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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 33106  
Subject: Re: ETF Trends & Ranks 2012Q2 Date: 5/4/2012 6:05 PM
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Recommendations: 2
SOLD:
iShares DowJones US Technology (IYW)
Guggenheim S&P Equal Weight Financials (RYF)

BOUGHT:
Vanguard REIT Index ETF (VNQ)
iShares DowJones US Consumer Services (IYC)
Dow Jones US Real Estate (IYR)
DJ US Real Estate (IYR)

Taxable_Acct. - Tactical_Asset_Rotation(TAR): RRS
SELL: IF( Avg Rank > 3 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 2.5 & Price > LR126 )
COUNTIF( Buy ) 0 of 5 or 0% , COUNTIF( Held ) 2 of 5 or 40%

Hold: Two ( 2 ), LT Holdings: PRF,VNQ , Sell: - , Buy: VNQ
                                                              (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 VNQ US:RE 65.27 43% 23% 36% 26% 1.0 1.4 -0.3% 6.3% HTD 4
4-May-12 PRF US:LC 58.52 35% 6% -11% 22% 2.0 1.3 -4.5% 2.5% HTD 111
4-May-12 DBC GL:Com 27.24 13% -15% -30% 18% 4.0 0.7 -5.9% -0.7% Sell
4-May-12 PXF GL:DM 33.18 22% -24% -41% 26% 4.0 1.3 -7.2% -1.0% Sell
4-May-12 TLT US:FILB 118.14 -8% -1% 33% 17% 4.0 2.3 3.0% 0.3% Sell


Taxable_Acct. - DowJones Sectors(Rated>7): RRS
SELL: IF( Avg Rank > 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 0 of 20 or 0% , COUNTIF( Held ) 3 of 20 or 15%

Hold: Three ( 3 ), ST Holdings: ITB,IYF,IYC , Sell: IYW,IYF , Buy: IYC
                                                             (R6,R3,R2)  LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 ITB US:HB 15.58 113% 39% 21% 45% 1.3 0.6 -0.6% 10.9% HTD 98
4-May-12 IYC US:CS 80.78 48% 32% 15% 20% 3.0 1.3 -2.4% 5.7% HTD 4
4-May-12 IYF US:FIN 56.58 65% 29% 2% 28% 5.0 1.5 -5.1% 5.6% HTD 48
4-May-12 IYR US:RE 63.66 41% 19% 27% 25% 5.3 1.4 -0.6% 5.7% Sell
4-May-12 IHE US:PH 82.17 42% 22% 13% 18% 5.7 1.4 -2.8% 4.2% Sell
4-May-12 IYW US:TECH 73.64 61% 25% -8% 23% 7.0 2.3 -6.4% 4.8% Sell
4-May-12 IHF US:HCP 62.52 42% 18% 5% 28% 7.3 1.4 -7.1% 2.9% Sell
4-May-12 IYH US:HC 76.83 37% 19% 14% 18% 7.7 1.2 -3.1% 3.8% Sell
4-May-12 IYK US:CG 73.30 30% 19% 7% 14% 8.3 0.9 -2.2% 3.5% Sell
4-May-12 IAK US:INS 31.24 42% 7% 0% 27% 9.7 0.8 -4.5% 3.7% Sell
4-May-12 IYY US:TM 68.92 40% 12% -4% 21% 11.0 1.5 -4.1% 3.5% Sell
4-May-12 IYT US:T 93.17 21% 2% 3% 29% 11.7 2.2 -2.6% 1.2% Sell
4-May-12 IYJ US:IND 69.24 40% -1% -10% 28% 13.3 1.9 -5.2% 2.5% Sell
4-May-12 BND US:FIT 83.94 0% 0% 6% 3% 13.7 0.3 0.5% 0.3% Sell
4-May-12 IDU US:UT 87.05 2% 1% 0% 11% 14.3 1.1 0.8% 1.0% Sell
4-May-12 ITA US:AD 65.40 34% -4% -10% 25% 14.3 1.6 -4.7% 2.1% Sell
4-May-12 IYM US:BM 67.79 19% -19% -10% 34% 16.3 2.6 -5.4% 0.2% Sell
4-May-12 IYE US:EN 39.37 11% -29% -38% 29% 17.3 1.4 -6.2% -1.6% Sell
4-May-12 IEZ US:OES 50.62 3% -44% -43% 43% 18.7 2.6 -7.5% -2.9% Sell
4-May-12 IEO US:OGEP 60.79 7% -44% -55% 39% 19.0 3.2 -8.0% -3.4% Sell


IRA_Acct. - FIDO_Balanced Trends and Ranks: RRS
SELL: IF( Avg Rank > 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 0 of 14 or 0% , COUNTIF( Held ) 2 of 14 or 14%

Hold: Three ( 3 ), ST Holdings: IWF,IYR , Sell: - , Buy: IYR
                                                              (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 IWF US:LCG 64.49 44% 18% 2% 21% 1.5 1.3 -4.2% 4.4% HTD 36
4-May-12 IYR US:REIT 63.66 41% 19% 27% 25% 1.5 1.4 -0.6% 5.7% HTD 4
4-May-12 IWD US:LCV 68.09 35% 6% -9% 22% 4.0 1.5 -4.3% 2.6% HTD
4-May-12 SCZ GL:SC 38.58 35% 0% -6% 24% 5.0 1.3 -4.6% 3.5% HTD
4-May-12 IWN US:SCV 69.75 36% -7% -14% 29% 5.5 2.1 -5.9% 1.5% Sell
4-May-12 IWO US:SCG 91.01 38% -9% -19% 31% 5.5 3.0 -6.0% 1.7% Sell
4-May-12 SHY US:FI 84.46 0% 0% 2% 1% 8.5 0.1 0.1% 0.0% Sell
4-May-12 AGG US:FI 110.67 1% -1% 6% 3% 8.5 0.4 0.3% 0.3% Sell
4-May-12 DBE GLC:ENE 28.31 20% -10% -33% 20% 9.0 0.8 -7.4% 0.3% Sell
4-May-12 ACWX GL:LCB 39.07 25% -11% -22% 24% 9.0 1.2 -5.1% 1.2% Sell
4-May-12 EEM GL:EM 41.36 30% -19% -26% 29% 9.0 1.7 -5.9% 0.5% Sell
4-May-12 DBB GLC:BM 19.57 13% -27% -32% 27% 11.0 0.8 -4.7% -1.3% Sell
4-May-12 DBA GLC:AG 26.89 -13% -29% -33% 14% 13.5 0.6 -2.8% -4.5% Sell
4-May-12 DBP GLC:PM 56.73 -6% -29% -20% 28% 13.5 2.2 -1.9% -1.9% Sell


IRA_Acct. - S&P Equal Weight Sector ETF's: RRS
SELL: IF( Avg Rank > 3 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank <= 2.0 & Price > LR126 )
COUNTIF( Buy ) 0 of 12 or 0% , COUNTIF( Held ) 0 of 12 or 0%

Hold: One ( 1 ), ST Holdings: - , Sell: RYF , Buy: -
                                                             (R6,R3,R2)  LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 RCD US:SD 54.19 52% 23% 3% 27% 2.3 1.2 -3.3% 5.4% HTD
4-May-12 RYH US:SH 73.36 43% 18% 11% 21% 3.3 1.5 -3.6% 4.1% Sell
4-May-12 RHS US:SS 65.93 22% 19% 12% 13% 4.0 0.6 -1.4% 2.8% Sell
4-May-12 RYF US:SF 27.20 61% 14% -9% 30% 4.7 0.9 -6.0% 4.3% Sell
4-May-12 RSP US:LC 50.34 37% 4% -8% 24% 6.0 1.2 -4.5% 2.8% Sell
4-May-12 IEF US:TB 105.94 0% 1% 18% 7% 6.3 0.9 1.2% 0.7% Sell
4-May-12 RTM US:SM 60.86 36% -4% 0% 31% 7.0 2.0 -5.6% 2.1% Sell
4-May-12 HYG US:HY 90.87 12% -3% 0% 12% 7.7 1.3 -1.0% 0.8% Sell
4-May-12 RYT US:ST 54.83 43% -3% -20% 27% 7.7 1.9 -7.1% 1.9% Sell
4-May-12 RYU US:SU 54.64 3% -2% -5% 13% 8.3 0.7 0.1% 0.6% Sell
4-May-12 RGI US:SI 55.82 35% -7% -13% 29% 9.3 1.6 -5.1% 1.5% Sell
4-May-12 RYE US:SE 60.83 3% -38% -43% 37% 11.3 2.7 -5.9% -2.4% Sell


FIDO_Free Trends and Ranks: RRS
SELL: IF( Avg Rank > 5 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 4 & Price > LR126 )
COUNTIF( Buy ) 0 of 12 or 0% , COUNTIF( Held ) 2 of 12 or 17%

Hold: Three ( 3 ), ST Holdings: IJH,IYR , Sell: - , Buy: IYR
                                                              (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 IYR US:REIT 63.66 41% 19% 27% 25% 1.5 1.4 -0.6% 5.7% HTD 4
4-May-12 IJH US:MCB 96.41 41% 2% -9% 27% 3.0 2.6 -4.9% 3.3% HTD 72
4-May-12 IVV US:LCB 137.49 39% 13% -3% 20% 3.0 2.8 -4.1% 3.5% HTD
4-May-12 DVY US:SD 55.98 22% 8% 4% 16% 5.5 0.8 -1.7% 2.6% Sell
4-May-12 SCZ GL:SC 38.58 35% 0% -6% 24% 6.0 1.3 -4.6% 3.5% Sell
4-May-12 IJR US:SCB 73.42 39% -5% -11% 28% 6.0 2.2 -5.5% 1.9% Sell
4-May-12 EMB GL:FI 114.49 11% 7% 3% 8% 7.0 1.1 0.4% 2.1% Sell
4-May-12 EFA GL:DM 52.27 25% -10% -22% 23% 8.5 1.6 -5.0% 1.2% Sell
4-May-12 TIP US:FI 119.27 4% 2% 10% 5% 9.0 0.7 0.2% 1.0% Sell
4-May-12 EEM GL:EM 41.36 30% -19% -26% 29% 9.0 1.7 -5.9% 0.5% Sell
4-May-12 LQD US:FI 116.45 8% -2% 6% 6% 9.5 1.3 -0.4% 0.9% Sell
4-May-12 IDV GL:SD 31.05 19% -13% -26% 22% 10.0 1.0 -4.4% 0.7% Sell


Shortables Trends and Ranks: RRS
BUY: to Cover IF( Avg Rank <= 5 ), SELL: Short IF( Avg Rank >= 6 & Price < LR63 )
COUNTIF( Sell ) 4 of 10 or 40% , COUNTIF( Held ) 0 of 10 or 0%

ST Holdings: - , Sell: - , Buy: -
                                                             (R3,R2,R1)  LR63   LR63   (10,100)           Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm Avg Rank STEYX % off SMA_PO Status: Held
4-May-12 GSG GL:COM 33.08 -12% -31% -18% 19% 9.7 0.7 -4.0% -0.6% SELL
4-May-12 EEM GL:EM 41.36 -19% -26% -3% 29% 9.0 0.6 -1.4% 0.5% SELL
4-May-12 EFA GL:DM 52.27 -10% -22% 25% 23% 6.7 0.9 -2.0% 1.2% SELL
4-May-12 IWM US:SCB 79.09 -8% -16% 21% 30% 6.3 1.3 -2.1% 1.6% SELL
4-May-12 AGG US:T 110.67 -1% 6% 8% 3% 5.0 0.5 0.5% 0.3% Buy
4-May-12 QQQ US:LCB 64.70 31% 0% -12% 22% 4.7 1.2 -4.5% 5.6% Buy
4-May-12 IJH US:MCB 96.41 2% -9% 35% 27% 4.7 1.3 -2.0% 3.3% Buy
4-May-12 IVV US:LCB 137.49 13% -3% 20% 20% 4.7 1.8 -2.3% -4.1% Buy
4-May-12 DIA US:LCB 130.09 8% 1% 41% 18% 3.0 1.3 -0.9% 2.8% Buy
4-May-12 IYR US:REIT 63.66 19% 27% 131% 25% 1.3 0.9 1.0% 5.7% Buy


Notes: Last modified 3/1/2012.
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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