Message Font: Serif | Sans-Serif
 
UnThreaded | Threaded | Whole Thread (14) | Ignore Thread Prev Thread | Prev | Next | 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 33140  
Subject: Re: ETF Trends & Ranks 2012Q3 Date: 8/17/2012 5:38 PM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 2
SOLD:
iShares Barclays 20+ Year Treas Bond (TLT)
iShares DowJones US PHARMACEUTICALS (IHE)

BOUGHT:
Fidelity Spartan International Index Inv

Taxable_Acct. - BroadMarket_Asset_Allocation: SMA_PO
SELL: IF( SMA20 < SMA200 & SMA10 < SMA100 ), BUY: IF( SMA5 > SMA50 & SMA10 > SMA100 )
COUNTIF( Buy ) 4 of 5 or 80% , COUNTIF( Held ) 2 of 5 or 40%

Hold: Three ( 3 ), LT Holdings: FUSEX,FSIIX , Sell: - , Buy: FSIIX, FSEMX
                            Last   (20,200)  (10,100)  (5,50)    TTM      TTM       Weeks   Weeks   Weeks            Days
EndD Ticker Index Price Slow_PO Int_PO Fast_PO NTR Gain(%GL) Last chg 52w Hi 52w Lo Status: Held
16-Aug-12 FUSEX SP500 50.29 4.0% 2.8% 3.5% 25.9% 24.2% 2 19 45 BUY 17
16-Aug-12 FSEMX DJ M/S 39.29 0.7% 0.6% 2.7% 20.4% 19.3% 0 20 45 BUY
16-Aug-12 FFNOX AA 28.72 2.6% 2.6% 3.3% 16.5% 14.5% 2 19 45 BUY
16-Aug-12 FSIIX EAFE 32.13 0.0% 2.7% 4.7% 4.9% 1.8% 1 42 11 BUY 4
16-Aug-12 FBIDX USGB 11.90 1.5% 0.7% -0.2% 3.1% 0.7% 2 3 42 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS
SELL: IF( AvgRank >= 4.0 or RRS126 < 0 ), BUY: IF( AvgRank < 3.0 & SMA10 > SMA100 )
COUNTIF( Buy ) 1 of 6 or 17% , COUNTIF( Held ) 1 of 6 or 17%

Hold: Two ( 2 ), LT Holdings: VNQ , Sell: TLT , Buy: -
                           Last     6m      3m     2m   TTM   (R6,R3)    10m   % off  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat LR126 SMA_PO Status: Held
17-Aug-12 VNQ US:RE 66.33 15% 38% 23% 21% 2.0 12.8 0.1% 2.4% BUY 11
17-Aug-12 DBC GL:Com 28.25 -21% 68% 135% 21% 3.0 -2.1 9.6% 4.3% Sell
17-Aug-12 TLT US:FIT 121.60 34% 6% -8% 15% 3.5 5.5 -6.6% 1.0% Sell
17-Aug-12 PRF US:LC 60.54 -6% 35% 41% 15% 3.5 4.8 5.4% 3.2% Sell
17-Aug-12 PGX US:PF 14.70 6% 22% 14% 7% 4.0 10.4 0.4% 2.2% Sell
17-Aug-12 PXF GL:DM 33.20 -30% 35% 46% 24% 5.0 -2.8 11.0% 2.1% Sell


Taxable_Acct. - DowJones Sectors(Rated>7): RRS
SELL: IF( AvgRank >= 5 or RRS126 < 0 ), BUY: IF( AvgRank < 4 & SMA10 > SMA100 )
COUNTIF( Buy ) 1 of 20 or 5% , COUNTIF( Held ) 1 of 20 or 5%

Hold: Three ( 3 ), ST Holdings: ITB , Sell: IHE , Buy: -
                           Last     6m      3m     2m   TTM   (R6,R3,R2)    10m   % off  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat LR126 SMA_PO Status: Held
17-Aug-12 ITB US:HB 18.02 51% 104% 67% 29% 2.0 19.0 6.2% 10.2% BUY 17
17-Aug-12 IEZ US:OES 53.43 -30% 78% 251% 38% 7.3 -4.1 15.6% 6.9% Sell
17-Aug-12 IYR US:RE 65.05 14% 39% 28% 20% 7.7 12.7 0.4% 2.7% Sell
17-Aug-12 IHE US:PH 86.33 20% 43% 11% 11% 8.0 17.8 -0.8% 3.0% Sell
17-Aug-12 IYE US:EN 41.66 -18% 68% 123% 25% 8.0 -1.6 10.1% 5.9% Sell
17-Aug-12 IYH US:HC 80.84 13% 40% 27% 11% 8.3 14.7 1.1% 3.7% Sell
17-Aug-12 IYY US:TM 71.15 -5% 33% 43% 15% 8.3 1.6 5.1% 3.2% Sell
17-Aug-12 IEO US:OGEP 62.96 -32% 69% 129% 35% 8.3 -3.6 13.6% 4.9% Sell
17-Aug-12 IYC US:CS 83.95 8% 29% 27% 12% 9.7 12.9 2.8% 3.2% Sell
17-Aug-12 IDU US:UT 90.89 18% 27% 24% 8% 10.0 8.6 -0.9% 3.2% Sell
17-Aug-12 IYF US:FIN 56.81 -8% 35% 28% 22% 10.3 5.8 4.5% 1.7% Sell
17-Aug-12 IYK US:CG 74.97 -1% 20% 36% 10% 10.7 7.7 3.7% 2.1% Sell
17-Aug-12 IYW US:TECH 76.15 -15% 27% 50% 19% 10.7 4.4 8.7% 2.8% Sell
17-Aug-12 IYJ US:IND 70.90 -12% 26% 44% 18% 10.7 3.6 6.6% 2.7% Sell
17-Aug-12 IAK US:INS 31.51 -13% 23% 30% 21% 13.0 3.3 6.3% 1.9% Sell
17-Aug-12 IHF US:HCP 65.37 -5% 25% -1% 19% 14.3 6.0 3.6% 0.8% Sell
17-Aug-12 IYM US:BM 66.89 -24% 17% 30% 28% 15.0 -1.8 7.8% 1.0% Sell
17-Aug-12 SHY US:FIT 84.39 0% 0% 1% 0% 15.0 -2.6 -0.1% 0.0% Sell
17-Aug-12 ITA US:AD 65.39 -15% 19% 19% 16% 16.0 2.5 5.6% 1.0% Sell
17-Aug-12 IYT US:TA 92.77 -6% 3% -9% 18% 16.7 2.7 2.5% -0.7% Sell


IRA_Acct. - FIDO_Balanced Trends and Ranks: RRS
SELL: IF( AvgRank >= 5 or RRS126 < 0 ), BUY: IF( AvgRank < 4 & SMA10 > SMA100 )
COUNTIF( Buy ) 2 of 15 or 13% , COUNTIF( Held ) 3 of 15 or 20%

Hold: Three ( 3 ), ST Holdings: IYR,DVY,DBA , Sell: DVY , Buy: -
                            Last     6m      3m     2m   TTM   (R6,R3)    10m   % off  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat LR126 SMA_PO Status: Held
17-Aug-12 DBA GLC:AG 29.76 8% 109% 82% 19% 1.5 -2.3 4.0% 6.8% BUY 9
17-Aug-12 IYR US:REIT 65.05 14% 39% 28% 20% 2.0 12.7 0.4% 2.7% BUY 28
17-Aug-12 DVY US:DIV 57.93 5% 29% 34% 10% 5.0 10.2 2.2% 2.8% Sell 22
17-Aug-12 IWD US:LCV 70.92 -3% 39% 44% 15% 5.0 5.9 4.9% 3.8% Sell
17-Aug-12 AGG US:FIT 111.23 5% 5% 3% 2% 8.0 9.1 -0.8% 0.4% Sell
17-Aug-12 IWF US:LCG 66.10 -6% 26% 39% 15% 8.5 6.2 4.9% 2.5% Sell
17-Aug-12 IWN US:SCV 72.44 -8% 27% 15% 19% 8.5 3.8 5.4% 1.8% Sell
17-Aug-12 IWO US:SCG 93.68 -11% 27% 12% 21% 8.5 3.4 5.7% 1.6% Sell
17-Aug-12 ACWX GL:LCB 38.79 -23% 32% 49% 22% 8.5 -1.1 8.2% 2.2% Sell
17-Aug-12 DBE GLC:ENE 28.57 -34% 54% 202% 25% 8.5 -2.8 14.3% 3.5% Sell
17-Aug-12 EEM GL:EM 40.47 -26% 33% 49% 28% 9.0 -0.9 8.1% 1.9% Sell
17-Aug-12 SHY US:FIT 84.39 0% 0% 1% 0% 9.5 -2.6 -0.1% 0.0% Sell
17-Aug-12 SCZ GL:SC 37.29 -25% 19% 29% 22% 11.5 -0.4 7.7% 0.2% Sell
17-Aug-12 DBP GLC:PM 54.96 -22% 1% 14% 24% 11.5 -6.4 4.3% -0.7% Sell
17-Aug-12 DBB GLC:BM 17.53 -34% -18% -11% 24% 14.5 -4.0 2.6% -5.0% Sell


IRA_Acct. - S&P Equal Weight Sector ETF's: RRS
SELL: IF(AvgRank >= 3.0 or RRS126 < 0 ), BUY: IF( AvgRank < 2.0 & SMA10 > SMA100 )
COUNTIF( Buy ) 1 of 11 or 9% , COUNTIF( Held ) 1 of 11 or 9%

Hold: One ( 1 ), ST Holdings: RYU , Sell: - , Buy: -
                           Last     6m      3m     2m   TTM   (R6,R3,R2)    10m   % off  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat LR126 SMA_PO Status: Held
17-Aug-12 RYU US:SU 60.08 23% 56% 67% 9% 1.7 7.4 2.1% 6.8% BUY 44
17-Aug-12 RYE US:SE 63.68 -25% 72% 145% 33% 4.3 -3.7 12.6% 6.1% Sell
17-Aug-12 RSP US:LC 51.65 -9% 30% 42% 17% 5.0 3.9 6.0% 3.0% Sell
17-Aug-12 RYF US:SF 27.52 -12% 34% 33% 22% 5.7 4.7 5.7% 1.9% Sell
17-Aug-12 RYT US:ST 56.16 -24% 28% 61% 22% 6.0 0.9 11.1% 3.2% Sell
17-Aug-12 RHS US:SS 68.61 8% 20% 12% 8% 6.3 15.1 1.9% 2.2% Sell
17-Aug-12 RGI US:SI 56.81 -15% 26% 54% 18% 6.3 2.2 7.4% 2.7% Sell
17-Aug-12 RTM US:SM 60.62 -18% 26% 34% 24% 7.0 1.2 6.6% 1.5% Sell
17-Aug-12 RCD US:SD 54.17 -9% 15% 21% 18% 7.3 5.5 5.2% 1.3% Sell
17-Aug-12 RYH US:SH 73.97 0% 15% 6% 14% 8.0 8.2 1.4% 1.1% Sell
17-Aug-12 TIP US:FIT 118.85 6% 1% 2% 4% 8.3 13.2 -1.9% 0.1% Sell


FIDO_Free Trends and Ranks: RRS
SELL: IF( AvgRank >= 5 or RRS126 < 0 ), BUY: IF( AvgRank < 4 & SMA10 > SMA100 )
COUNTIF( Buy ) 2 of 12 or 17% , COUNTIF( Held ) 2 of 12 or 17%

Hold: Three ( 3 ), ST Holdings: IYR,EMB , Sell: - , Buy: -
                             Last     6m      3m     2m   TTM   (R6,R3)    10m   % off  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat LR126 SMA_PO Status: Held
17-Aug-12 IYR US:REIT 65.05 14% 39% 28% 20% 2.0 12.7 0.4% 2.7% BUY 38
17-Aug-12 EMB GL:FIEM 117.74 10% 42% 32% 9% 2.0 9.8 0.8% 3.6% BUY 22
17-Aug-12 IVV US:LCB 142.79 -3% 36% 46% 14% 5.0 6.5 4.9% 3.5% Sell
17-Aug-12 IDV GL:Div'd 31.58 -18% 54% 67% 22% 5.0 -1.2 8.1% 3.9% Sell
17-Aug-12 DVY US:Div'd 57.93 5% 29% 34% 10% 5.5 10.2 2.2% 2.8% Sell
17-Aug-12 LQD US:FIIG 118.46 8% 20% 17% 6% 6.5 10.2 -0.8% 1.7% Sell
17-Aug-12 HYG US:FIHY 91.54 0% 22% 10% 10% 7.0 4.3 1.2% 1.4% Sell
17-Aug-12 IJR US:SCB 75.88 -9% 29% 26% 19% 7.5 4.2 5.7% 2.2% Sell
17-Aug-12 EFA GL:DM 52.30 -22% 33% 51% 21% 7.5 -1.1 8.4% 2.4% Sell
17-Aug-12 EEM GL:EM 40.47 -26% 33% 49% 28% 9.0 -0.9 8.1% 1.9% Sell
17-Aug-12 IJH US:MCB 97.77 -12% 20% 32% 19% 9.5 3.8 5.8% 1.6% Sell
17-Aug-12 SCZ GL:SC 37.29 -25% 19% 29% 22% 11.5 -0.4 7.7% 0.2% Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5 & Price < LR63 )
COUNTIF( Sell ) 1 of 10 or 10% , COUNTIF( Held ) 0 of 10 or 0%

ST Holdings: - , Sell: - , Buy: -
                            Last     3m     2m     1m   TTM   (R3,R2,R1)    10m   % off  (5,50)           Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank T-Stat LR63 SMA_PO Status: Held
17-Aug-12 LQD US:FIIG 118.46 20% 17% -21% 6% 9.0 10.2 -2.0% 0.1% SELL
17-Aug-12 HYG US:FIHY 91.54 22% 10% 5% 10% 8.7 4.3 -0.9% 0.8% Buy
17-Aug-12 IWM US:SCB 81.71 27% 14% 80% 20% 7.7 3.6 1.7% 2.4% Buy
17-Aug-12 IJH US:MCB 97.77 20% 32% 97% 19% 6.7 3.8 2.4% 3.2% Buy
17-Aug-12 IYR US:REIT 65.05 39% 28% 2% 20% 5.7 12.7 -1.4% 1.2% Buy
17-Aug-12 IVW US:LCG 77.04 35% 47% 86% 13% 4.7 8.0 1.3% 3.7% Buy
17-Aug-12 IVV US:LCB 142.79 36% 46% 97% 14% 4.3 6.5 1.3% 3.7% Buy
17-Aug-12 EEM GL:EM 40.47 33% 49% 170% 28% 4.0 -0.9 1.2% 3.9% Buy
17-Aug-12 EFA GL:DM 52.30 33% 51% 193% 21% 2.7 -1.1 2.3% 4.4% Buy
17-Aug-12 QQQ US:LCB 68.32 37% 52% 170% 17% 1.7 6.9 3.0% 5.1% 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) Arezi's T-Stat (Slope/StdErr) included as a tie breaker. The critical value is 0.6 based on SP500 weekly periods.
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.
---------------------------------------------------------------------------------------
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (14) | Ignore Thread Prev Thread | Prev | Next | Next Thread

Announcements

Post of the Day:
TMFDeej's CAPS Blog

Activist Investors Unlocking Value at LSB Industries?
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement