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Recommendations: 3
SOLD:
*-
BOUGHT:
DJ US Real Estate (IYR)
Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA20 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 1 of 5 or 20% , COUNTIF( Held ) 1 of 5 or 20%
Hold: Three ( 3 ), LT Holdings: FBIDX , Sell: - , Buy: -
(20,200) (10,100) (5,50) TTM Weeks Weeks Weeks Days
EndD Ticker Index Price Slow_PO Int_PO Fast_PO Gain (loss) Last chg 52w Hi 52w Lo Status: Held
12-Jul-12 FBIDX USGB $ 12.01 1.1% 1.0% 0.7% 4.1% 6 0 50 BUY 43
12-Jul-12 FUSEX SP500 $ 47.31 3.1% -0.5% 0.5% 2.1% 5 14 40 SELL
12-Jul-12 FFNOX AA $ 27.30 1.0% -0.6% 1.1% -3.1% 6 14 40 SELL
12-Jul-12 FSEMX DJ M/S $ 37.68 0.7% -1.6% 1.3% -6.0% 6 51 40 SELL
12-Jul-12 FSIIX EAFE $ 29.96 -3.2% -2.9% 1.2% -16.7% 8 50 6 SELL
Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( Rank >= 4.0 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Rank < 3.0 & Price > LR126 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 2 of 6 or 33%
Hold: Two ( 2 ), LT Holdings: TLT,PGX , Sell: - , Buy: -
(R6,R3) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank STEYX % off SMA_PO Status: Held
13-Jul-12 TLT US:FIT 129.17 23% 54% 24% 17% 1.0 3.6 2.7% 6.2% BUY 37
13-Jul-12 PGX US:PF 14.63 3% 9% 33% 8% 2.5 0.1 1.3% 2.0% BUY 10
13-Jul-12 VNQ US:RE 66.73 13% 3% 48% 24% 2.5 1.3 2.8% 4.2% BUY
13-Jul-12 PRF US:LC 57.94 -6% -14% 26% 20% 4.0 1.5 1.2% -0.7% Sell
13-Jul-12 DBC GL:Com 26.70 -27% -38% -3% 19% 5.5 1.0 5.2% -3.9% Sell
13-Jul-12 PXF GL:DM 31.28 -31% -37% 20% 27% 5.5 1.4 2.5% -5.3% Sell
Taxable_Acct. - DowJones Sectors(Rated>7): RRS
SELL: IF( AvgRank >= 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 2 of 20 or 10% , COUNTIF( Held ) 2 of 20 or 10%
Hold: Three ( 3 ), ST Holdings: IHE,IDU , Sell: IDU , Buy: -
(R6,R3,R2) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank STEYX % off SMA_PO Status: Held
13-Jul-12 ITB US:HB 17.05 43% 53% 131% 42% 1.0 0.6 5.9% 12.6% BUY
13-Jul-12 IHE US:PH 87.58 18% 27% 72% 15% 2.0 1.4 3.0% 5.7% BUY 18
13-Jul-12 IYR US:RE 65.21 11% 4% 47% 23% 4.3 1.2 2.9% 4.0% HTD
13-Jul-12 IDU US:UT 91.40 11% 25% 33% 10% 5.0 1.0 2.5% 3.5% Sell 10
13-Jul-12 IYH US:HC 79.94 10% 9% 45% 15% 5.0 1.1 2.2% 3.2% Sell
13-Jul-12 IYC US:CS 81.31 13% -1% 32% 17% 6.0 1.7 0.0% 1.8% Sell
13-Jul-12 IHF US:HCP 65.75 0% -5% 67% 25% 6.7 1.9 3.4% 1.2% Sell
13-Jul-12 IYF US:FIN 55.54 -1% -22% 35% 27% 9.3 2.1 1.1% -0.8% Sell
13-Jul-12 IYT US:TA 92.93 -7% -8% 24% 25% 10.3 1.6 2.1% 0.5% Sell
13-Jul-12 IYY US:TM 67.98 -3% -14% 22% 19% 10.7 1.8 0.6% -0.6% Sell
13-Jul-12 SHY US:FIT 84.46 0% 0% 0% 1% 11.0 0.1 0.1% 0.0% Sell
13-Jul-12 IYK US:CG 72.62 3% -13% 6% 12% 11.3 1.5 0.3% -0.4% Sell
13-Jul-12 ITA US:AD 63.10 -13% -22% 17% 22% 13.3 1.7 0.9% -2.0% Sell
13-Jul-12 IAK US:INS 30.23 -9% -25% 15% 26% 14.3 0.9 0.6% -2.0% Sell
13-Jul-12 IYJ US:IND 66.73 -12% -23% 9% 25% 15.0 1.7 0.2% -2.2% Sell
13-Jul-12 IYE US:EN 38.58 -27% -27% 17% 28% 15.3 1.3 4.4% -3.5% Sell
13-Jul-12 IYW US:TECH 69.58 -5% -29% 5% 22% 15.7 3.2 -3.0% -3.6% Sell
13-Jul-12 IEO US:OGEP 58.04 -39% -37% 17% 39% 16.7 3.1 5.7% -5.9% Sell
13-Jul-12 IYM US:BM 63.39 -28% -35% 10% 33% 17.0 1.9 1.3% -4.6% Sell
13-Jul-12 IEZ US:OES 46.96 -43% -49% -19% 41% 20.0 2.1 4.7% -8.1% Sell
IRA_Acct. - FIDO_Balanced Trends and Ranks: RRS
SELL: IF( Rank >= 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 2 of 14 or 14% , COUNTIF( Held ) 0 of 14 or 0%
Hold: Three ( 3 ), ST Holdings: - , Sell: - , Buy: AGG
(R3) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
13-Jul-12 DBA GLC:AG 29.43 -15% 22% 96% 17% 1.0 0.9 10.0% 5.3% Sell
13-Jul-12 AGG US:FIT 112.08 3% 5% 5% 2% 2.0 0.5 0.7% 0.9% BUY
13-Jul-12 IYR US:REIT 65.21 11% 4% 47% 23% 3.0 1.2 2.9% 4.0% BUY
13-Jul-12 SHY US:FIT 84.46 0% 0% 0% 1% 4.0 0.1 0.1% 0.0% Sell
13-Jul-12 IWN US:SCV 70.64 -9% -9% 40% 26% 5.0 1.8 2.8% 0.8% Sell
13-Jul-12 IWO US:SCG 91.45 -11% -10% 46% 28% 6.0 2.8 2.7% 0.6% Sell
13-Jul-12 IWD US:LCV 67.98 -4% -10% 31% 20% 7.0 1.6 1.5% -0.2% Sell
13-Jul-12 IWF US:LCG 63.00 -1% -18% 13% 19% 8.0 1.8 -0.5% -1.3% Sell
13-Jul-12 DBP GLC:PM 53.94 -24% -22% 0% 27% 9.0 1.4 1.3% -4.3% Sell
13-Jul-12 ACWX GL:LCB 36.70 -22% -34% 16% 24% 10.0 1.4 1.0% -4.2% Sell
13-Jul-12 EEM GL:EM 38.49 -27% -36% 19% 31% 11.0 1.5 1.5% -4.9% Sell
13-Jul-12 DBB GLC:BM 18.13 -32% -39% -25% 25% 12.0 0.4 2.0% -6.4% Sell
13-Jul-12 SCZ GL:SC 35.52 -20% -41% 4% 25% 13.0 1.5 -0.4% -4.9% Sell
13-Jul-12 DBE GLC:ENE 25.99 -35% -60% -40% 23% 14.0 1.6 2.6% -9.4% Sell
IRA_Acct. - S&P Equal Weight Sector ETF's: RRS
SELL: IF(AvgRank >= 3.0 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( AvgRank < 2.0 & Price > LR126 )
COUNTIF( Buy ) 2 of 12 or 17% , COUNTIF( Held ) 1 of 12 or 8%
Hold: One ( 1 ), ST Holdings: RYU , Sell: - , Buy: -
(R6,R3,R2) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank STEYX % off SMA_PO Status: Held
13-Jul-12 RYU US:SU 57.89 10% 30% 49% 11% 1.3 0.8 3.0% 4.1% BUY 10
13-Jul-12 RHS US:SS 67.44 11% 7% 29% 11% 1.7 0.8 0.6% 2.9% BUY
13-Jul-12 RYH US:SH 73.57 4% -5% 23% 18% 4.0 1.4 0.3% 0.7% Sell
13-Jul-12 TIP US:FIT 120.97 5% 5% -1% 4% 5.7 0.7 0.3% 0.9% Sell
13-Jul-12 SDY US:Div'd 55.57 -3% -8% 15% 14% 6.0 0.8 0.8% -0.3% Sell
13-Jul-12 RYF US:SF 26.31 -7% -24% 26% 29% 6.0 1.0 0.0% -1.5% Sell
13-Jul-12 RSP US:LC 49.03 -9% -19% 17% 22% 6.7 1.3 0.6% -1.5% Sell
13-Jul-12 RCD US:SD 51.75 -1% -22% 9% 24% 6.7 1.7 -1.3% -1.5% Sell
13-Jul-12 RTM US:SM 58.32 -20% -32% 20% 29% 8.3 1.7 2.1% -3.0% Sell
13-Jul-12 RGI US:SI 52.93 -17% -27% 1% 25% 9.3 1.4 0.0% -3.4% Sell
13-Jul-12 RYE US:SE 57.88 -35% -37% 7% 36% 10.7 2.5 4.4% -5.2% Sell
13-Jul-12 RYT US:ST 49.72 -21% -38% -4% 26% 11.7 2.2 -3.5% -6.0% Sell
FIDO_Free Trends and Ranks: RRS
SELL: IF( Rank >= 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 3 of 12 or 25% , COUNTIF( Held ) 2 of 12 or 17%
Hold: Three ( 3 ), ST Holdings: LQD,IYR , Sell: - , Buy: IYR
(R3) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
13-Jul-12 LQD US:FIIG 119.41 3% 8% 18% 6% 1.0 0.9 1.9% 1.8% BUY 10
13-Jul-12 EMB GL:FIEM 117.14 6% 7% 44% 9% 2.0 1.5 2.6% 2.3% BUY
13-Jul-12 IYR US:REIT 65.21 11% 4% 47% 23% 3.0 1.2 2.9% 4.0% BUY 4
13-Jul-12 HYG US:FIHY 91.09 -3% 0% 29% 11% 4.0 1.1 1.7% 1.0% Sell
13-Jul-12 DVY US:Div'd 56.78 3% -1% 24% 13% 5.0 0.7 1.7% 1.4% Sell
13-Jul-12 IVV US:LCB 136.30 -2% -13% 23% 19% 6.0 3.4 0.6% -0.5% Sell
13-Jul-12 IJR US:SCB 73.59 -9% -13% 29% 25% 7.0 2.0 2.6% 0.3% Sell
13-Jul-12 IJH US:MCB 94.15 -9% -23% 8% 24% 8.0 2.7 0.7% -1.5% Sell
13-Jul-12 IDV GL:Div'd 29.92 -21% -28% 31% 23% 9.0 1.1 2.9% -2.8% Sell
13-Jul-12 EFA GL:DM 49.35 -21% -33% 15% 23% 10.0 1.9 1.1% -4.0% Sell
13-Jul-12 EEM GL:EM 38.49 -27% -36% 19% 31% 11.0 1.5 1.5% -4.9% Sell
13-Jul-12 SCZ GL:SC 35.52 -20% -41% 4% 25% 12.0 1.5 -0.4% -4.9% Sell
Shortables Trends and Ranks: RRS
BUY to Cover: IF( Avg Rank < 4 or SMA5 > SMA50 ), SELL Short: IF( Avg Rank >= 5 & Price < LR63 )
COUNTIF( Sell ) 0 of 10 or 0% , COUNTIF( Held ) 0 of 10 or 0%
ST Holdings: - , Sell: - , Buy: -
(R3,R2,R1) LR63 LR63 (5,50) Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank STEYX % off SMA_PO Status: Held
13-Jul-12 EEM GL:EM 38.49 -36% 19% -4% 31% 9.0 1.4 3.8% -0.6% HTD
13-Jul-12 EFA GL:DM 49.35 -33% 15% 8% 23% 9.0 1.6 3.8% -0.2% HTD
13-Jul-12 QQQ US:LCB 63.38 -18% 21% 11% 20% 7.0 1.5 2.0% 0.3% Buy
13-Jul-12 IJH US:MCB 94.15 -23% 8% 45% 24% 7.0 2.2 3.3% 0.4% Buy
13-Jul-12 IVV US:LCB 136.30 -13% 23% 14% 19% 5.7 2.8 2.6% 0.7% Buy
13-Jul-12 IVW US:LCG 73.54 -10% 22% 19% 17% 5.3 1.4 2.4% 1.0% Buy
13-Jul-12 LQD US:FIIG 119.41 8% 18% 35% 6% 4.3 0.7 1.3% 1.8% Buy
13-Jul-12 HYG US:FIHY 91.09 0% 29% 31% 11% 3.7 1.3 1.5% 1.6% Buy
13-Jul-12 IWM US:SCB 79.77 -9% 42% 80% 27% 2.7 2.1 3.2% 2.4% Buy
13-Jul-12 IYR US:REIT 65.21 4% 47% 96% 23% 1.3 1.5 3.7% 3.4% Buy
Notes: Last modified 6/1/2012.
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). Buy/Sell price target determined by LRxx
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) Standard Error (STEYX) included as a tie breaker. The larger the error the less reliable the trend.
This can be caused by the changes in the prevailing trend within the specified number of periods.
9) Historic prices are Non-dividend adjusted values.
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