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 33183  
Subject: Re: ETF Trends & Ranks 2012Q3 Date: 8/3/2012 4:42 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 1
SOLD:
iShares DowJones US Utilities (IDU)

BOUGHT:
Fidelity Spartan 500 Index Inv
iShares DowJones US HOME CONSTRUCTION (ITB)

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

Hold: Three ( 3 ), LT Holdings: FBIDX , Sell: FBIDX , Buy: FUSEX
                                       (20,200)  (10,100)  (5,50)    TTM    TTM     Weeks   Weeks   Weeks            Days
EndD Ticker Index Price Slow_PO Int_PO Fast_PO NTR Gain Last chg 52w Hi 52w Lo Status: Held
2-Aug-12 FUSEX SP500 $ 48.42 2.8% 0.1% 2.6% 15.5% 13.8% 0 17 43 BUY 3
2-Aug-12 FFNOX AA $ 27.72 1.4% -0.2% 2.6% 8.1% 6.0% 9 17 43 SELL
2-Aug-12 FSEMX DJ M/S $ 37.31 0.4% -2.4% 1.0% 6.0% 4.9% 9 18 43 SELL
2-Aug-12 FBIDX USGB $ 12.05 1.7% 1.5% 0.7% 4.9% 2.5% 9 1 40 BUY 63
2-Aug-12 FSIIX EAFE $ 30.56 -2.3% -2.3% 3.4% -3.8% -6.9% 11 40 9 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 ) 1 of 6 or 17% , COUNTIF( Held ) 2 of 6 or 33%

Hold: Two ( 2 ), LT Holdings: TLT,PGX , Sell: - , Buy: -
                                                             (R6,R3)    10m   LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat % off SMA_PO Status: Held
3-Aug-12 TLT US:FIT 127.42 35% 36% 31% 15% 1.0 5.2 -1.9% 6.6% HTD 57
3-Aug-12 VNQ US:RE 67.13 14% 28% 52% 21% 2.0 13.2 2.1% 3.2% BUY
3-Aug-12 PGX US:PF 14.75 4% 20% 24% 7% 3.0 10.3 1.4% 1.9% HTD 30
3-Aug-12 PRF US:LC 59.09 -9% 14% 25% 15% 4.5 5.2 3.9% -0.1% Sell
3-Aug-12 DBC GL:Com 27.52 -26% 19% 123% 21% 4.5 -2.2 8.4% 1.0% Sell
3-Aug-12 PXF GL:DM 32.04 -35% -2% 13% 24% 6.0 -2.7 8.2% -4.6% 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 ) 1 of 20 or 5% , COUNTIF( Held ) 2 of 20 or 10%

Hold: Three ( 3 ), ST Holdings: IHE,ITB , Sell: IDU , Buy: ITB
                                                             (R6,R3,R2)    10m   LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat % off SMA_PO Status: Held
3-Aug-12 ITB US:HB 16.42 43% 66% 131% 30% 1.0 18.9 -0.5% 6.5% HTD 3
3-Aug-12 IHE US:PH 86.65 20% 47% 58% 11% 3.0 18.7 0.1% 4.1% BUY 38
3-Aug-12 IYH US:HC 80.48 11% 32% 43% 11% 5.0 14.9 1.6% 2.8% Sell
3-Aug-12 IYR US:RE 65.79 13% 29% 56% 20% 5.0 13.0 2.4% 3.5% Sell
3-Aug-12 IDU US:UT 92.35 16% 31% 28% 9% 5.3 8.6 1.6% 4.4% Sell
3-Aug-12 IYC US:CS 82.42 8% 18% 22% 13% 8.7 13.2 1.6% 1.1% Sell
3-Aug-12 IYE US:EN 40.50 -25% 25% 74% 24% 9.3 -1.0 9.5% 1.5% Sell
3-Aug-12 IHF US:HCP 62.60 -4% 25% 11% 19% 9.7 6.9 -0.8% -1.6% Sell
3-Aug-12 IYY US:TM 69.52 -7% 13% 26% 15% 10.0 1.5 3.5% 0.1% Sell
3-Aug-12 IEO US:OGEP 60.30 -39% 18% 78% 35% 10.0 -2.5 11.4% -1.0% Sell
3-Aug-12 IYF US:FIN 55.85 -8% 12% 28% 22% 10.3 6.4 3.0% -1.2% Sell
3-Aug-12 IYK US:CG 73.52 -2% 6% 19% 10% 11.0 8.0 2.1% 0.1% Sell
3-Aug-12 IEZ US:OES 51.40 -40% 10% 111% 36% 11.3 -3.4 15.0% 1.1% Sell
3-Aug-12 IYJ US:IND 68.71 -15% 4% 16% 18% 13.3 4.3 4.3% -1.1% Sell
3-Aug-12 SHY US:FIT 84.47 0% 0% 1% 0% 14.0 -2.4 0.0% 0.1% Sell
3-Aug-12 ITA US:AD 63.34 -17% 2% 8% 16% 15.3 3.3 2.8% -2.3% Sell
3-Aug-12 IYT US:TA 90.84 -7% 0% -6% 18% 15.7 4.0 0.4% -2.4% Sell
3-Aug-12 IYW US:TECH 72.45 -16% -2% 6% 19% 16.3 4.6 3.9% -2.8% Sell
3-Aug-12 IAK US:INS 30.49 -15% -4% 4% 21% 16.7 4.0 3.5% -3.0% Sell
3-Aug-12 IYM US:BM 64.19 -29% -7% -1% 28% 19.0 -0.8 4.6% -4.2% 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 ) 2 of 15 or 13%

Hold: Three ( 3 ), ST Holdings: IYR,DVY , Sell: - , Buy: -
                                                              (R3)    10m   LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank T-Stat % off SMA_PO Status: Held
3-Aug-12 DBA GLC:AG 30.04 -2% 95% 191% 20% 1.0 -4.0 7.6% 7.8% Sell
3-Aug-12 IYR US:REIT 65.79 13% 29% 56% 20% 2.0 13.0 2.4% 3.5% BUY 14
3-Aug-12 DVY US:DIV 57.55 4% 20% 31% 11% 3.0 10.2 2.3% 2.1% BUY 8
3-Aug-12 IWD US:LCV 69.48 -6% 19% 29% 15% 4.0 6.2 3.9% 0.7% Sell
3-Aug-12 IWO US:SCG 90.04 -15% 14% 21% 21% 5.0 4.2 2.4% -1.8% Sell
3-Aug-12 IWN US:SCV 69.70 -12% 12% 19% 20% 6.0 4.6 2.3% -1.5% Sell
3-Aug-12 IWF US:LCG 64.58 -7% 7% 20% 15% 7.0 6.6 3.1% -0.5% Sell
3-Aug-12 AGG US:FIT 111.99 4% 7% 11% 2% 8.0 9.3 0.0% 1.4% Sell
3-Aug-12 EEM GL:EM 39.93 -31% 1% 13% 28% 9.0 -0.4 7.8% -3.3% Sell
3-Aug-12 SHY US:FIT 84.47 0% 0% 1% 0% 10.0 -2.4 0.0% 0.1% Sell
3-Aug-12 ACWX GL:LCB 37.87 -27% 0% 15% 22% 11.0 -0.9 6.6% -3.1% Sell
3-Aug-12 DBP GLC:PM 54.46 -25% -3% -10% 25% 12.0 -5.8 3.7% -2.1% Sell
3-Aug-12 SCZ GL:SC 36.17 -27% -10% 7% 22% 13.0 -0.2 4.6% -4.4% Sell
3-Aug-12 DBE GLC:ENE 27.22 -39% -13% 105% 24% 14.0 -2.4 10.2% -2.9% Sell
3-Aug-12 DBB GLC:BM 17.59 -34% -26% -14% 24% 15.0 -3.1 1.6% -6.4% 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 ) 1 of 11 or 9% , COUNTIF( Held ) 1 of 11 or 9%

Hold: One ( 1 ), ST Holdings: RYU , Sell: - , Buy: -
                                                             (R6,R3,R2)    10m   LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank T-Stat % off SMA_PO Status: Held
3-Aug-12 RYU US:SU 60.13 17% 50% 53% 10% 1.3 7.3 4.2% 6.3% BUY 30
3-Aug-12 RHS US:SS 67.26 8% 13% 14% 8% 4.0 15.0 0.3% 0.8% Sell
3-Aug-12 RYF US:SF 26.72 -13% 8% 29% 23% 4.7 5.4 3.1% -1.7% Sell
3-Aug-12 RYE US:SE 61.47 -34% 15% 85% 32% 4.7 -2.9 11.7% 0.3% Sell
3-Aug-12 RSP US:LC 50.05 -13% 7% 20% 17% 5.3 4.4 3.7% -1.0% Sell
3-Aug-12 TIP US:FIT 121.25 6% 5% 8% 4% 6.0 15.0 0.1% 1.3% Sell
3-Aug-12 RYH US:SH 72.99 0% 7% 7% 14% 6.0 9.1 0.2% -1.0% Sell
3-Aug-12 RGI US:SI 55.14 -19% 0% 14% 18% 7.3 2.9 5.4% -1.4% Sell
3-Aug-12 RTM US:SM 58.24 -22% 1% 14% 24% 7.7 2.0 3.3% -2.9% Sell
3-Aug-12 RCD US:SD 52.02 -9% -3% 4% 18% 8.3 6.2 1.2% -2.7% Sell
3-Aug-12 RYT US:ST 53.03 -28% -10% -3% 22% 10.7 1.3 6.2% -4.0% 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 ) 3 of 12 or 25%

Hold: Three ( 3 ), ST Holdings: LQD,IYR,EMB , Sell: - , Buy: -
                                                               (R3)    10m   LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank T-Stat % off SMA_PO Status: Held
3-Aug-12 EMB GL:FIEM 119.00 8% 33% 46% 9% 1.0 9.7 2.8% 3.7% BUY 8
3-Aug-12 IYR US:REIT 65.79 13% 29% 56% 20% 2.0 13.0 2.4% 3.5% BUY 24
3-Aug-12 LQD US:FIIG 120.55 7% 20% 34% 6% 3.0 10.3 1.5% 3.2% BUY 30
3-Aug-12 DVY US:Div'd 57.55 4% 20% 31% 11% 4.0 10.2 2.3% 2.1% HTD
3-Aug-12 IVV US:LCB 139.87 -5% 16% 27% 14% 5.0 6.8 3.7% 0.5% Sell
3-Aug-12 HYG US:FIHY 91.70 -1% 15% 25% 10% 6.0 4.8 1.8% 1.4% Sell
3-Aug-12 IDV GL:Div'd 30.97 -23% 13% 42% 22% 7.0 -1.4 7.6% -1.0% Sell
3-Aug-12 IJR US:SCB 73.16 -12% 10% 26% 19% 8.0 4.9 2.9% -1.3% Sell
3-Aug-12 EEM GL:EM 39.93 -31% 1% 13% 28% 9.0 -0.4 7.8% -3.3% Sell
3-Aug-12 EFA GL:DM 50.99 -26% 0% 15% 21% 10.0 -1.1 6.7% -3.0% Sell
3-Aug-12 IJH US:MCB 94.40 -14% -1% 17% 19% 11.0 4.5 2.7% -2.0% Sell
3-Aug-12 SCZ GL:SC 36.17 -27% -10% 7% 22% 12.0 -0.2 4.6% -4.4% 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)    10m   LR63   (5,50)           Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank T-Stat % off SMA_PO Status: Held
3-Aug-12 IJH US:MCB 94.40 -1% 17% -6% 19% 9.0 4.5 1.5% 1.0% Buy
3-Aug-12 EFA GL:DM 50.99 0% 15% 24% 21% 8.0 -1.1 3.8% 2.4% Buy
3-Aug-12 IWM US:SCB 78.61 13% 19% -34% 20% 7.7 4.3 -0.3% 0.3% Buy
3-Aug-12 EEM GL:EM 39.93 1% 13% 31% 28% 7.3 -0.4 3.8% 2.5% Buy
3-Aug-12 HYG US:FIHY 91.70 15% 25% 11% 10% 6.0 4.8 0.2% 1.8% Buy
3-Aug-12 QQQ US:LCB 65.60 11% 21% 33% 17% 5.3 6.9 2.4% 2.5% Buy
3-Aug-12 IVV US:LCB 139.87 16% 27% 39% 14% 3.0 6.8 2.0% 2.8% Buy
3-Aug-12 LQD US:FIIG 120.55 20% 34% 30% 6% 3.0 10.3 0.1% 2.3% Buy
3-Aug-12 IYR US:REIT 65.79 29% 56% 13% 20% 3.0 13.0 1.1% 3.5% Buy
3-Aug-12 IVW US:LCG 75.47 17% 30% 38% 13% 2.7 8.2 1.9% 2.8% 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 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

Foolanthropy 2014!
By working with young, first-time moms, Nurse-Family Partnership is able to truly change lives – for generations to come.
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.
Post of the Day:
Macro Economics

Economic Implications of Cuba
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
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