 22% 1.7 2.6% 1.8% -0.6% 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(). 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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Recommendations: 1
SOLD:
*-
BOUGHT:
JPM Emerging Markets Bond Fund (EMB)
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA15 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 5 or 0% , COUNTIF( Held ) 3 of 5 or 60%
LT Hold: Three ( 3 ), Holdings: FUSEX,FSIIX,FSEMX , Sell: - , Buy: -
Last 15/200 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
13-Dec-12 FSEMX DJ M/S 40.49 3.1% 2.0% 1.9% 19.1% 15.9% 17 13 51 B&H 100
13-Dec-12 FSIIX EAFE 34.47 6.9% 4.5% 3.3% 19.0% 15.2% 18 0 28 B&H 121
13-Dec-12 FUSEX SP500 50.55 2.2% 0.3% 0.8% 18.9% 16.9% 19 13 51 B&H 134
13-Dec-12 FFNOX AA 29.53 3.7% 1.7% 1.4% 16.5% 14.2% 19 13 51 B&H
13-Dec-12 FBIDX USGB 11.91 0.2% -0.3% -0.3% 3.9% 1.1% 19 20 38 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < 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: PRF,PXF , Sell: - , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off 10/50 Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 PO Status: Held
14-Dec-12 PXF GL:DM 35.80 33% 5% 2.2% 28% 1.5 0.7% 3.2% 2.9% BUY 56
14-Dec-12 PRF US:LC 62.12 18% -8% 0.1% 16% 3.0 -0.9% 1.9% 0.9% HTD 78
14-Dec-12 TLT US:FIT 123.60 -7% 12% 0.5% 16% 3.5 0.7% -1.3% 0.4% HTD
14-Dec-12 PGX US:PF 14.62 3% -3% -0.4% 6% 3.5 -1.5% -0.7% -0.5% Sell
14-Dec-12 DBC GL:Com 27.55 16% -16% -1.2% 24% 4.5 -3.8% 0.5% -0.7% Sell
14-Dec-12 VNQ US:RE 64.65 -5% -13% -2.1% 17% 5.0 0.1% 1.6% 0.6% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 2 of 14 or 14% , COUNTIF( Held ) 2 of 14 or 14%
ST Hold: Three ( 3 ), Holdings: SCZ,ACWX , 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
14-Dec-12 TLH US:FIT 136.32 -2% 8% -11% 10% 7.5 0.2% -0.9% -0.2% Sell
14-Dec-12 ACWX GL:LCB 41.52 27% 6% 128% 23% 2.5 1.0% 2.9% -0.7% BUY 16
14-Dec-12 SCZ GL:SC 40.25 30% 5% 109% 25% 2.0 0.1% 2.3% -0.7% BUY 51
14-Dec-12 AGG US:FI 111.35 0% -1% -10% 3% 7.5 -0.6% -0.4% 0.0% HTD
14-Dec-12 IWR US:MC 112.08 16% -5% 72% 17% 5.0 -0.6% 1.8% -1.0% Sell
14-Dec-12 DVY US:DIV 57.49 4% -10% 60% 10% 8.0 -0.6% 1.2% -1.2% Sell
14-Dec-12 IYR US:REIT 63.91 -2% -14% 56% 16% 10.0 -0.3% 1.6% -1.1% Sell
14-Dec-12 DBA GLC:AG 28.48 0% -15% -4% 20% 10.0 -2.3% 0.3% -0.5% Sell
14-Dec-12 DBE GLC:ENE 27.25 21% -15% -38% 33% 6.5 -5.0% -0.2% 0.5% Sell
14-Dec-12 IWL US:LC 32.84 10% -17% 61% 16% 8.5 -1.5% 1.8% -1.2% Sell
14-Dec-12 DBP GLC:PM 58.37 30% -18% -24% 25% 6.5 -5.0% -0.3% -0.6% Sell
14-Dec-12 IWM US:SC 82.36 10% -18% 109% 22% 10.0 -0.6% 2.8% -1.6% Sell
14-Dec-12 DBB GLC:BM 19.44 15% -18% 163% 32% 9.5 1.7% 5.4% -1.2% Sell
14-Dec-12 IWC US:Micro 51.03 6% -26% 115% 24% 11.5 -0.7% 3.3% -1.5% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EEM,EMB , Sell: - , Buy: EMB
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
14-Dec-12 EFA GL:DM 56.08 29% 8% 127% 23% 1.5 0.7% 2.6% -0.9% BUY
14-Dec-12 EEM GL:EM 43.38 24% 7% 142% 27% 3.0 1.7% 3.1% -0.4% BUY 11
14-Dec-12 SCZ GL:SC 40.25 30% 5% 109% 25% 2.0 0.1% 2.3% -0.7% BUY 70
14-Dec-12 EMB GL:FIEM 122.40 15% 5% 18% 8% 5.0 -1.1% 0.0% -0.4% HTD 4
14-Dec-12 IDV GL:Div'd 33.29 26% 4% 114% 23% 4.0 0.0% 2.2% -1.1% Sell
14-Dec-12 LQD US:FIIG 121.13 8% 2% -5% 6% 7.5 -1.4% -0.8% -0.3% Sell
14-Dec-12 HYG US:FIHY 93.26 5% 0% 34% 8% 9.0 0.1% 0.8% -0.6% Sell
14-Dec-12 IJH US:MCB 100.52 17% -1% 85% 19% 6.5 -0.4% 1.6% -1.4% Sell
14-Dec-12 DVY US:Div'd 57.49 4% -10% 60% 10% 10.5 -0.6% 1.2% -1.2% Sell
14-Dec-12 IYR US:REIT 63.91 -2% -14% 56% 16% 11.5 -0.3% 1.6% -1.1% Sell
14-Dec-12 IJR US:SCB 76.29 11% -15% 95% 20% 9.5 -0.9% 2.4% -1.6% Sell
14-Dec-12 IVV US:LCB 142.76 12% -15% 59% 16% 9.5 -1.4% 1.9% -1.1% Sell
14-Dec-12 ONEQ US:LCB 117.26 5% -25% 61% 22% 11.5 -2.2% 2.1% -1.8% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS42 > 0 ), SELL Short: IF( AvgRank >= 5.5 & Pri < LR42 )
COUNTIF( Sell ) 1 of 10 or 10% , 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
14-Dec-12 QQQ US:LCB 64.69 -30% -10% 50% 23% 9.0 2.2% 0.4% -1.9% HTD
14-Dec-12 IVW US:LCG 75.60 -19% -7% 41% 15% 8.7 1.5% 0.5% -1.3% HTD
14-Dec-12 LQD US:FIIG 121.13 2% -6% -5% 6% 7.0 -0.8% -0.2% -0.3% SELL
14-Dec-12 IYR US:REIT 63.91 -14% -5% 56% 16% 6.3 1.6% 0.9% -1.1% HTD
14-Dec-12 IVV US:LCB 142.76 -15% -5% 59% 16% 6.0 1.9% 1.0% -1.1% HTD
14-Dec-12 HYG US:FIHY 93.26 0% 3% 34% 8% 5.7 0.8% 0.5% -0.6% Buy
14-Dec-12 IWM US:SCB 82.36 -18% 1% 109% 22% 5.3 2.8% 1.3% -1.6% Buy
14-Dec-12 IJH US:MCB 100.52 -1% 15% 85% 19% 4.0 1.6% 0.5% -1.4% Buy
14-Dec-12 EEM GL:EM 43.38 7% 23% 142% 27% 1.7 3.1% 2.2% -0.4% Buy
14-Dec-12 EFA GL:DM 56.08 8% 26% 127% 23% 1.3 2.6% 1.5% -0.9% 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(). 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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Recommendations: 0
Ever feel like you're talking to yourself on this board?
|
Recommendations: 5
Recommendations: 2
SOLD:
JPM Emerging Markets Bond Fund (EMB)
BOUGHT:
MSCI EAFE (EFA)
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA15 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 0 of 5 or 0% , COUNTIF( Held ) 3 of 5 or 60%
LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
Last 15/200 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
20-Dec-12 FSIVX EAFE 34.11 6.8% 3.6% 1.9% 22.2% 15.7% 19 1 29 B&H 128
20-Dec-12 FUSVX SP500 50.61 2.4% 0.6% 1.3% 17.2% 14.1% 20 14 51 B&H 141
20-Dec-12 FSEVX DJ M/S 39.86 2.6% 0.9% 0.2% 17.0% 12.2% 18 14 51 B&H 107
20-Dec-12 FFNOX AA 29.86 4.3% 2.2% 2.5% 15.0% 12.7% 20 0 51 B&H
20-Dec-12 FSITX USGB 11.89 0.0% -0.5% -0.5% 4.1% 1.3% 20 21 39 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < 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: PRF,PXF , Sell: - , Buy: -
Last 6m 3m 25/100 TTM R6,R3 % off % off 5/50 Days
EndD ETF's Class: Price RRS126 RRS63 PO GSDm AvgRank LR126 LR63 PO Status: Held
21-Dec-12 PXF GL:DM 36.24 34% 21% 3.2% 28% 1.0 1.0% 2.4% 5.1% BUY 63
21-Dec-12 PRF US:LC 62.53 17% 0% 0.8% 16% 2.5 -0.6% 1.5% 2.5% HTD 85
21-Dec-12 TLT US:FIT 122.25 -8% 3% 0.1% 16% 4.0 0.0% -1.4% -1.8% Sell
21-Dec-12 VNQ US:RE 66.32 -5% -2% -1.2% 17% 4.5 2.7% 2.8% 2.0% Sell
21-Dec-12 PGX US:PF 14.61 1% -5% -0.5% 6% 4.5 -1.2% -0.4% -0.9% Sell
21-Dec-12 DBC GL:Com 27.52 10% -14% -1.2% 24% 4.5 -3.1% 0.4% -0.8% Sell
Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 14 or 21% , COUNTIF( Held ) 2 of 14 or 14%
ST Hold: Three ( 3 ), Holdings: SCZ,ACWX , Sell: - , Buy: IWR
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
21-Dec-12 ACWX GL:LCB 41.64 28% 18% 72% 23% 1.5 0.6% 1.7% -0.8% BUY 23
21-Dec-12 SCZ GL:SC 40.24 31% 12% 50% 25% 1.5 -0.4% 1.3% -0.6% BUY 58
21-Dec-12 IWR US:MC 113.29 16% 4% 49% 17% 3.5 0.1% 1.6% -0.6% BUY
21-Dec-12 TLH US:FIT 135.41 -3% 3% -23% 10% 8.0 -0.2% -1.0% 0.3% Sell
21-Dec-12 AGG US:FI 111.12 0% -3% -13% 3% 8.0 -0.6% -0.3% 0.2% Sell
21-Dec-12 IYR US:REIT 64.62 -3% -5% 34% 16% 9.5 1.0% 1.7% -0.3% Sell
21-Dec-12 DVY US:DIV 57.62 4% -6% 24% 10% 8.5 -0.4% 0.9% -0.9% Sell
21-Dec-12 IWM US:SC 84.19 9% -6% 72% 21% 7.5 1.3% 3.4% -0.3% Sell
21-Dec-12 DBB GLC:BM 19.12 16% -7% 47% 31% 7.0 -0.3% 2.3% -1.6% Sell
21-Dec-12 IWL US:LC 32.61 9% -12% 10% 15% 9.0 -2.1% 0.7% -1.1% Sell
21-Dec-12 DBA GLC:AG 28.18 -6% -13% -28% 20% 12.5 -2.1% -0.6% -0.2% Sell
21-Dec-12 DBE GLC:ENE 27.61 15% -13% -26% 32% 9.0 -3.0% 1.0% 1.3% Sell
21-Dec-12 IWC US:Micro 51.95 5% -17% 63% 24% 11.0 0.9% 3.8% -0.4% Sell
21-Dec-12 DBP GLC:PM 56.46 26% -22% -55% 25% 8.5 -7.6% -2.4% -0.7% Sell
IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%
ST Hold: Three ( 3 ), Holdings: SCZ,EEM,EFA , Sell: EMB,SCZ , Buy: EFA,IDV
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
21-Dec-12 EFA GL:DM 56.51 31% 20% 69% 23% 1.5 0.7% 1.8% -0.5% BUY 4
21-Dec-12 EEM GL:EM 43.26 26% 17% 101% 27% 2.5 0.6% 1.5% -1.4% BUY 18
21-Dec-12 IDV GL:Div'd 33.48 25% 16% 57% 23% 3.5 0.1% 1.4% -0.6% BUY
21-Dec-12 SCZ GL:SC 40.24 31% 12% 50% 25% 2.5 -0.4% 1.3% -0.6% HTD 77
21-Dec-12 IJH US:MCB 102.03 17% 10% 51% 18% 5.0 0.6% 1.6% -0.4% Sell
21-Dec-12 HYG US:FIHY 93.63 5% 4% 19% 8% 8.0 0.4% 0.6% -0.3% Sell
21-Dec-12 EMB GL:FIEM 122.86 14% 4% 7% 8% 6.5 -0.7% 0.3% 0.1% Sell
21-Dec-12 LQD US:FIIG 121.24 6% -2% -13% 6% 8.5 -1.1% -0.3% 0.3% Sell
21-Dec-12 IJR US:SCB 78.06 11% -3% 60% 20% 8.0 1.1% 3.1% -0.1% Sell
21-Dec-12 IYR US:REIT 64.62 -3% -5% 34% 16% 11.5 1.0% 1.7% -0.3% Sell
21-Dec-12 DVY US:Div'd 57.62 4% -6% 24% 10% 11.5 -0.4% 0.9% -0.9% Sell
21-Dec-12 IVV US:LCB 143.51 11% -9% 29% 16% 10.0 -1.0% 1.6% -0.7% Sell
21-Dec-12 ONEQ US:LCB 118.70 4% -16% 24% 21% 12.0 -0.9% 2.2% -0.7% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS42 > 0 ), SELL Short: IF( AvgRank >= 5.5 & Pri < LR42 )
COUNTIF( Sell ) 0 of 10 or 0% , 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
21-Dec-12 IVW US:LCG 75.87 -14% 10% 8% 15% 8.7 1.3% -0.3% -0.6% Buy
21-Dec-12 QQQ US:LCB 65.20 -22% 11% 9% 23% 8.3 2.0% -0.4% -0.8% Buy
21-Dec-12 LQD US:FIIG 121.24 -2% -6% -13% 6% 8.3 -0.3% 0.1% 0.3% HTD
21-Dec-12 IYR US:REIT 64.62 -5% 9% 34% 16% 6.7 1.7% 0.8% -0.3% Buy
21-Dec-12 IVV US:LCB 143.51 -9% 15% 29% 16% 6.3 1.6% 0.1% -0.7% Buy
21-Dec-12 HYG US:FIHY 93.63 4% 12% 19% 8% 5.7 0.6% 0.2% -0.3% Buy
21-Dec-12 IWM US:SCB 84.19 -6% 30% 72% 21% 4.3 3.4% 1.2% -0.3% Buy
21-Dec-12 IJH US:MCB 102.03 10% 35% 51% 18% 3.3 1.6% 0.3% -0.4% Buy
21-Dec-12 EEM GL:EM 43.26 17% 45% 101% 27% 1.7 1.5% 0.1% -1.4% Buy
21-Dec-12 EFA GL:DM 56.51 20% 51% 69% 23% 1.7 1.8% 0.4% -0.5% 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(). 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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