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Recommendations: 3
SOLD:
*-
BOUGHT:
Dow Jones 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
19-Jul-12 FBIDX USGB $ 12.02 1.3% 1.3% 0.8% 4.4% 7 0 51 BUY 50
19-Jul-12 FUSEX SP500 $ 48.80 2.9% -0.6% 2.1% 2.5% 6 15 41 SELL
19-Jul-12 FFNOX AA $ 28.02 1.2% -0.5% 2.3% -2.7% 7 15 41 SELL
19-Jul-12 FSEMX DJ M/S $ 38.45 0.9% -1.5% 2.1% -6.2% 7 52 41 SELL
19-Jul-12 FSIIX EAFE $ 31.01 -2.7% -2.8% 2.7% -16.1% 9 51 7 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
20-Jul-12 TLT US:FIT 130.06 28% 51% 24% 16% 1.0 3.4 2.2% 7.0% BUY 44
20-Jul-12 PGX US:PF 14.74 3% 13% 32% 7% 2.5 0.1 1.8% 2.1% BUY 17
20-Jul-12 VNQ US:RE 66.05 12% 9% 66% 23% 2.5 1.3 1.3% 4.3% BUY
20-Jul-12 PRF US:LC 57.87 -7% -7% 33% 18% 4.0 1.4 1.3% -0.8% Sell
20-Jul-12 DBC GL:Com 27.63 -27% -23% 49% 20% 5.0 1.0 8.9% -1.2% Sell
20-Jul-12 PXF GL:DM 30.76 -33% -28% 30% 27% 6.0 1.2 2.1% -5.4% 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
20-Jul-12 ITB US:HB 16.82 45% 55% 175% 38% 1.0 0.6 3.2% 11.0% BUY
20-Jul-12 IHE US:PH 87.98 20% 36% 94% 14% 2.0 1.6 2.5% 6.0% BUY 25
20-Jul-12 IDU US:UT 92.09 13% 26% 36% 9% 5.0 1.1 2.5% 4.0% Sell 17
20-Jul-12 IYH US:HC 80.10 11% 17% 61% 13% 5.0 1.2 1.8% 3.6% Sell
20-Jul-12 IYR US:RE 64.73 11% 10% 64% 22% 5.0 1.2 1.7% 4.2% Sell
20-Jul-12 IHF US:HCP 64.90 0% 12% 71% 23% 5.7 1.9 1.8% 2.1% Sell
20-Jul-12 IYC US:CS 81.40 11% 5% 34% 15% 7.0 1.6 0.1% 1.5% Sell
20-Jul-12 IYF US:FIN 54.44 -4% -13% 45% 26% 9.7 2.0 -0.5% -1.0% Sell
20-Jul-12 IYY US:TM 68.26 -5% -7% 29% 18% 10.7 1.6 1.3% -0.6% Sell
20-Jul-12 IYK US:CG 72.51 1% -8% 14% 11% 11.0 1.4 0.3% -0.2% Sell
20-Jul-12 IYT US:TA 90.68 -7% -3% 20% 23% 11.7 1.6 -0.3% -0.3% Sell
20-Jul-12 SHY US:FIT 84.53 0% 0% 0% 0% 12.0 0.1 0.1% 0.1% Sell
20-Jul-12 IYE US:EN 39.69 -27% -16% 41% 27% 13.0 1.3 7.6% -2.0% Sell
20-Jul-12 ITA US:AD 63.51 -15% -16% 24% 20% 13.7 1.6 2.0% -2.2% Sell
20-Jul-12 IAK US:INS 29.66 -11% -20% 22% 24% 14.3 0.8 -0.7% -2.4% Sell
20-Jul-12 IEO US:OGEP 59.86 -40% -26% 48% 38% 14.3 3.0 9.8% -4.1% Sell
20-Jul-12 IYJ US:IND 67.17 -14% -17% 13% 22% 15.3 1.6 1.4% -2.6% Sell
20-Jul-12 IYW US:TECH 70.79 -10% -23% 8% 22% 16.0 2.9 -0.2% -4.2% Sell
20-Jul-12 IYM US:BM 64.14 -29% -28% 10% 31% 18.0 1.7 3.3% -4.8% Sell
20-Jul-12 IEZ US:OES 49.54 -43% -40% 6% 40% 19.7 2.0 11.4% -5.7% 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 15 or 13% , COUNTIF( Held ) 1 of 15 or 7%
Hold: Three ( 3 ), ST Holdings: IYR , Sell: - , Buy: IYR, AGG
(R3) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
20-Jul-12 DBA GLC:AG 30.32 -11% 48% 175% 19% 1.0 1.1 11.8% 7.3% Sell
20-Jul-12 IYR US:REIT 64.73 11% 10% 64% 22% 2.0 1.2 1.7% 4.2% BUY 1
20-Jul-12 AGG US:FIT 112.42 3% 6% 7% 2% 3.0 0.5 0.8% 1.2% BUY
20-Jul-12 DVY US:DIV 57.37 4% 5% 33% 12% 4.0 0.8 2.4% 1.9% HTD
20-Jul-12 SHY US:FIT 84.53 0% 0% 0% 0% 5.0 0.1 0.1% 0.1% Sell
20-Jul-12 IWN US:SCV 69.91 -11% -1% 49% 24% 6.0 1.7 2.0% 0.4% Sell
20-Jul-12 IWO US:SCG 90.67 -12% -1% 54% 25% 7.0 2.6 2.1% 0.1% Sell
20-Jul-12 IWD US:LCV 68.12 -5% -3% 38% 18% 8.0 1.5 1.7% -0.1% Sell
20-Jul-12 IWF US:LCG 63.49 -4% -12% 19% 18% 9.0 1.6 0.7% -1.3% Sell
20-Jul-12 DBP GLC:PM 53.84 -26% -18% -8% 26% 10.0 1.2 2.1% -4.2% Sell
20-Jul-12 ACWX GL:LCB 36.61 -25% -26% 25% 24% 11.0 1.2 1.7% -4.2% Sell
20-Jul-12 EEM GL:EM 38.59 -30% -27% 27% 30% 12.0 1.3 2.9% -4.9% Sell
20-Jul-12 SCZ GL:SC 35.42 -24% -34% 14% 24% 13.0 1.3 0.5% -5.1% Sell
20-Jul-12 DBB GLC:BM 17.88 -33% -36% -15% 25% 14.0 0.4 1.6% -5.9% Sell
20-Jul-12 DBE GLC:ENE 27.18 -36% -49% 4% 24% 15.0 1.5 8.2% -6.2% 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 ) 1 of 11 or 9% , COUNTIF( Held ) 1 of 11 or 9%
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
20-Jul-12 RYU US:SU 58.56 12% 34% 53% 10% 1.0 0.9 3.3% 4.7% BUY 17
20-Jul-12 RHS US:SS 66.45 10% 10% 30% 10% 2.7 0.8 -1.0% 1.8% HTD
20-Jul-12 RYH US:SH 72.96 3% 0% 29% 16% 4.3 1.3 -0.4% 0.5% Sell
20-Jul-12 RYF US:SF 26.23 -9% -15% 42% 27% 4.7 0.9 0.1% -1.3% Sell
20-Jul-12 TIP US:FIT 121.47 5% 5% 2% 4% 5.3 0.7 0.6% 1.3% Sell
20-Jul-12 RSP US:LC 49.23 -10% -13% 24% 20% 6.3 1.2 1.4% -1.6% Sell
20-Jul-12 RCD US:SD 52.33 -3% -16% 16% 22% 6.7 1.5 0.3% -1.7% Sell
20-Jul-12 RTM US:SM 59.01 -21% -22% 27% 27% 8.0 1.7 3.7% -2.7% Sell
20-Jul-12 RYE US:SE 59.65 -35% -27% 34% 35% 8.0 2.4 8.3% -3.8% Sell
20-Jul-12 RGI US:SI 53.65 -18% -21% 6% 22% 8.3 1.2 1.9% -3.4% Sell
20-Jul-12 RYT US:ST 50.96 -25% -33% -4% 24% 10.7 1.9 0.3% -7.1% 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: EMB
(R3) LR126 LR126 (10,100) Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
20-Jul-12 EMB GL:FIEM 117.98 6% 15% 56% 9% 1.0 1.6 2.9% 3.3% BUY
20-Jul-12 LQD US:FIIG 120.70 4% 12% 27% 6% 2.0 1.0 2.6% 2.6% BUY 17
20-Jul-12 IYR US:REIT 64.73 11% 10% 64% 22% 3.0 1.2 1.7% 4.2% BUY 11
20-Jul-12 DVY US:Div'd 57.37 4% 5% 33% 12% 4.0 0.8 2.4% 1.9% HTD
20-Jul-12 HYG US:FIHY 91.35 -3% 4% 34% 11% 5.0 1.1 1.9% 1.2% Sell
20-Jul-12 IJR US:SCB 73.13 -11% -5% 43% 23% 6.0 1.8 2.2% 0.1% Sell
20-Jul-12 IVV US:LCB 137.01 -3% -6% 31% 17% 7.0 3.2 1.3% -0.4% Sell
20-Jul-12 IJH US:MCB 93.95 -11% -17% 17% 22% 8.0 2.4 1.1% -1.7% Sell
20-Jul-12 IDV GL:Div'd 29.90 -22% -18% 52% 23% 9.0 1.0 3.3% -2.3% Sell
20-Jul-12 EFA GL:DM 49.15 -24% -25% 25% 23% 10.0 1.6 1.6% -3.9% Sell
20-Jul-12 EEM GL:EM 38.59 -30% -27% 27% 30% 11.0 1.3 2.9% -4.9% Sell
20-Jul-12 SCZ GL:SC 35.42 -24% -34% 14% 24% 12.0 1.3 0.5% -5.1% 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
20-Jul-12 EEM GL:EM 38.59 -27% 27% 45% 30% 8.7 1.4 3.0% 1.3% Buy
20-Jul-12 EFA GL:DM 49.15 -25% 25% 51% 23% 7.7 1.6 2.5% 1.4% Buy
20-Jul-12 QQQ US:LCB 64.24 -10% 27% 29% 19% 7.7 1.5 2.5% 1.8% Buy
20-Jul-12 IJH US:MCB 93.95 -17% 17% 63% 22% 6.7 2.3 2.4% 1.5% Buy
20-Jul-12 IVV US:LCB 137.01 -6% 31% 48% 17% 5.7 3.0 2.2% 2.4% Buy
20-Jul-12 IVW US:LCG 74.20 -4% 30% 56% 16% 4.7 1.5 2.4% 2.5% Buy
20-Jul-12 LQD US:FIIG 120.70 12% 27% 51% 6% 4.3 0.8 1.6% 2.5% Buy
20-Jul-12 HYG US:FIHY 91.35 4% 34% 22% 11% 5.3 1.4 1.2% 1.9% Buy
20-Jul-12 IWM US:SCB 78.93 -1% 51% 61% 24% 3.0 2.2 1.2% 2.7% Buy
20-Jul-12 IYR US:REIT 64.73 10% 64% 126% 22% 1.3 1.6 1.8% 4.3% 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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