Message Font: Serif | Sans-Serif
 
UnThreaded | Threaded | Whole Thread (13) | Ignore Thread Prev Thread | Next Thread
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 33167  
Subject: ETF Trends & Ranks 2013Q1 Date: 12/28/2012 5:26 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
Its been a difficult year for this strategy as well as my MI screens. Last quarter the sector groups were dropped and things rearranged. This seems to have stabalized performance and trading frequency.

Market Total Returns (CAGR ex. YTD)           YTD(ROI)       TTM  Jan-09 TD  Jan-03 TD  StartD  Reference:
Four-in-One Index (FFNOX) 14% 14% 13% 7% Sep-99 BrdMkt_AA
VL Arithmetic Index (.VAY) 15% 15% 22% 12% Apr-84 VL-Screens
S&P 1500 (EqWt: SPY,MDY,IJR) 13% 12% 16% 9% Jan-93 US-Equity
Foreign (EqWt: EFA,EEM) 14% 14% 13% 12% Apr-01 Foreign-Eq
US Bonds (EqWt: AGG,SHY) 0.4% 0.4% 2.7% 3.4% Jul-02 FixedIncome
-----------
My MI Screens - Average Annual IRR (ex. YTD) YTD(ROI) TTM(IRR) Jan-09 TD Jan-03 TD StartD Vested (N)
BroadMarket_AA: SMA_PO 6% 7% 10% 10% Jun-98 88%
ETF's @ WT: RRS_TAR/Balanced 1% 1% 3% 1% Apr-07 60%
ETF's @ IRA: RRS_FIDO_Free 1% 1% 4% 10% Feb-99 94%
ETF Screens Total Return = 3.2% 3.5% 3.2% 6.0% Jun-98 76%


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)

Balanced: ETF's
MSCI ACWI ex US Index (ACWX)
iShares Barclays Aggregate Bonds (AGG)
iShares Russell Top 200 Index (IWL)
iShares Russell MidCap Index (IWR)
iShares Russell 2000 Index (IWM)
iShares Russell Microap Index (IWC)
Dow Jones US Real Estate (IYR)
MSCI EAFE Small Cap Index (SCZ)
iShares Barclays 10-20 Yr Bonds (TLH)
PowerShares DB Agriculture Fund (DBA)
PowerShares DB Base Metals Fund (DBB)
PowerShares DB Energy Fund (DBE)
PowerShares DB Precious Metals Fund (DBP)

IRA_Acct. - 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)
Fidelity Nasdaq Composite Index (ONEQ)

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)
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33020 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 12/28/2012 5:31 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
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 ) 0 of 5 or 0% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM      TTM      Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 15/200 10/100 5/50 NTR Gain(%GL) LastChg H52w L52w Status: Held
27-Dec-12 FSIVX EAFE 34.18 6.7% 2.8% 1.7% 22.1% 15.6% 20 2 30 B&H 135
27-Dec-12 FFNOX AA 29.73 4.6% 2.2% 1.8% 16.7% 14.4% 21 1 52 B&H
27-Dec-12 FSEVX DJ M/S 39.45 2.1% -0.5% -0.4% 15.6% 10.8% 19 15 52 B&H 114
27-Dec-12 FUSVX SP500 50.20 2.4% 0.1% 0.4% 15.4% 12.4% 21 15 52 B&H 148
27-Dec-12 FSITX USGB 11.90 -0.1% -0.6% -0.3% 4.0% 1.1% 21 22 40 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA25 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA5 > SMA50 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 25/100 5/50 Status: Held
28-Dec-12 PXF GL:DM 35.84 33% 27% 28% 1.0 -0.4% 0.4% 3.7% 3.6% BUY 70
28-Dec-12 PRF US:LC 61.40 15% 1% 16% 2.5 -2.2% -0.5% 1.1% 0.8% BUY 92
28-Dec-12 TLT US:FIT 123.31 -8% 1% 16% 4.0 1.0% -0.3% 0.0% -0.8% Sell
28-Dec-12 VNQ US:RE 65.11 -7% 1% 17% 4.5 1.1% 0.6% -0.7% 1.4% Sell
28-Dec-12 DBC GL:Com 27.63 5% -13% 24% 4.5 -1.9% 0.8% -1.4% -0.4% Sell
28-Dec-12 PGX US:PF 14.64 0% -7% 6% 4.5 -0.8% 0.0% -0.5% -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 13 or 23% , COUNTIF( Held ) 2 of 13 or 15%

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
28-Dec-12 ACWX GL:LCB 41.38 27% 23% 39% 23% 1.5 -0.3% 0.3% -1.1% BUY 30
28-Dec-12 SCZ GL:SC 40.18 30% 16% 29% 24% 1.5 -0.8% 0.5% -0.7% BUY 65
28-Dec-12 IWR US:MC 111.18 14% 6% 15% 17% 4.0 -1.7% -0.5% -1.6% BUY
28-Dec-12 DBB GLC:BM 19.02 15% 2% -8% 30% 4.0 -0.9% 0.8% -0.7% HTD
28-Dec-12 TLH US:FIT 136.20 -3% 2% -22% 10% 8.0 0.4% -0.3% 1.0% Sell
28-Dec-12 IWM US:SC 82.53 8% -1% 26% 21% 6.5 -0.6% 0.8% -1.4% Sell
28-Dec-12 IYR US:REIT 64.08 -5% -2% 17% 16% 9.5 0.5% 0.5% -0.8% Sell
28-Dec-12 AGG US:FI 111.28 -1% -4% -11% 3% 9.0 -0.4% 0.0% 0.4% Sell
28-Dec-12 IWC US:Micro 51.21 4% -11% 24% 24% 9.0 -0.4% 1.7% -1.2% Sell
28-Dec-12 IWL US:LC 31.96 6% -12% -22% 15% 9.0 -3.5% -1.0% -1.4% Sell
28-Dec-12 DBE GLC:ENE 27.89 10% -12% 8% 32% 8.5 -1.4% 1.9% 0.9% Sell
28-Dec-12 DBA GLC:AG 28.06 -10% -13% -34% 20% 12.5 -1.6% -0.7% 0.2% Sell
28-Dec-12 DBP GLC:PM 56.55 22% -24% -54% 25% 8.0 -6.8% -1.4% 0.6% 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: SCZ , Buy: 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
28-Dec-12 EFA GL:DM 56.01 29% 26% 38% 23% 1.5 -0.4% 0.1% -1.1% BUY 11
28-Dec-12 EEM GL:EM 43.70 25% 22% 70% 26% 2.5 1.3% 1.6% -0.6% BUY 25
28-Dec-12 IDV GL:Div'd 33.04 23% 18% 24% 23% 3.5 -1.2% -0.4% -1.3% BUY
28-Dec-12 SCZ GL:SC 40.18 30% 16% 29% 24% 2.5 -0.8% 0.5% -0.7% HTD 84
28-Dec-12 IJH US:MCB 100.15 15% 13% 16% 18% 5.0 -1.2% -0.6% -1.4% Sell
28-Dec-12 HYG US:FIHY 92.95 4% 5% 2% 8% 8.0 -0.3% -0.2% -0.5% Sell
28-Dec-12 EMB GL:FIEM 122.75 12% 4% 1% 8% 6.5 -0.8% 0.2% 0.1% Sell
28-Dec-12 IJR US:SCB 76.64 9% 2% 23% 20% 7.5 -0.5% 0.6% -1.2% Sell
28-Dec-12 IYR US:REIT 64.08 -5% -2% 17% 16% 11.0 0.5% 0.5% -0.8% Sell
28-Dec-12 LQD US:FIIG 121.63 5% -3% -10% 6% 9.5 -0.7% 0.2% 0.6% Sell
28-Dec-12 DVY US:Div'd 56.41 1% -6% -12% 10% 11.5 -2.0% -1.0% -1.5% Sell
28-Dec-12 IVV US:LCB 140.64 8% -7% -1% 15% 10.0 -2.6% -0.5% -1.6% Sell
28-Dec-12 ONEQ US:LCB 116.64 2% -13% -7% 21% 12.0 -2.2% 0.2% -1.2% 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
28-Dec-12 QQQ US:LCB 63.78 -19% 10% -20% 22% 9.3 -0.2% -2.3% -1.4% Buy
28-Dec-12 IVW US:LCG 74.39 -12% 9% -15% 15% 9.0 -0.6% -2.0% -1.3% Buy
28-Dec-12 LQD US:FIIG 121.63 -3% -6% -10% 6% 8.3 0.2% 0.4% 0.6% HTD
28-Dec-12 IVV US:LCB 140.64 -7% 16% -1% 15% 6.7 -0.5% -1.9% -1.6% Buy
28-Dec-12 HYG US:FIHY 92.95 5% 14% 2% 8% 5.7 -0.2% -0.7% -0.5% Buy
28-Dec-12 IYR US:REIT 64.08 -2% 15% 17% 16% 5.3 0.5% -0.5% -0.8% Buy
28-Dec-12 IJH US:MCB 100.15 13% 34% 16% 18% 4.0 -0.6% -1.7% -1.4% Buy
28-Dec-12 IWM US:SCB 82.53 -1% 37% 26% 21% 3.7 0.8% -1.3% -1.4% Buy
28-Dec-12 EEM GL:EM 43.70 22% 55% 70% 26% 1.7 1.6% 0.1% -0.6% Buy
28-Dec-12 EFA GL:DM 56.01 26% 59% 38% 23% 1.3 0.1% -1.3% -1.1% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33021 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 1/4/2013 5:20 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 1
SOLD:
*-
BOUGHT:
iShares Russell MidCap Index (IWR)

Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > 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   SlowPO  IntPO   FastPO   TTM      TTM      Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR Gain(%GL) LastChg H52w L52w Status: Held
3-Jan-13 FSIVX EAFE 34.58 5.2% 3.1% 2.1% 22.0% 15.5% 21 0 31 B&H 141
3-Jan-13 FSEVX DJ M/S 41.02 1.6% 0.5% 0.8% 18.5% 13.8% 59 16 30 B&H 120
3-Jan-13 FUSVX SP500 51.67 1.3% 0.3% 1.3% 17.0% 14.0% 61 16 52 B&H 154
3-Jan-13 FFNOX AA 29.68 2.8% 1.5% 1.4% 15.2% 12.9% 60 2 30 B&H
3-Jan-13 FSITX USGB 11.84 0.0% -0.5% -0.4% 3.6% 0.8% 61 23 41 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA90 ), BUY: IF( AvgRank < 3.5 & SMA10 > SMA50 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
                          Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/90 10/50 Status: Held
4-Jan-13 PXF GL:DM 37.00 34% 36% 28% 1.0 2.0% 2.2% 3.1% 4.3% BUY 76
4-Jan-13 PRF US:LC 64.45 16% 8% 16% 2.0 2.2% 3.3% 1.0% 2.3% BUY 98
4-Jan-13 VNQ US:RE 66.92 -6% 7% 16% 4.0 3.7% 2.5% -0.3% 2.2% Sell
4-Jan-13 DBC GL:Com 27.53 2% -10% 24% 4.5 -1.7% 0.3% -1.3% -0.1% Sell
4-Jan-13 PGX US:PF 14.81 0% -6% 5% 4.5 0.4% 1.1% -0.4% -0.3% Sell
4-Jan-13 TLT US:FIT 118.40 -9% -4% 17% 5.0 -2.4% -3.4% -0.3% -2.0% 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 13 or 15% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: SCZ,ACWX,IWR , 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
4-Jan-13 ACWX GL:LCB 42.49 28% 31% 49% 23% 1.5 1.7% 1.7% 0.4% BUY 36
4-Jan-13 SCZ GL:SC 41.12 31% 23% 49% 24% 1.5 0.8% 1.7% 0.2% BUY 71
4-Jan-13 DBB GLC:BM 19.12 16% 16% -5% 29% 3.5 -0.8% -0.1% -0.5% HTD
4-Jan-13 IWR US:MC 116.74 15% 14% 48% 16% 4.5 2.7% 3.2% 1.3% HTD 1
4-Jan-13 IWM US:SC 87.24 10% 12% 85% 21% 5.5 4.3% 4.6% 1.4% Sell
4-Jan-13 IYR US:REIT 66.12 -4% 4% 37% 15% 9.0 3.5% 2.8% 1.0% Sell
4-Jan-13 IWC US:Micro 54.18 6% 3% 101% 24% 7.0 4.7% 5.5% 1.3% Sell
4-Jan-13 TLH US:FIT 133.14 -4% -1% -30% 10% 9.5 -1.6% -2.0% -0.2% Sell
4-Jan-13 AGG US:FI 110.79 -1% -4% -9% 3% 9.5 -0.7% -0.3% 0.0% Sell
4-Jan-13 IWL US:LC 33.42 6% -7% 0% 15% 9.5 0.8% 2.7% 1.7% Sell
4-Jan-13 DBE GLC:ENE 27.96 6% -9% 58% 32% 9.5 -0.6% 1.7% -0.5% Sell
4-Jan-13 DBA GLC:AG 27.64 -13% -15% -38% 20% 12.5 -2.2% -1.6% -0.3% Sell
4-Jan-13 DBP GLC:PM 56.57 18% -23% -46% 23% 8.0 -6.2% -0.9% 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: , 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
4-Jan-13 EEM GL:EM 44.99 27% 33% 84% 26% 2.0 3.3% 2.9% 0.6% BUY 31
4-Jan-13 EFA GL:DM 57.47 30% 33% 52% 23% 2.0 1.5% 1.5% 0.2% BUY 17
4-Jan-13 SCZ GL:SC 41.12 31% 23% 49% 24% 2.0 0.8% 1.7% 0.2% BUY 90
4-Jan-13 IDV GL:Div'd 33.96 23% 23% 30% 23% 4.0 1.1% 1.5% 0.5% HTD
4-Jan-13 IJH US:MCB 105.38 17% 22% 57% 17% 5.0 3.3% 3.2% 1.5% Sell
4-Jan-13 IJR US:SCB 80.79 10% 15% 83% 19% 6.5 4.1% 4.2% 1.3% Sell
4-Jan-13 HYG US:FIHY 94.00 5% 6% 7% 8% 8.0 0.7% 0.6% 0.3% Sell
4-Jan-13 IYR US:REIT 66.12 -4% 4% 37% 15% 10.5 3.5% 2.8% 1.0% Sell
4-Jan-13 EMB GL:FIEM 122.67 11% 3% 4% 8% 7.5 -0.8% 0.0% -0.1% Sell
4-Jan-13 IVV US:LCB 147.16 8% 0% 26% 15% 9.0 1.7% 3.1% 1.3% Sell
4-Jan-13 DVY US:Div'd 58.86 2% -2% 8% 10% 11.5 2.0% 2.6% 1.5% Sell
4-Jan-13 ONEQ US:LCB 121.97 2% -3% 36% 20% 11.5 2.1% 3.5% 1.1% Sell
4-Jan-13 LQD US:FIIG 120.55 4% -5% -11% 6% 11.5 -1.4% -0.4% -0.1% 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
4-Jan-13 LQD US:FIIG 120.55 -5% -6% -11% 6% 9.3 -0.4% -0.3% -0.1% SELL
4-Jan-13 IVW US:LCG 77.69 -6% 23% 15% 15% 8.3 2.8% 1.0% 1.3% Buy
4-Jan-13 QQQ US:LCB 66.63 -10% 27% 18% 22% 8.0 3.0% 0.6% 1.0% Buy
4-Jan-13 HYG US:FIHY 94.00 6% 19% 7% 8% 7.7 0.6% -0.1% 0.3% Buy
4-Jan-13 IVV US:LCB 147.16 0% 33% 26% 15% 6.0 3.1% 1.1% 1.3% Buy
4-Jan-13 IYR US:REIT 66.12 4% 31% 37% 15% 5.7 2.8% 1.3% 1.0% Buy
4-Jan-13 IJH US:MCB 105.38 22% 54% 57% 17% 3.3 3.2% 1.6% 1.5% Buy
4-Jan-13 EFA GL:DM 57.47 33% 76% 52% 23% 2.7 1.5% -0.2% 0.2% Buy
4-Jan-13 IWM US:SCB 87.24 12% 70% 85% 21% 2.7 4.6% 1.8% 1.4% Buy
4-Jan-13 EEM GL:EM 44.99 33% 80% 84% 26% 1.3 2.9% 1.0% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33022 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 1/11/2013 5:13 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
*-
BOUGHT:
*-

Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > 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   SlowPO  IntPO   FastPO   TTM      TTM      Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR Gain(%GL) LastChg H52w L52w Status: Held
10-Jan-13 FSIVX EAFE 35.05 5.9% 3.0% 2.5% 22.8% 16.3% 22 0 32 B&H 148
10-Jan-13 FSEVX DJ M/S 41.53 2.3% 0.8% 2.5% 17.0% 12.2% 60 17 31 B&H 127
10-Jan-13 FUSVX SP500 52.14 2.0% 0.8% 2.4% 16.7% 13.7% 62 17 32 B&H 161
10-Jan-13 FFNOX AA 29.96 3.2% 1.5% 1.2% 15.0% 12.7% 61 3 31 B&H
10-Jan-13 FSITX USGB 11.85 -0.1% -0.6% -0.5% 3.4% 0.5% 62 24 42 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA10 > SMA50 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 10/50 Status: Held
11-Jan-13 PXF GL:DM 37.45 35% 47% 27% 1.0 2.4% 1.8% 4.3% 4.7% BUY 83
11-Jan-13 PRF US:LC 64.60 16% 18% 15% 2.0 2.0% 2.2% 1.7% 3.1% BUY 105
11-Jan-13 PGX US:PF 14.90 0% -3% 5% 3.5 0.9% 1.4% -0.3% 0.4% Sell
11-Jan-13 VNQ US:RE 67.20 -5% 14% 16% 4.0 3.7% 1.8% 0.3% 2.7% Sell
11-Jan-13 DBC GL:Com 27.71 -2% -7% 24% 4.5 -0.5% 0.7% -1.4% 0.0% Sell
11-Jan-13 TLT US:FIT 118.79 -10% -10% 17% 6.0 -1.7% -2.1% -0.9% -2.9% 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 13 or 15% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: SCZ,ACWX,IWR , Sell: IWR , 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
11-Jan-13 ACWX GL:LCB 42.70 28% 39% 41% 22% 1.5 1.6% 1.0% 0.4% BUY 43
11-Jan-13 SCZ GL:SC 42.03 32% 33% 76% 23% 1.5 2.3% 2.4% 0.7% BUY 78
11-Jan-13 DBB GLC:BM 19.05 15% 29% -17% 27% 3.5 -1.2% -1.5% -0.1% HTD
11-Jan-13 IWM US:SC 87.34 12% 28% 111% 20% 5.0 3.6% 2.6% -0.3% HTD
11-Jan-13 IWR US:MC 116.83 16% 25% 65% 16% 4.0 2.2% 1.8% 0.1% Sell 8
11-Jan-13 IWC US:Micro 54.38 9% 22% 132% 23% 6.5 4.1% 3.4% -0.3% Sell
11-Jan-13 IYR US:REIT 66.49 -3% 12% 64% 15% 9.0 3.6% 2.1% 0.0% Sell
11-Jan-13 IWL US:LC 33.60 4% 2% 24% 15% 8.0 1.4% 2.2% 0.9% Sell
11-Jan-13 DBE GLC:ENE 28.05 2% -4% 54% 32% 9.0 0.2% 1.4% -0.8% Sell
11-Jan-13 TLH US:FIT 133.77 -4% -5% -22% 10% 11.0 -0.9% -1.0% 0.4% Sell
11-Jan-13 AGG US:FI 110.85 -2% -5% -5% 3% 10.5 -0.4% 0.0% 0.1% Sell
11-Jan-13 DBA GLC:AG 27.77 -15% -17% -32% 20% 12.5 -0.9% -0.5% 0.6% Sell
11-Jan-13 DBP GLC:PM 56.80 13% -22% -31% 23% 9.0 -5.0% -0.1% 1.0% 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: SCZ , Buy: IJH
                             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
11-Jan-13 EEM GL:EM 44.47 28% 42% 59% 24% 2.0 1.4% 0.4% -0.8% BUY 38
11-Jan-13 EFA GL:DM 58.04 30% 41% 50% 22% 2.0 1.9% 1.3% 0.4% BUY 24
11-Jan-13 IJH US:MCB 105.50 18% 33% 83% 17% 4.0 2.7% 1.7% -0.1% BUY
11-Jan-13 SCZ GL:SC 42.03 32% 33% 76% 23% 2.5 2.3% 2.4% 0.7% HTD 97
11-Jan-13 IJR US:SCB 80.69 12% 30% 104% 19% 5.5 3.3% 2.2% -0.4% Sell
11-Jan-13 IDV GL:Div'd 34.45 22% 30% 41% 22% 5.0 2.1% 1.8% 0.9% Sell
11-Jan-13 IYR US:REIT 66.49 -3% 12% 64% 15% 10.0 3.6% 2.1% 0.0% Sell
11-Jan-13 ONEQ US:LCB 122.71 2% 10% 59% 20% 9.5 2.5% 2.4% 0.3% Sell
11-Jan-13 IVV US:LCB 147.87 7% 10% 45% 15% 8.5 2.0% 2.3% 0.5% Sell
11-Jan-13 HYG US:FIHY 94.52 5% 9% 14% 8% 9.5 1.0% 0.7% 0.3% Sell
11-Jan-13 DVY US:Div'd 58.57 1% 4% 20% 10% 11.5 1.5% 1.3% 0.3% Sell
11-Jan-13 EMB GL:FIEM 121.44 9% 2% -5% 8% 9.5 -1.6% -0.8% -0.6% Sell
11-Jan-13 LQD US:FIIG 121.10 3% -6% -1% 6% 11.5 -0.8% 0.3% 0.1% Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 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
11-Jan-13 LQD US:FIIG 121.10 -6% -6% -1% 6% 10.0 0.3% 0.2% 0.1% HTD
11-Jan-13 HYG US:FIHY 94.52 9% 21% 14% 8% 8.3 0.7% 0.0% 0.3% Buy
11-Jan-13 QQQ US:LCB 67.26 3% 38% 41% 21% 8.0 2.5% 0.4% 0.6% Buy
11-Jan-13 IVW US:LCG 78.18 4% 32% 41% 14% 7.7 2.3% 0.6% 0.5% Buy
11-Jan-13 IVV US:LCB 147.87 10% 45% 45% 15% 6.0 2.3% 0.4% 0.5% Buy
11-Jan-13 IYR US:REIT 66.49 12% 49% 64% 15% 4.3 2.1% 0.3% 0.0% Buy
11-Jan-13 EFA GL:DM 58.04 41% 80% 50% 22% 3.3 1.3% -0.3% 0.4% Buy
11-Jan-13 IJH US:MCB 105.50 33% 73% 83% 17% 3.0 1.7% 0.0% -0.1% Buy
11-Jan-13 EEM GL:EM 44.47 42% 91% 59% 24% 2.3 0.4% -1.5% -0.8% Buy
11-Jan-13 IWM US:SCB 87.34 28% 96% 111% 20% 2.0 2.6% -0.1% -0.3% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33023 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 1/18/2013 5:09 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
*-
BOUGHT:
iShares Russell 2000 Index (IWM)

Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > 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   SlowPO  IntPO   FastPO   TTM      TTM      Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR Gain(%GL) LastChg H52w L52w Status: Held
17-Jan-13 FSIVX EAFE 35.27 6.7% 3.4% 2.9% 20.1% 13.6% 23 0 33 B&H 155
17-Jan-13 FSEVX DJ M/S 41.99 3.3% 1.7% 3.7% 16.2% 11.5% 61 0 32 B&H 134
17-Jan-13 FUSVX SP500 52.47 2.8% 1.4% 3.2% 14.8% 12.7% 63 0 33 B&H 168
17-Jan-13 FSRRX SRR 9.73 1.0% -0.8% -0.1% 7.6% 4.4% 27 18 33 B&H
17-Jan-13 FSITX USAB 11.84 -0.3% -0.7% -0.5% 3.4% 0.6% 1 25 43 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA15 > SMA50 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 15/50 Status: Held
18-Jan-13 PXF GL:DM 37.51 35% 56% 26% 1.0 1.8% 0.5% 4.8% 4.3% BUY 90
18-Jan-13 PRF US:LC 65.37 16% 29% 15% 2.0 2.7% 1.9% 2.3% 3.2% BUY 112
18-Jan-13 VNQ US:RE 68.09 -3% 24% 15% 3.5 4.3% 1.8% 1.0% 2.8% HTD
18-Jan-13 PGX US:PF 14.86 0% -1% 5% 4.0 0.6% 0.8% -0.2% 0.5% Sell
18-Jan-13 DBC GL:Com 27.98 -4% 0% 23% 4.5 0.9% 1.1% -1.4% 0.1% Sell
18-Jan-13 TLT US:FIT 120.04 -9% -13% 17% 6.0 -0.5% -0.4% -1.4% -2.5% 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 ) 3 of 13 or 23% , COUNTIF( Held ) 4 of 13 or 31%

ST Hold: Three ( 3 ), Holdings: SCZ,ACWX,IWR,IWM , Sell: IWR , Buy: IWM
                             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
18-Jan-13 ACWX GL:LCB 42.87 28% 45% 49% 22% 1.5 1.4% 0.3% -0.1% BUY 50
18-Jan-13 IWM US:SC 88.57 14% 45% 118% 20% 3.5 4.1% 2.1% -0.4% BUY 3
18-Jan-13 SCZ GL:SC 42.01 32% 41% 87% 22% 2.0 1.5% 1.1% -0.5% BUY 85
18-Jan-13 IWC US:Micro 54.57 11% 40% 117% 22% 5.0 3.6% 1.7% -0.9% HTD
18-Jan-13 IWR US:MC 118.71 16% 36% 97% 16% 4.0 3.2% 1.9% -0.1% Sell 15
18-Jan-13 DBB GLC:BM 18.92 14% 30% -21% 27% 5.0 -1.8% -2.3% 0.2% Sell
18-Jan-13 IYR US:REIT 67.38 -1% 22% 85% 14% 8.5 4.3% 2.1% -0.1% Sell
18-Jan-13 IWL US:LC 33.79 4% 10% 74% 15% 8.0 1.9% 1.8% -0.2% Sell
18-Jan-13 DBE GLC:ENE 28.61 0% 8% 39% 32% 9.0 2.4% 2.1% 0.6% Sell
18-Jan-13 AGG US:FI 110.93 -2% -5% -2% 3% 10.5 -0.3% 0.1% 0.1% Sell
18-Jan-13 TLH US:FIT 134.07 -4% -7% -14% 10% 11.5 -0.5% -0.4% 0.5% Sell
18-Jan-13 DBA GLC:AG 27.87 -16% -18% -17% 20% 12.5 0.0% 0.3% 0.6% Sell
18-Jan-13 DBP GLC:PM 57.88 8% -18% 29% 22% 10.0 -2.5% 1.6% 0.5% 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,EFA , Sell: SCZ , Buy: IJR
                             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
18-Jan-13 EEM GL:EM 44.78 28% 49% 47% 23% 2.0 1.4% 0.0% -0.5% BUY 45
18-Jan-13 EFA GL:DM 58.15 30% 47% 52% 21% 2.0 1.4% 0.3% -0.2% BUY 31
18-Jan-13 IJR US:SCB 82.03 14% 44% 109% 19% 4.5 4.2% 2.1% -0.1% BUY
18-Jan-13 IJH US:MCB 107.04 19% 43% 107% 16% 4.5 3.3% 1.6% -0.3% HTD
18-Jan-13 SCZ GL:SC 42.01 32% 41% 87% 22% 3.0 1.5% 1.1% -0.5% Sell 104
18-Jan-13 IDV GL:Div'd 34.60 22% 37% 66% 22% 5.0 2.0% 1.0% -0.1% Sell
18-Jan-13 IYR US:REIT 67.38 -1% 22% 85% 14% 10.0 4.3% 2.1% -0.1% Sell
18-Jan-13 ONEQ US:LCB 123.01 1% 22% 67% 19% 10.0 2.6% 1.3% -0.5% Sell
18-Jan-13 IVV US:LCB 149.13 7% 20% 75% 15% 8.5 2.6% 1.8% -0.1% Sell
18-Jan-13 HYG US:FIHY 94.72 5% 11% 20% 8% 9.5 1.0% 0.5% 0.0% Sell
18-Jan-13 DVY US:Div'd 59.25 2% 11% 48% 10% 11.0 2.4% 1.6% 0.2% Sell
18-Jan-13 EMB GL:FIEM 122.20 9% 2% -10% 8% 9.5 -1.0% -0.2% 0.3% Sell
18-Jan-13 LQD US:FIIG 120.67 3% -6% -5% 6% 11.5 -1.0% 0.1% 0.0% Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 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
18-Jan-13 LQD US:FIIG 120.67 -6% -7% -5% 6% 10.0 0.1% 0.1% 0.0% HTD
18-Jan-13 HYG US:FIHY 94.72 11% 16% 20% 8% 9.0 0.5% 0.1% 0.0% Buy
18-Jan-13 QQQ US:LCB 67.07 13% 26% 51% 21% 7.7 1.1% 0.1% -0.5% Buy
18-Jan-13 IVW US:LCG 78.51 13% 26% 67% 14% 6.3 1.6% 0.7% -0.3% Buy
18-Jan-13 IVV US:LCB 149.13 20% 39% 75% 15% 5.3 1.8% 0.6% -0.1% Buy
18-Jan-13 IYR US:REIT 67.38 22% 50% 85% 14% 4.3 2.1% 0.6% -0.1% Buy
18-Jan-13 EFA GL:DM 58.15 47% 62% 52% 21% 4.0 0.3% -0.5% -0.2% Buy
18-Jan-13 EEM GL:EM 44.78 49% 75% 47% 23% 3.7 0.0% -1.2% -0.5% Buy
18-Jan-13 IJH US:MCB 107.04 43% 68% 107% 16% 3.0 1.6% 0.5% -0.3% Buy
18-Jan-13 IWM US:SCB 88.57 45% 88% 118% 20% 1.7 2.1% 0.2% -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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33024 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 1/25/2013 5:08 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 1
SOLD:
MSCI EAFE Small Cap (SCZ)
BOUGHT:
S&P Small Cap 600 (IJR)

Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR %GL LastChg H52w L52w Status: Held
24-Jan-13 FSIVX EAFE 35.35 7.1% 3.6% 2.9% 18.0% 11.5% 24 0 34 B&H 162
24-Jan-13 FSEVX DJ M/S 42.52 3.9% 2.7% 4.1% 16.3% 11.5% 62 0 33 B&H 141
24-Jan-13 FUSVX SP500 52.97 3.3% 2.1% 3.5% 15.5% 13.4% 64 0 34 B&H 175
24-Jan-13 FSRRX SRR 9.76 0.9% -0.5% 0.3% 6.2% 3.0% 28 19 34 B&H
24-Jan-13 FSITX USAB 11.85 -0.3% -0.7% -0.4% 3.8% 0.3% 2 26 44 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA15 > SMA50 )
COUNTIF( Buy ) 2 of 6 or 33% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 15/50 Status: Held
25-Jan-13 PXF GL:DM 38.09 34% 69% 26% 1.0 2.8% 0.6% 5.1% 4.2% BUY 97
25-Jan-13 PRF US:LC 66.34 17% 43% 16% 2.0 3.6% 1.8% 2.8% 3.7% BUY 119
25-Jan-13 VNQ US:RE 68.95 -1% 35% 15% 3.5 5.0% 1.7% 1.6% 3.2% HTD
25-Jan-13 PGX US:PF 14.85 0% 1% 5% 4.0 0.5% 0.5% -0.1% 0.8% Sell
25-Jan-13 DBC GL:Com 28.01 -4% 4% 23% 4.5 1.1% 0.6% -1.2% 0.2% Sell
25-Jan-13 TLT US:FIT 118.03 -9% -18% 17% 6.0 -2.0% -1.2% -1.8% -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 ) 3 of 13 or 23% , COUNTIF( Held ) 4 of 13 or 31%

ST Hold: Three ( 3 ), Holdings: SCZ,ACWX,IWR,IWM , Sell: IWR , 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
25-Jan-13 IWM US:SC 89.94 15% 61% 138% 20% 2.5 5.0% 1.8% -0.3% BUY 10
25-Jan-13 IWC US:Micro 54.91 13% 56% 104% 22% 4.0 3.5% 0.7% -1.1% BUY
25-Jan-13 ACWX GL:LCB 43.18 27% 53% 51% 21% 2.5 1.8% 0.0% 0.0% BUY 57
25-Jan-13 SCZ GL:SC 42.67 31% 52% 88% 22% 2.5 2.6% 1.3% 0.0% HTD 92
25-Jan-13 IWR US:MC 121.16 17% 49% 141% 16% 4.0 4.6% 2.3% 0.0% Sell 22
25-Jan-13 IYR US:REIT 68.09 1% 33% 98% 15% 7.5 4.8% 1.8% -0.3% Sell
25-Jan-13 DBB GLC:BM 18.98 13% 32% -20% 27% 6.0 -1.5% -2.3% 0.4% Sell
25-Jan-13 IWL US:LC 34.14 3% 20% 93% 15% 8.0 2.8% 1.6% -0.4% Sell
25-Jan-13 DBE GLC:ENE 28.80 0% 18% 50% 32% 9.5 2.9% 1.6% 0.2% Sell
25-Jan-13 AGG US:FI 110.57 -2% -6% -3% 3% 10.5 -0.5% -0.1% -0.2% Sell
25-Jan-13 TLH US:FIT 132.82 -4% -10% -12% 10% 11.5 -1.4% -0.8% -0.3% Sell
25-Jan-13 DBP GLC:PM 56.93 5% -17% 24% 22% 9.5 -3.5% 0.0% -1.3% Sell
25-Jan-13 DBA GLC:AG 27.58 -17% -18% -15% 20% 13.0 -0.5% -0.3% -0.1% 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: EEM,EFA,IJR , Sell: SCZ , Buy: IJR
                             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
25-Jan-13 IJR US:SCB 83.41 15% 59% 138% 19% 3.5 5.1% 2.0% -0.1% BUY 2
25-Jan-13 EFA GL:DM 59.03 29% 57% 63% 21% 2.0 2.5% 0.6% 0.3% BUY 38
25-Jan-13 IJH US:MCB 109.53 21% 57% 151% 17% 4.0 4.9% 2.3% 0.0% BUY
25-Jan-13 EEM GL:EM 44.16 27% 53% 11% 23% 3.5 -0.2% -2.0% -1.0% HTD 52
25-Jan-13 SCZ GL:SC 42.67 31% 52% 88% 22% 3.0 2.6% 1.3% 0.0% Sell
25-Jan-13 IDV GL:Div'd 35.03 22% 47% 82% 22% 5.0 2.8% 1.0% 0.0% Sell
25-Jan-13 IYR US:REIT 68.09 1% 33% 98% 15% 10.0 4.8% 1.8% -0.3% Sell
25-Jan-13 IVV US:LCB 150.92 7% 32% 100% 15% 8.0 3.4% 1.6% -0.3% Sell
25-Jan-13 ONEQ US:LCB 123.78 1% 32% 80% 19% 10.5 3.1% 0.7% -0.7% Sell
25-Jan-13 DVY US:Div'd 59.89 3% 20% 76% 10% 10.0 3.1% 1.6% -0.1% Sell
25-Jan-13 HYG US:FIHY 94.85 6% 15% 25% 8% 10.0 0.9% 0.1% -0.2% Sell
25-Jan-13 EMB GL:FIEM 121.56 8% 3% -11% 8% 9.5 -1.4% -0.7% 0.0% Sell
25-Jan-13 LQD US:FIIG 120.10 2% -6% -8% 6% 12.0 -1.3% -0.3% -0.2% Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 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
25-Jan-13 LQD US:FIIG 120.10 -6% -8% -8% 6% 10.0 -0.3% -0.2% -0.2% SELL
25-Jan-13 HYG US:FIHY 94.85 15% 15% 25% 8% 8.7 0.1% 0.1% -0.2% Buy
25-Jan-13 QQQ US:LCB 67.00 21% 22% 54% 20% 7.7 0.1% -0.2% -1.0% Buy
25-Jan-13 IVW US:LCG 79.10 23% 30% 78% 14% 6.3 1.2% 0.7% -0.5% Buy
25-Jan-13 EEM GL:EM 44.16 53% 57% 11% 23% 5.3 -2.0% -2.3% -1.0% Buy
25-Jan-13 IVV US:LCB 150.92 32% 44% 100% 15% 5.0 1.6% 0.9% -0.3% Buy
25-Jan-13 EFA GL:DM 59.03 57% 56% 63% 21% 4.3 0.6% 0.5% 0.3% Buy
25-Jan-13 IYR US:REIT 68.09 33% 56% 98% 15% 4.3 1.8% 0.6% -0.3% Buy
25-Jan-13 IJH US:MCB 109.53 57% 76% 151% 17% 2.0 2.3% 1.3% 0.0% Buy
25-Jan-13 IWM US:SCB 89.94 61% 89% 138% 20% 1.3 1.8% 0.5% -0.3% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33025 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 2/1/2013 5:17 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
MSCI Emerging Markets (EEM)
MSCI EAFE Small Cap Index (SCZ)

BOUGHT:
S&P Mid Cap 400 (IJH)

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR %GL LastChg H52w L52w Status: Held
31-Jan-13 FSIVX EAFE 35.76 7.5% 4.1% 2.9% 18.1% 11.6% 25 0 35 B&H 168
31-Jan-13 FUSVX SP500 53.10 3.8% 3.0% 3.5% 15.1% 13.1% 65 0 35 B&H 181
31-Jan-13 FSEVX DJ M/S 42.70 4.5% 4.0% 4.3% 14.2% 9.4% 63 0 34 B&H 147
31-Jan-13 FSRRX SRR 9.77 0.8% -0.2% 0.5% 6.1% 2.8% 29 20 35 B&H
31-Jan-13 FSITX USAB 11.79 -0.5% -0.8% -0.6% 2.9% -0.6% 3 27 45 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS + PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > SMA100 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: VNQ
                          Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 Pri/100 Status: Held
1-Feb-13 PXF GL:DM 38.23 33% 78% 26% 1.0 2.5% -0.4% 5.3% 8.3% BUY 103
1-Feb-13 PRF US:LC 66.94 17% 54% 16% 2.0 3.8% 1.1% 3.3% 7.1% BUY 125
1-Feb-13 VNQ US:RE 68.66 2% 42% 16% 3.0 3.8% 0.1% 2.4% 4.4% BUY
1-Feb-13 PGX US:PF 14.82 0% 2% 5% 4.5 0.3% 0.1% 0.0% 0.2% Sell
1-Feb-13 DBC GL:Com 28.58 -5% 8% 23% 4.5 3.2% 2.0% -0.6% 2.0% Sell
1-Feb-13 TLT US:FIT 115.54 -9% -25% 17% 6.0 -3.7% -1.8% -2.2% -5.4% 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 ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: ACWX,IWR,IWM , Sell: SCZ,ACWX , Buy: IWC
                            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
1-Feb-13 IWM US:SC 90.37 17% 76% 69% 20% 2.5 4.6% 0.5% 0.0% BUY 16
1-Feb-13 IWC US:Micro 56.03 14% 72% 54% 22% 3.5 4.8% 0.8% 0.5% BUY
1-Feb-13 SCZ GL:SC 43.00 31% 61% 65% 22% 2.0 2.7% 0.7% 0.2% BUY
1-Feb-13 IWR US:MC 122.02 18% 60% 96% 16% 3.5 4.5% 1.3% 0.0% HTD 28
1-Feb-13 ACWX GL:LCB 43.49 27% 56% 41% 21% 3.5 1.9% -0.2% 0.2% Sell 63
1-Feb-13 IYR US:REIT 67.72 3% 41% 49% 15% 7.0 3.5% 0.0% -0.7% Sell
1-Feb-13 DBB GLC:BM 19.68 13% 30% 31% 27% 6.5 1.9% 0.9% 1.8% Sell
1-Feb-13 IWL US:LC 34.39 3% 28% 52% 15% 7.5 3.2% 1.2% 0.0% Sell
1-Feb-13 DBE GLC:ENE 29.48 -1% 25% 91% 31% 9.5 5.1% 2.7% 0.5% Sell
1-Feb-13 AGG US:FI 109.94 -2% -7% -7% 3% 10.5 -0.9% -0.4% -0.3% Sell
1-Feb-13 TLH US:FIT 131.13 -4% -16% -15% 10% 11.5 -2.4% -1.1% -0.9% Sell
1-Feb-13 DBA GLC:AG 27.75 -17% -18% 1% 20% 12.5 0.5% 0.5% -0.1% Sell
1-Feb-13 DBP GLC:PM 57.42 1% -18% 19% 22% 11.0 -1.9% 1.2% -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 ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: EFA,IJR,IJH , Sell: EEM , Buy: IJH
                            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
1-Feb-13 IJR US:SCB 83.57 16% 70% 71% 19% 3.5 4.5% 0.5% -0.1% BUY 8
1-Feb-13 IJH US:MCB 110.01 22% 67% 92% 17% 3.0 4.4% 1.1% -0.1% BUY 3
1-Feb-13 EFA GL:DM 59.45 29% 63% 62% 21% 2.5 2.5% 0.1% 0.1% BUY 44
1-Feb-13 SCZ GL:SC 43.00 31% 61% 65% 22% 2.5 2.7% 0.7% 0.2% HTD
1-Feb-13 IDV GL:Div'd 35.37 22% 56% 77% 22% 5.0 3.1% 0.6% -0.1% Sell
1-Feb-13 EEM GL:EM 44.51 26% 51% -13% 23% 4.5 0.2% -1.6% 0.6% Sell
1-Feb-13 IYR US:REIT 67.72 3% 41% 49% 15% 9.0 3.5% 0.0% -0.7% Sell
1-Feb-13 IVV US:LCB 152.03 8% 41% 61% 15% 7.5 3.7% 1.0% 0.0% Sell
1-Feb-13 ONEQ US:LCB 124.83 0% 39% 32% 19% 11.0 3.7% 0.5% 0.3% Sell
1-Feb-13 DVY US:Div'd 60.57 4% 29% 60% 10% 10.0 3.6% 1.4% 0.2% Sell
1-Feb-13 HYG US:FIHY 93.48 5% 15% -1% 8% 10.0 -0.6% -1.4% -0.8% Sell
1-Feb-13 EMB GL:FIEM 119.06 6% -1% -27% 8% 10.0 -3.0% -2.2% -0.7% Sell
1-Feb-13 LQD US:FIIG 118.74 1% -8% -17% 6% 12.5 -2.2% -1.0% -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 < LR42 )
COUNTIF( Sell ) 3 of 10 or 30% , 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
1-Feb-13 LQD US:FIIG 118.74 -8% -11% -17% 6% 10.0 -1.0% -0.8% -0.6% SELL
1-Feb-13 HYG US:FIHY 93.48 15% 9% -1% 8% 8.7 -1.4% -1.1% -0.8% SELL
1-Feb-13 QQQ US:LCB 67.66 26% 26% 12% 20% 7.7 0.3% 0.2% 0.5% Buy
1-Feb-13 EEM GL:EM 44.51 51% 35% -13% 23% 6.7 -1.6% -1.0% 0.6% SELL
1-Feb-13 IVW US:LCG 79.45 29% 37% 36% 14% 6.3 0.7% 0.2% 0.0% Buy
1-Feb-13 IVV US:LCB 152.03 41% 52% 61% 15% 5.0 1.0% 0.4% 0.0% Buy
1-Feb-13 IYR US:REIT 67.72 41% 56% 49% 15% 4.3 0.0% -0.7% -0.7% Buy
1-Feb-13 EFA GL:DM 59.45 63% 54% 62% 21% 3.3 0.1% 0.3% 0.1% Buy
1-Feb-13 IJH US:MCB 110.01 67% 86% 92% 17% 1.7 1.1% 0.3% -0.1% Buy
1-Feb-13 IWM US:SCB 90.37 76% 91% 69% 20% 1.3 0.5% -0.2% 0.0% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33026 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 2/8/2013 5:00 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
MSCI ACWI ex US Index (ACWX)
BOUGHT:
iShares Russell Microap Index (IWC)
Vanguard REIT Index ETF (VNQ)

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                           Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
7-Feb-13 FSIVX EAFE 35.20 7.6% 7.1% 4.5% 14.2% 7.7% 26 1 36 B&H 175
7-Feb-13 FUSVX SP500 53.54 4.3% 5.3% 4.6% 13.8% 11.7% 58 1 36 B&H 188
7-Feb-13 FSEVX DJ M/S 43.04 5.0% 6.8% 5.9% 12.9% 8.1% 24 0 35 B&H 154
7-Feb-13 FSRRX SRR 9.75 0.8% 0.5% 0.3% 5.6% 2.4% 29 21 36 B&H
7-Feb-13 FSITX USAB 11.80 -0.6% -1.1% -1.1% 3.5% 0.0% 4 28 46 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS + PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA5 > SMA100 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: VNQ
                          Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 5/100 Status: Held
8-Feb-13 PXF GL:DM 37.63 32% 76% 26% 1.0 0.4% -2.5% 5.4% 5.9% BUY 110
8-Feb-13 PRF US:LC 67.26 18% 66% 16% 2.0 3.5% 0.1% 3.9% 6.6% BUY 132
8-Feb-13 VNQ US:RE 68.92 4% 49% 15% 3.0 3.4% -0.6% 3.0% 4.3% BUY 4
8-Feb-13 DBC GL:Com 28.55 -5% 10% 23% 4.5 3.0% 1.3% 0.0% 1.9% Sell
8-Feb-13 PGX US:PF 14.83 0% 4% 5% 4.5 0.3% 0.0% 0.2% 0.2% Sell
8-Feb-13 TLT US:FIT 117.12 -9% -30% 17% 6.0 -2.0% 0.7% -2.6% -4.2% 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 ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , Sell: ACWX , Buy: IWC
                            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
8-Feb-13 IWM US:SC 90.80 18% 88% 58% 20% 2.5 4.3% -0.6% -0.1% BUY 23
8-Feb-13 IWC US:Micro 55.75 15% 86% 47% 22% 3.5 3.5% -1.2% -0.4% BUY 4
8-Feb-13 IWR US:MC 122.79 20% 72% 85% 16% 3.0 4.2% 0.4% -0.3% BUY 35
8-Feb-13 SCZ GL:SC 42.84 31% 67% 34% 22% 2.5 1.7% -0.8% 0.0% HTD
8-Feb-13 ACWX GL:LCB 42.88 26% 55% 8% 21% 3.5 0.1% -2.0% -0.4% Sell
8-Feb-13 IYR US:REIT 67.96 5% 48% 23% 15% 6.5 3.2% -0.6% -0.1% Sell
8-Feb-13 IWL US:LC 34.49 4% 35% 43% 15% 7.5 3.1% 0.4% -0.1% Sell
8-Feb-13 DBE GLC:ENE 29.84 0% 32% 115% 31% 8.5 5.8% 2.5% -0.1% Sell
8-Feb-13 DBB GLC:BM 19.71 12% 26% 76% 27% 7.5 1.9% 0.8% 0.1% Sell
8-Feb-13 AGG US:FI 110.28 -3% -8% -10% 3% 10.0 -0.5% 0.1% 0.2% Sell
8-Feb-13 TLH US:FIT 132.19 -4% -19% -21% 10% 11.5 -1.4% 0.4% 0.5% Sell
8-Feb-13 DBP GLC:PM 57.25 -4% -19% -2% 22% 11.5 -1.3% 1.3% -0.2% Sell
8-Feb-13 DBA GLC:AG 27.00 -18% -19% -23% 20% 13.0 -1.6% -1.5% -1.3% 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 ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: EFA,IJR,IJH , Sell: EFA , 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
8-Feb-13 IJR US:SCB 84.10 17% 83% 63% 19% 3.5 4.3% -0.4% -0.1% BUY 15
8-Feb-13 IJH US:MCB 110.74 24% 79% 82% 17% 3.0 4.1% 0.1% -0.3% BUY 10
8-Feb-13 SCZ GL:SC 42.84 31% 67% 34% 22% 2.0 1.7% -0.8% 0.0% BUY
8-Feb-13 EFA GL:DM 58.53 29% 62% 19% 21% 3.0 0.5% -2.0% -0.6% HTD 51
8-Feb-13 IDV GL:Div'd 34.50 21% 55% 11% 22% 5.0 0.3% -2.3% -1.0% Sell
8-Feb-13 IVV US:LCB 152.55 9% 50% 50% 15% 6.5 3.5% 0.1% -0.1% Sell
8-Feb-13 IYR US:REIT 67.96 5% 48% 23% 15% 8.5 3.2% -0.6% -0.1% Sell
8-Feb-13 EEM GL:EM 43.85 25% 47% -23% 23% 5.5 -1.4% -3.0% 0.1% Sell
8-Feb-13 ONEQ US:LCB 125.38 1% 46% 30% 19% 10.5 3.9% -0.1% 0.3% Sell
8-Feb-13 DVY US:Div'd 60.65 6% 38% 58% 11% 9.0 3.2% 0.4% -0.3% Sell
8-Feb-13 HYG US:FIHY 93.00 5% 12% -21% 8% 10.0 -1.0% -1.7% -0.2% Sell
8-Feb-13 EMB GL:FIEM 119.85 4% -6% -30% 9% 11.5 -2.0% -0.8% 0.7% Sell
8-Feb-13 LQD US:FIIG 119.51 1% -9% -20% 6% 13.0 -1.3% -0.1% 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 < LR42 )
COUNTIF( Sell ) 2 of 10 or 20% , 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
8-Feb-13 LQD US:FIIG 119.51 -9% -11% -20% 6% 9.3 -0.1% 0.1% 0.5% HTD
8-Feb-13 HYG US:FIHY 93.00 12% 2% -21% 8% 9.0 -1.7% -1.1% -0.2% SELL
8-Feb-13 EEM GL:EM 43.85 47% 12% -23% 23% 8.0 -3.0% -1.4% 0.1% SELL
8-Feb-13 QQQ US:LCB 67.99 31% 26% 10% 20% 7.3 0.1% 0.4% 0.8% Buy
8-Feb-13 IVW US:LCG 79.91 35% 39% 31% 14% 5.7 0.3% 0.1% 0.2% Buy
8-Feb-13 EFA GL:DM 58.53 62% 43% 19% 21% 4.7 -2.0% -1.2% -0.6% Buy
8-Feb-13 IYR US:REIT 67.96 48% 52% 23% 15% 4.7 -0.6% -0.8% -0.1% Buy
8-Feb-13 IVV US:LCB 152.55 50% 54% 50% 15% 3.3 0.1% -0.1% -0.1% Buy
8-Feb-13 IWM US:SCB 90.80 88% 86% 58% 20% 1.7 -0.6% -0.6% -0.1% Buy
8-Feb-13 IJH US:MCB 110.74 79% 88% 82% 17% 1.3 0.1% -0.3% -0.3% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33027 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 2/15/2013 5:23 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
MSCI EAFE (EFA)

BOUGHT:
*-

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
14-Feb-13 FSIVX EAFE 35.46 7.9% 6.9% 4.3% 15.1% 8.6% 27 2 37 B&H 182
14-Feb-13 FUSVX SP500 54.00 4.9% 5.6% 5.2% 14.2% 12.1% 59 0 37 B&H 195
14-Feb-13 FSEVX DJ M/S 43.65 5.8% 7.4% 6.9% 13.4% 8.6% 25 0 36 B&H 161
14-Feb-13 FSRRX SRR 9.75 0.8% 0.5% 0.2% 5.7% 2.5% 30 22 37 B&H
14-Feb-13 FSITX USAB 11.79 -0.8% -1.3% -1.1% 3.3% -0.2% 5 29 47 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS + PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & SMA5 > SMA100 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 5/100 Status: Held
15-Feb-13 PRF US:LC 67.63 21% 66% 16% 1.5 3.1% -0.4% 4.8% 7.2% BUY 139
15-Feb-13 PXF GL:DM 37.43 32% 62% 26% 1.5 -0.7% -3.0% 5.5% 5.7% BUY 117
15-Feb-13 VNQ US:RE 69.24 6% 50% 15% 3.0 3.2% -0.9% 3.7% 5.2% BUY 11
15-Feb-13 DBC GL:Com 28.35 -5% 11% 23% 4.5 2.1% 0.2% 0.5% 1.7% Sell
15-Feb-13 PGX US:PF 14.78 0% 5% 5% 4.5 -0.1% -0.5% 0.3% 0.2% Sell
15-Feb-13 TLT US:FIT 116.50 -10% -29% 17% 6.0 -2.0% 0.8% -3.0% -4.2% 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 ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , 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
15-Feb-13 IWM US:SC 91.74 20% 87% 51% 20% 2.5 4.3% -0.6% 0.1% BUY 30
15-Feb-13 IWC US:Micro 56.53 16% 85% 51% 22% 3.5 4.1% -0.9% 0.0% BUY 11
15-Feb-13 IWR US:MC 123.31 23% 73% 58% 17% 3.0 3.6% -0.3% -0.4% BUY 42
15-Feb-13 SCZ GL:SC 42.85 31% 62% 30% 22% 2.5 1.0% -1.3% -0.4% HTD
15-Feb-13 IYR US:REIT 68.21 7% 49% 13% 15% 6.0 2.9% -0.9% 0.1% Sell
15-Feb-13 ACWX GL:LCB 42.86 27% 45% -1% 21% 4.0 -0.4% -2.0% -0.2% Sell
15-Feb-13 DBE GLC:ENE 29.80 2% 39% 89% 31% 8.0 4.7% 1.1% -1.0% Sell
15-Feb-13 IWL US:LC 34.52 5% 36% 31% 15% 8.0 2.7% -0.1% -0.3% Sell
15-Feb-13 DBB GLC:BM 19.73 10% 21% 76% 27% 7.5 1.8% 0.7% -0.6% Sell
15-Feb-13 AGG US:FI 110.25 -3% -7% -8% 3% 10.0 -0.3% 0.2% 0.2% Sell
15-Feb-13 TLH US:FIT 131.93 -5% -19% -19% 10% 11.0 -1.2% 0.6% 0.5% Sell
15-Feb-13 DBP GLC:PM 54.95 -9% -22% -38% 22% 12.0 -4.0% -2.0% -1.8% Sell
15-Feb-13 DBA GLC:AG 26.49 -20% -25% -47% 20% 13.0 -2.5% -1.9% -0.6% 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: IJR,IJH , Sell: EFA , 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
15-Feb-13 IJR US:SCB 84.79 19% 82% 48% 19% 3.5 4.1% -0.6% 0.0% BUY 22
15-Feb-13 IJH US:MCB 111.47 26% 80% 60% 17% 2.5 3.6% -0.4% -0.3% BUY 17
15-Feb-13 SCZ GL:SC 42.85 31% 62% 30% 22% 2.0 1.0% -1.3% -0.4% BUY
15-Feb-13 EFA GL:DM 58.43 29% 51% 3% 21% 3.0 -0.3% -2.2% -0.5% HTD
15-Feb-13 IVV US:LCB 152.95 10% 49% 37% 15% 6.0 3.0% -0.4% -0.3% Sell
15-Feb-13 IYR US:REIT 68.21 7% 49% 13% 15% 7.5 2.9% -0.9% 0.1% Sell
15-Feb-13 IDV GL:Div'd 34.83 22% 48% -2% 22% 6.0 0.7% -1.5% 0.2% Sell
15-Feb-13 ONEQ US:LCB 125.35 2% 44% 28% 19% 10.0 3.3% -0.7% -0.2% Sell
15-Feb-13 DVY US:Div'd 60.88 8% 38% 39% 11% 8.5 2.9% 0.1% -0.2% Sell
15-Feb-13 EEM GL:EM 43.99 26% 36% -17% 23% 7.0 -1.5% -2.4% 0.4% Sell
15-Feb-13 HYG US:FIHY 93.42 4% 7% -22% 8% 10.5 -0.6% -0.9% 0.6% Sell
15-Feb-13 EMB GL:FIEM 119.16 2% -9% -28% 9% 11.5 -2.2% -0.8% 0.5% Sell
15-Feb-13 LQD US:FIIG 119.33 -1% -10% -15% 6% 13.0 -1.2% 0.1% 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 < LR42 )
COUNTIF( Sell ) 2 of 10 or 20% , 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
15-Feb-13 HYG US:FIHY 93.42 7% -2% -22% 8% 9.3 -0.9% -0.3% 0.6% SELL
15-Feb-13 LQD US:FIIG 119.33 -10% -11% -15% 6% 9.3 0.1% 0.2% 0.4% HTD
15-Feb-13 EEM GL:EM 43.99 36% 3% -17% 23% 7.7 -2.4% -0.6% 0.4% SELL
15-Feb-13 QQQ US:LCB 67.75 27% 26% 18% 20% 6.7 -0.5% -0.4% -0.1% Buy
15-Feb-13 EFA GL:DM 58.43 51% 34% 3% 21% 5.3 -2.2% -1.4% -0.5% Buy
15-Feb-13 IVW US:LCG 80.02 34% 42% 27% 14% 5.3 -0.1% -0.4% 0.0% Buy
15-Feb-13 IYR US:REIT 68.21 49% 48% 13% 15% 5.0 -0.9% -0.9% 0.1% Buy
15-Feb-13 IVV US:LCB 152.95 49% 56% 37% 15% 3.3 -0.4% -0.7% -0.3% Buy
15-Feb-13 IWM US:SCB 91.74 87% 81% 51% 20% 1.7 -0.6% -0.5% 0.1% Buy
15-Feb-13 IJH US:MCB 111.47 80% 89% 60% 17% 1.3 -0.4% -0.8% -0.3% 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33028 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 2/22/2013 5:31 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 1
SOLD:
*-
BOUGHT:
*-

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
21-Feb-13 FUSVX SP500 53.36 5.2% 5.5% 4.8% 12.4% 10.3% 60 0 38 B&H 202
21-Feb-13 FSEVX DJ M/S 42.68 6.4% 7.2% 6.1% 11.1% 6.4% 26 0 37 B&H 168
21-Feb-13 FSIVX EAFE 34.94 8.0% 6.2% 3.6% 8.5% 5.6% 28 3 38 B&H 189
21-Feb-13 FSRRX SRR 9.69 0.8% 0.3% -0.1% 3.9% 1.4% 31 23 38 B&H
21-Feb-13 FSITX USAB 11.79 -0.8% -1.2% -1.0% 3.3% -0.2% 6 30 48 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS + PO
SELL: IF( AvgRank >= 4.0 or RRS126 < 0 ), BUY: IF( AvgRank < 3.5 & SMA30 > SMA100 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: -
                           Last     6m      3m   TTM    R6,R3   LastPri  LastPri  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 5/100 Status: Held
22-Feb-13 PXF GL:DM 37.42 32% 47% 26% 1.5 37.81 38.41 5.4% 5.2% BUY 124
22-Feb-13 PRF US:LC 67.40 22% 61% 16% 1.5 66.02 68.15 5.1% 6.4% BUY 146
22-Feb-13 VNQ US:RE 69.51 8% 46% 15% 3.0 67.53 70.04 3.9% 4.6% BUY 18
22-Feb-13 DBC GL:Com 27.60 -5% 8% 23% 4.5 27.71 28.20 0.6% -0.2% Sell
22-Feb-13 PGX US:PF 14.80 0% 4% 5% 4.5 14.79 14.84 0.3% 0.2% Sell
22-Feb-13 TLT US:FIT 117.03 -12% -28% 17% 6.0 118.16 115.24 -3.0% -4.0% Sell


Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & LR63 > LR126 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , Sell: - , Buy: -
                             Last     6m      3m     1m   TTM   %Off_LR  LastPri  LastPri  LastPri           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm 63/126 LR126 LR63 LR21 Status: Held
22-Feb-13 IWM US:SC 91.03 22% 76% 31% 20% 4.5% 88.47 92.46 91.52 BUY 37
22-Feb-13 IWC US:Micro 56.22 18% 73% 35% 22% 4.6% 54.58 57.09 56.55 BUY 18
22-Feb-13 IWR US:MC 122.28 24% 67% 25% 17% 3.6% 119.72 124.02 123.16 BUY 49
22-Feb-13 SCZ GL:SC 43.13 32% 55% 22% 22% 2.0% 42.61 43.48 43.07 HTD
22-Feb-13 IYR US:REIT 68.15 8% 44% 8% 15% 3.6% 66.55 68.92 68.13 Sell
22-Feb-13 DBE GLC:ENE 29.00 4% 40% 20% 31% 3.7% 28.54 29.59 29.71 Sell
22-Feb-13 ACWX GL:LCB 42.70 26% 33% -11% 21% 1.0% 43.15 43.57 42.76 Sell
22-Feb-13 IWL US:LC 34.47 6% 32% 18% 15% 2.7% 33.71 34.61 34.59 Sell
22-Feb-13 DBB GLC:BM 18.69 7% 9% -10% 27% 0.8% 19.27 19.42 19.39 Sell
22-Feb-13 AGG US:FI 110.31 -4% -7% -3% 3% -0.5% 110.47 109.94 110.11 Sell
22-Feb-13 TLH US:FIT 132.40 -6% -18% -6% 10% -1.6% 133.15 131.03 131.69 Sell
22-Feb-13 DBP GLC:PM 53.75 -14% -26% -58% 22% -1.9% 56.51 55.41 54.49 Sell
22-Feb-13 DBA GLC:AG 26.36 -21% -29% -55% 21% -0.9% 26.99 26.74 26.26 Sell


IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & LR63 > LR126 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 2 of 13 or 15%

ST Hold: Three ( 3 ), Holdings: IJR,IJH , Sell: - , Buy: SCZ
                             Last     6m      3m     1m   TTM   %Off_LR  LastPri  LastPri  LastPri           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm 63/126 LR126 LR63 LR21 Status: Held
22-Feb-13 IJR US:SCB 84.19 21% 72% 29% 19% 4.4% 81.92 85.48 84.70 BUY 29
22-Feb-13 IJH US:MCB 110.34 28% 72% 26% 17% 3.6% 108.20 112.14 111.24 BUY 24
22-Feb-13 SCZ GL:SC 43.13 32% 55% 22% 22% 2.0% 42.61 43.48 43.07 BUY
22-Feb-13 IVV US:LCB 152.63 12% 45% 21% 15% 3.1% 149.06 153.73 153.09 HTD
22-Feb-13 IYR US:REIT 68.15 8% 44% 8% 15% 3.6% 66.55 68.92 68.13 Sell
22-Feb-13 EFA GL:DM 58.49 29% 40% -11% 21% 1.3% 58.77 59.55 58.40 Sell
22-Feb-13 IDV GL:Div'd 34.51 22% 37% -18% 21% 1.6% 34.68 35.24 34.51 Sell
22-Feb-13 ONEQ US:LCB 124.10 3% 36% 12% 18% 3.6% 121.63 125.98 125.19 Sell
22-Feb-13 DVY US:Div'd 61.05 9% 36% 29% 11% 2.6% 59.44 60.98 61.09 Sell
22-Feb-13 EEM GL:EM 43.28 25% 22% -19% 23% 0.1% 44.67 44.74 43.61 Sell
22-Feb-13 HYG US:FIHY 93.75 4% 4% -13% 8% 0.1% 93.92 94.06 93.04 Sell
22-Feb-13 LQD US:FIIG 119.77 -2% -10% -3% 6% -1.1% 120.48 119.11 119.25 Sell
22-Feb-13 EMB GL:FIEM 118.46 0% -12% -21% 9% -1.6% 121.41 119.53 118.48 Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5.5 & Pri < LR42 )
COUNTIF( Sell ) 2 of 10 or 20% , 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
22-Feb-13 LQD US:FIIG 119.77 -10% -11% -3% 6% 9.0 0.6% 0.6% 0.4% HTD
22-Feb-13 EEM GL:EM 43.28 22% -7% -19% 23% 8.7 -3.1% -1.3% -0.6% SELL
22-Feb-13 HYG US:FIHY 93.75 4% -3% -13% 8% 8.7 -0.3% 0.1% 0.7% HTD
22-Feb-13 QQQ US:LCB 67.14 20% 24% 10% 19% 6.7 -1.1% -1.3% -0.7% Buy
22-Feb-13 EFA GL:DM 58.49 40% 26% -11% 21% 6.3 -1.8% -1.1% 0.2% SELL
22-Feb-13 IVW US:LCG 79.73 30% 40% 18% 14% 5.0 -0.6% -1.1% -0.3% Buy
22-Feb-13 IYR US:REIT 68.15 44% 41% 8% 15% 4.7 -1.2% -1.1% 0.0% Buy
22-Feb-13 IVV US:LCB 152.63 45% 55% 21% 15% 3.0 -0.8% -1.3% -0.3% Buy
22-Feb-13 IJH US:MCB 110.34 72% 80% 26% 17% 1.7 -1.7% -2.0% -0.8% Buy
22-Feb-13 IWM US:SCB 91.03 76% 72% 31% 20% 1.3 -1.7% -1.6% -0.5% Buy


Notes: Last modified 22-Feb-13
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) RRSx Ranks, where R6, R3, R2 or R1 are rankings of 6,3,2,1 monthly lookback periods.
5) LRxx is the last price on Linear Regression Trend line - TREND().
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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33029 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 3/1/2013 5:38 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 2
SOLD:
*-
BOUGHT:
MSCI EAFE Small Cap (SCZ)

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
28-Feb-13 FSEVX DJ M/S 43.12 7.1% 6.8% 4.8% 12.7% 7.9% 27 1 38 B&H 177
28-Feb-13 FUSVX SP500 53.82 5.8% 5.3% 4.2% 12.4% 10.3% 61 1 39 B&H 211
28-Feb-13 FSIVX EAFE 35.31 8.1% 5.3% 2.8% 8.9% 6.0% 29 4 39 B&H 198
28-Feb-13 FSRRX SRR 9.72 0.8% 0.1% -0.1% 4.4% 1.8% 33 24 39 B&H
28-Feb-13 FSITX USAB 11.83 -0.9% -1.1% -0.6% 3.7% 0.2% 7 31 49 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS & PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & RRS126 > 0 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: -
                          Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 5/100 Status: Held
1-Mar-13 PRF US:LC 67.53 23% 55% 16% 1.5 1.7% -1.2% 5.2% 6.0% BUY 155
1-Mar-13 PXF GL:DM 37.06 31% 31% 26% 2.0 -2.1% -2.6% 4.7% 4.1% BUY 133
1-Mar-13 VNQ US:RE 69.32 10% 40% 15% 2.5 2.0% -1.1% 4.0% 4.5% BUY 27
1-Mar-13 PGX US:PF 14.83 0% 4% 5% 4.0 0.3% -0.2% 0.2% 0.2% Sell
1-Mar-13 DBC GL:Com 26.94 -6% 3% 23% 5.0 -2.4% -3.7% 0.6% -2.5% Sell
1-Mar-13 TLT US:FIT 118.90 -12% -24% 17% 6.0 0.8% 2.8% -2.9% -3.1% 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 ) 3 of 11 or 27% , COUNTIF( Held ) 3 of 11 or 27%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , Sell: - , Buy: -
                            Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
1-Mar-13 IWM US:SC 90.89 23% 64% 5% 20% 88.99 89.06 -1.8% 90.74 BUY 46
1-Mar-13 IWC US:Micro 56.08 19% 61% 3% 22% 54.95 54.89 -1.8% 55.99 BUY 27
1-Mar-13 IWR US:MC 122.64 26% 61% 3% 17% 120.34 120.58 -1.4% 122.26 BUY 58
1-Mar-13 SCZ GL:SC 43.09 32% 47% 11% 22% 42.89 42.85 -1.1% 42.98 HTD
1-Mar-13 RWR US:REIT 76.35 9% 38% 7% 16% 74.68 74.95 -1.3% 76.31 Sell
1-Mar-13 IWL US:LC 34.53 7% 31% 7% 15% 34.26 33.84 -0.5% 34.48 Sell
1-Mar-13 ACWX GL:LCB 42.58 25% 22% -19% 21% 43.39 43.21 -1.7% 42.38 Sell
1-Mar-13 RWX GL:REIT 42.07 15% -1% 9% 16% 42.86 42.08 1.6% 41.60 Sell
1-Mar-13 AGG US:FI 110.66 -4% -5% 7% 3% 110.93 110.38 0.5% 110.62 Sell
1-Mar-13 TLH US:FIT 133.77 -6% -15% 21% 10% 133.24 132.99 1.9% 133.28 Sell
1-Mar-13 DGL GL:Gold 53.75 -17% -24% -60% 17% 58.20 55.72 -2.3% 53.56 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: IJR,IJH,SCZ , Sell: - , Buy: SCZ
                            Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
1-Mar-13 IJH US:MCB 109.79 29% 63% -2% 17% 108.47 108.97 -2.3% 110.14 HTD 33
1-Mar-13 IJR US:SCB 84.17 23% 62% 7% 19% 82.50 82.47 -1.6% 84.03 BUY 38
1-Mar-13 SCZ GL:SC 43.09 32% 47% 11% 22% 42.89 42.85 -1.1% 42.98 BUY 0
1-Mar-13 IVV US:LCB 152.88 13% 41% 7% 15% 151.02 149.81 -0.8% 152.42 HTD
1-Mar-13 IYR US:REIT 68.25 10% 38% 10% 15% 66.92 66.91 -1.1% 68.12 Sell
1-Mar-13 DVY US:Div'd 61.03 11% 34% 15% 11% 59.80 59.77 -0.3% 61.00 Sell
1-Mar-13 ONEQ US:LCB 124.63 4% 31% -3% 18% 123.89 122.13 -1.1% 124.41 Sell
1-Mar-13 EFA GL:DM 58.10 28% 28% -19% 21% 59.15 58.92 -1.9% 57.92 Sell
1-Mar-13 IDV GL:Div'd 34.23 21% 25% -25% 22% 35.08 34.73 -2.3% 34.15 Sell
1-Mar-13 EEM GL:EM 43.31 23% 9% -27% 23% 44.76 44.61 -2.0% 43.13 Sell
1-Mar-13 HYG US:FIHY 93.72 4% 2% 10% 8% 94.54 93.96 -0.2% 93.81 Sell
1-Mar-13 LQD US:FIIG 120.23 -3% -8% 15% 6% 121.75 120.27 0.8% 120.24 Sell
1-Mar-13 EMB GL:FIEM 118.25 -1% -15% -6% 9% 123.34 120.86 -0.5% 118.87 Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS42 > 0 ), SELL Short: IF( AvgRank >= 5.5 & RRS21 < 0 )
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
1-Mar-13 EEM GL:EM 43.31 9% -21% -27% 23% 9.3 -2.0% 0.1% 0.5% SELL
1-Mar-13 QQQ US:LCB 67.38 17% 7% -6% 19% 7.3 -0.6% -0.2% 0.3% Buy
1-Mar-13 EFA GL:DM 58.10 28% 9% -19% 21% 7.0 -1.9% -0.9% 0.3% Buy
1-Mar-13 HYG US:FIHY 93.72 2% -6% 10% 8% 6.7 -0.2% 0.3% -0.1% HTD
1-Mar-13 LQD US:FIIG 120.23 -8% -7% 15% 6% 6.7 0.8% 0.7% -0.1% HTD
1-Mar-13 IVW US:LCG 80.03 29% 23% 8% 14% 4.7 -0.4% -0.3% 0.3% Buy
1-Mar-13 IVV US:LCB 152.88 41% 34% 7% 15% 3.7 -0.9% -0.7% 0.2% Buy
1-Mar-13 IJH US:MCB 109.79 63% 46% -2% 17% 3.3 -2.3% -1.8% -0.3% Buy
1-Mar-13 IYR US:REIT 68.25 38% 24% 10% 15% 3.3 -1.1% -0.5% 0.1% Buy
1-Mar-13 IWM US:SCB 90.89 64% 40% 5% 20% 3.0 -1.8% -1.0% 0.1% Buy


Notes: Last modified 22-Feb-13
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) RRSx Ranks, where R6, R3, R2 or R1 are rankings of 6,3,2,1 monthly lookback periods.
5) LRxx is the last price on Linear Regression Trend line - TREND().
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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33030 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 3/8/2013 5:08 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 1
SOLD:
*-
BOUGHT:

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                 Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
FSEVX
DJ M/S 44.09 7.5% 6.7% 6.4% 16.3% 11.5% 28 0 39 B&H 184
FUSVX SP500 54.90 6.1% 5.4% 5.8% 15.2% 13.1% 62 0 40 B&H 218
FSIVX EAFE 35.87 8.0% 4.9% 3.8% 11.9% 9.0% 30 5 40 B&H 205
FSRRX SRR 9.74 0.9% 0.0% 0.2% 5.3% 2.7% 34 25 40 B&H
FSITX USAB 11.78 -0.9% -1.0% -0.6% 3.3% -0.2% 9 32 50 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS & PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & RRS126 > 0 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: -
                Last     6m      3m   TTM    R6,R3   LastPri  % Off  LastPri    PO`            Days
ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR189 LR126 LR63 30/100 Status: Held
PRF
US:LC 69.37 25% 56% 16% 1.5 67.03 3.4% 69.01 5.5% BUY 162
PXF GL:DM 37.74 29% 23% 26% 2.0 38.19 -0.6% 37.98 4.2% BUY 140
VNQ US:RE 69.97 14% 38% 15% 2.5 67.90 2.1% 70.43 4.1% BUY 34
PGX US:PF 14.87 0% 5% 5% 4.0 14.88 0.5% 14.88 0.2% Sell
DBC GL:Com 27.20 -7% 0% 23% 5.0 28.42 -1.1% 27.78 0.3% Sell
TLT US:FIT 114.75 -12% -22% 16% 6.0 117.72 -2.3% 115.40 -3.2% 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 ) 3 of 11 or 27% , COUNTIF( Held ) 3 of 11 or 27%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , Sell: - , Buy: -
                  Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
IWM
US:SC 93.73 26% 63% 28% 20% 89.58 89.97 0.6% 91.87 BUY 53
IWC US:Micro 58.27 21% 62% 42% 22% 55.28 55.44 1.1% 56.98 BUY 34
IWR US:MC 125.92 28% 61% 26% 17% 121.22 121.79 0.4% 123.83 BUY 65
SCZ GL:SC 43.36 31% 45% 21% 22% 43.16 43.11 -0.9% 43.35 HTD
IWL US:LC 35.29 8% 35% 28% 15% 34.36 34.05 0.8% 34.89 Sell
RWR US:REIT 76.92 12% 35% 13% 16% 74.87 75.58 -0.9% 76.81 Sell
ACWX GL:LCB 43.31 24% 18% 4% 21% 43.51 43.30 0.1% 42.78 Sell
RWX GL:REIT 42.47 14% 3% 41% 16% 42.89 42.17 1.9% 42.31 Sell
AGG US:FI 109.82 -4% -5% 1% 3% 110.80 110.25 -0.2% 110.47 Sell
TLH US:FIT 130.91 -6% -13% 4% 9% 133.01 132.76 -0.4% 132.88 Sell
DGL GL:Gold 53.85 -20% -27% -51% 18% 57.73 54.98 -1.1% 53.16 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: IJR,IJH,SCZ , Sell: - , Buy: -
                  Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
IJH
US:MCB 113.11 32% 61% 13% 17% 109.28 110.01 0.0% 111.02 BUY 40
IJR US:SCB 86.44 26% 61% 22% 19% 83.03 83.30 0.3% 84.81 BUY 45
SCZ GL:SC 43.36 31% 45% 21% 22% 43.16 43.11 -0.9% 43.35 BUY 7
IVV US:LCB 156.28 15% 43% 29% 15% 151.64 150.97 0.6% 154.35 HTD
DVY US:Div'd 61.98 13% 37% 28% 11% 60.03 60.20 0.4% 61.56 Sell
IYR US:REIT 68.82 13% 36% 19% 15% 67.09 67.46 -0.7% 68.69 Sell
ONEQ US:LCB 127.67 7% 33% 18% 18% 124.20 123.02 0.6% 125.78 Sell
EFA GL:DM 59.38 28% 25% 12% 21% 59.37 59.15 0.1% 58.64 Sell
IDV GL:Div'd 34.97 21% 21% 5% 22% 35.14 34.84 -0.1% 34.54 Sell
HYG US:FIHY 94.11 4% 1% 15% 8% 94.45 94.01 0.3% 94.12 Sell
EEM GL:EM 44.13 20% 0% -8% 23% 44.77 44.52 0.6% 43.32 Sell
LQD US:FIIG 118.78 -3% -8% 2% 6% 121.47 119.97 -0.3% 119.90 Sell
EMB GL:FIEM 118.30 -3% -16% -11% 9% 122.76 120.34 0.0% 118.56 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  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank LR63 LR42 LR21 Status: Held
EEM
GL:EM 44.13 0% -17% -8% 23% 9.7 43.85 2.0% 43.32 HTD
LQD US:FIIG 118.78 -8% -6% 2% 6% 9.3 119.19 -0.4% 119.90 SELL
HYG US:FIHY 94.11 1% -5% 15% 8% 7.0 93.87 0.7% 94.12 HTD
EFA GL:DM 59.38 25% 9% 12% 21% 7.0 59.31 1.1% 58.64 Buy
QQQ US:LCB 68.77 20% 12% 14% 19% 6.3 68.21 1.3% 67.91 Buy
IYR US:REIT 68.82 36% 20% 19% 15% 4.3 69.29 0.1% 68.69 Buy
IJH US:MCB 113.11 61% 40% 13% 17% 3.3 113.09 0.8% 111.02 Buy
IVW US:LCG 81.67 33% 27% 29% 14% 3.3 80.99 1.1% 80.76 Buy
IVV US:LCB 156.28 43% 34% 29% 15% 2.7 155.36 0.9% 154.35 Buy
IWM US:SCB 93.73 63% 40% 28% 20% 2.0 93.21 1.5% 91.87 Buy


Notes: Last modified 22-Feb-13
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) RRSx Ranks, where R6, R3, R2 or R1 are rankings of 6,3,2,1 monthly lookback periods.
5) LRxx is the last price on Linear Regression Trend line - TREND(). Final 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 33031 of 33167
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 3/15/2013 5:17 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 3
SOLD:
*-
BOUGHT:
*-

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA15 < SMA150 ), BUY: IF( SMA15 > SMA150 & SMA5 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                 Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
Ticker Index Price 40/200 15/150 5/100 NTR %GL LastChg H52w L52w Status: Held
FSEVX
DJ M/S 44.95 8.0% 7.1% 8.1% 15.4% 10.6% 29 0 40 B&H 191
FUSVX SP500 55.60 6.5% 5.9% 6.9% 13.6% 11.5% 63 0 41 B&H 225
FSIVX EAFE 36.22 7.9% 5.0% 4.5% 11.8% 8.9% 31 0 41 B&H 212
FSRRX SRR 9.78 0.9% 0.1% 0.4% 5.3% 2.7% 35 26 41 B&H
FSITX USAB 11.76 -1.0% -0.9% -0.9% 3.9% 0.4% 10 33 51 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS & PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & RRS126 > 0 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 3 of 6 or 50%

LT Hold: Three ( 3 ), Holdings: PRF,PXF,VNQ , Sell: - , Buy: -
                Last     6m      3m   TTM    R6,R3   LastPri  % Off  LastPri    PO`            Days
ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR189 LR126 LR63 30/100 Status: Held
PRF
US:LC 69.81 29% 58% 16% 1.5 67.56 2.9% 69.75 5.8% BUY 169
PXF GL:DM 37.85 29% 16% 26% 2.0 38.34 -0.7% 37.91 3.6% BUY 147
VNQ US:RE 70.44 17% 36% 15% 2.5 68.14 1.8% 70.70 4.0% BUY 41
PGX US:PF 14.80 0% 5% 5% 4.0 14.86 0.0% 14.88 0.3% Sell
DBC GL:Com 27.40 -6% -4% 23% 5.0 28.26 -0.3% 27.62 0.0% Sell
TLT US:FIT 115.76 -13% -19% 16% 6.0 117.07 -1.0% 115.29 -3.1% 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 ) 3 of 11 or 27% , COUNTIF( Held ) 3 of 11 or 27%

ST Hold: Three ( 3 ), Holdings: IWR,IWM,IWC , Sell: - , Buy: -
                  Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
IWM
US:SC 94.75 30% 62% 75% 20% 90.35 91.21 0.7% 93.92 BUY 60
IWR US:MC 126.85 32% 62% 71% 17% 122.27 123.31 0.1% 126.45 BUY 72
IWC US:Micro 58.69 26% 61% 90% 22% 55.73 56.18 0.8% 58.33 BUY 41
SCZ GL:SC 43.83 32% 41% 29% 22% 43.43 43.37 -0.2% 43.57 HTD
IWL US:LC 35.53 11% 39% 59% 15% 34.51 34.34 0.5% 35.45 Sell
RWR US:REIT 76.97 16% 31% 17% 15% 75.08 76.23 -1.0% 77.11 Sell
ACWX GL:LCB 43.39 23% 15% 26% 21% 43.67 43.44 0.2% 43.24 Sell
RWX GL:REIT 42.67 14% 7% 53% 16% 42.93 42.28 1.7% 42.69 Sell
AGG US:FI 110.21 -4% -4% -3% 3% 110.62 110.10 0.1% 110.16 Sell
TLH US:FIT 131.78 -7% -11% -10% 9% 132.62 132.35 0.4% 131.74 Sell
DGL GL:Gold 54.31 -22% -26% -13% 18% 57.31 54.45 0.4% 53.86 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: IJR,IJH,SCZ , Sell: SCZ , Buy: IVV
                  Last     6m      3m     1m   TTM   LastPri  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS126 RRS63 RRS21 GSDm LR189 LR126 LR63 LR21 Status: Held
IJH
US:MCB 114.22 36% 61% 57% 17% 110.25 111.41 0.1% 113.34 BUY 47
IJR US:SCB 87.46 30% 59% 64% 19% 83.70 84.41 0.6% 86.56 BUY 52
IVV US:LCB 157.37 18% 45% 63% 15% 152.50 152.45 0.4% 157.06 BUY
DVY US:Div'd 62.87 16% 42% 58% 11% 60.36 60.76 0.8% 62.51 HTD
SCZ GL:SC 43.83 32% 41% 29% 22% 43.43 43.37 -0.2% 43.57 Sell 14
IYR US:REIT 69.26 16% 34% 30% 15% 67.31 68.05 -0.4% 69.17 Sell
ONEQ US:LCB 127.50 10% 33% 48% 18% 124.63 124.15 -0.1% 127.77 Sell
EFA GL:DM 59.87 28% 23% 42% 21% 59.66 59.46 0.7% 59.49 Sell
IDV GL:Div'd 35.18 22% 19% 27% 21% 35.23 35.01 0.3% 34.93 Sell
HYG US:FIHY 94.38 4% 1% 12% 8% 94.42 94.11 0.5% 94.27 Sell
LQD US:FIIG 119.20 -5% -7% -7% 6% 121.12 119.58 0.1% 119.23 Sell
EEM GL:EM 42.77 16% -7% -14% 22% 44.77 44.39 -1.7% 43.20 Sell
EMB GL:FIEM 118.04 -5% -17% -11% 9% 122.18 119.78 0.2% 118.18 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  LastPri  % Off  LastPri           Days
ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank LR63 LR42 LR21 Status: Held
EEM
GL:EM 42.77 -7% -19% -14% 22% 10.0 43.51 -0.7% 43.20 SELL
LQD US:FIIG 119.20 -7% -5% -7% 6% 9.0 119.06 0.0% 119.23 HTD
HYG US:FIHY 94.38 1% -2% 12% 8% 8.0 93.91 0.8% 94.27 HTD
QQQ US:LCB 68.51 21% 16% 39% 18% 6.3 68.56 0.2% 68.80 Buy
EFA GL:DM 59.87 23% 10% 42% 21% 6.0 59.48 1.4% 59.49 Buy
IYR US:REIT 69.26 34% 17% 30% 15% 5.7 69.56 0.5% 69.17 Buy
IVW US:LCG 81.99 36% 30% 58% 14% 3.7 81.70 0.6% 82.02 Buy
IVV US:LCB 157.37 45% 36% 63% 15% 2.7 156.80 0.8% 157.06 Buy
IJH US:MCB 114.22 61% 38% 57% 17% 2.7 114.10 1.0% 113.34 Buy
IWM US:SCB 94.75 62% 43% 75% 20% 1.0 94.10 1.5% 93.92 Buy


Notes: Last modified 22-Feb-13
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) RRSx Ranks, where R6, R3, R2 or R1 are rankings of 6,3,2,1 monthly lookback periods.
5) LRxx is the last price on Linear Regression Trend line - TREND(). Final 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.
---------------------------------------------------------------------------------------

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post Back To Top
UnThreaded | Threaded | Whole Thread (13) | Ignore Thread Prev Thread | Next Thread
Advertisement