Message Font: Serif | Sans-Serif
 
UnThreaded | Threaded | Whole Thread (13) | Ignore Thread Prev | Next
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 33134  
Subject: Re: ETF Trends & Ranks 2013Q1 Date: 2/1/2013 5:17 PM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 2
SOLD:
MSCI Emerging Markets (EEM)
MSCI EAFE Small Cap Index (SCZ)

BOUGHT:
S&P Mid Cap 400 (IJH)

Taxable_Acct. - BroadMarket_Asset_Allocation: PO
SELL: IF( SMA40 < SMA200 & SMA20 < SMA100 ), BUY: IF( SMA10 > SMA50 & SMA20 > SMA100 )
COUNTIF( B&H ) 4 of 5 or 80% , COUNTIF( Held ) 3 of 5 or 60%

LT Hold: Three ( 3 ), Holdings: FUSVX,FSIVX,FSEVX , Sell: - , Buy: -
                            Last   SlowPO  IntPO   FastPO   TTM    TTM    Weeks   Weeks  Weeks           Days
EndD Ticker Index Price 40/200 20/100 10/50 NTR %GL LastChg H52w L52w Status: Held
31-Jan-13 FSIVX EAFE 35.76 7.5% 4.1% 2.9% 18.1% 11.6% 25 0 35 B&H 168
31-Jan-13 FUSVX SP500 53.10 3.8% 3.0% 3.5% 15.1% 13.1% 65 0 35 B&H 181
31-Jan-13 FSEVX DJ M/S 42.70 4.5% 4.0% 4.3% 14.2% 9.4% 63 0 34 B&H 147
31-Jan-13 FSRRX SRR 9.77 0.8% -0.2% 0.5% 6.1% 2.8% 29 20 35 B&H
31-Jan-13 FSITX USAB 11.79 -0.5% -0.8% -0.6% 2.9% -0.6% 3 27 45 SELL


Taxable_Acct. - Tactical_Asset_Rotation: RRS + PO
SELL: IF( AvgRank >= 4.0 or SMA30 < SMA100 ), BUY: IF( AvgRank < 3.5 & Pri > SMA100 )
COUNTIF( Buy ) 3 of 6 or 50% , COUNTIF( Held ) 2 of 6 or 33%

LT Hold: Three ( 3 ), Holdings: PRF,PXF , Sell: - , Buy: VNQ
                          Last     6m      3m   TTM    R6,R3   % off  % off  SlowPO  FastPO`           Days
EndD ETF's Class: Price RRS126 RRS63 GSDm AvgRank LR126 LR63 30/100 Pri/100 Status: Held
1-Feb-13 PXF GL:DM 38.23 33% 78% 26% 1.0 2.5% -0.4% 5.3% 8.3% BUY 103
1-Feb-13 PRF US:LC 66.94 17% 54% 16% 2.0 3.8% 1.1% 3.3% 7.1% BUY 125
1-Feb-13 VNQ US:RE 68.66 2% 42% 16% 3.0 3.8% 0.1% 2.4% 4.4% BUY
1-Feb-13 PGX US:PF 14.82 0% 2% 5% 4.5 0.3% 0.1% 0.0% 0.2% Sell
1-Feb-13 DBC GL:Com 28.58 -5% 8% 23% 4.5 3.2% 2.0% -0.6% 2.0% Sell
1-Feb-13 TLT US:FIT 115.54 -9% -25% 17% 6.0 -3.7% -1.8% -2.2% -5.4% Sell


Taxable_Acct. - Balanced Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: ACWX,IWR,IWM , Sell: SCZ,ACWX , Buy: IWC
                            Last     6m      3m     1m   TTM    R6,R3   % off  % off  % off           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 LR21 Status: Held
1-Feb-13 IWM US:SC 90.37 17% 76% 69% 20% 2.5 4.6% 0.5% 0.0% BUY 16
1-Feb-13 IWC US:Micro 56.03 14% 72% 54% 22% 3.5 4.8% 0.8% 0.5% BUY
1-Feb-13 SCZ GL:SC 43.00 31% 61% 65% 22% 2.0 2.7% 0.7% 0.2% BUY
1-Feb-13 IWR US:MC 122.02 18% 60% 96% 16% 3.5 4.5% 1.3% 0.0% HTD 28
1-Feb-13 ACWX GL:LCB 43.49 27% 56% 41% 21% 3.5 1.9% -0.2% 0.2% Sell 63
1-Feb-13 IYR US:REIT 67.72 3% 41% 49% 15% 7.0 3.5% 0.0% -0.7% Sell
1-Feb-13 DBB GLC:BM 19.68 13% 30% 31% 27% 6.5 1.9% 0.9% 1.8% Sell
1-Feb-13 IWL US:LC 34.39 3% 28% 52% 15% 7.5 3.2% 1.2% 0.0% Sell
1-Feb-13 DBE GLC:ENE 29.48 -1% 25% 91% 31% 9.5 5.1% 2.7% 0.5% Sell
1-Feb-13 AGG US:FI 109.94 -2% -7% -7% 3% 10.5 -0.9% -0.4% -0.3% Sell
1-Feb-13 TLH US:FIT 131.13 -4% -16% -15% 10% 11.5 -2.4% -1.1% -0.9% Sell
1-Feb-13 DBA GLC:AG 27.75 -17% -18% 1% 20% 12.5 0.5% 0.5% -0.1% Sell
1-Feb-13 DBP GLC:PM 57.42 1% -18% 19% 22% 11.0 -1.9% 1.2% -0.4% Sell


IRA_Acct. - FIDO_Free Trends and Ranks: RRS
SELL: IF( RRS63_Rank >= 5 or RRS126 < 0 ), BUY: IF( RRS63_Rank < 4 & RRS21 > 0 )
COUNTIF( Buy ) 3 of 13 or 23% , COUNTIF( Held ) 3 of 13 or 23%

ST Hold: Three ( 3 ), Holdings: EFA,IJR,IJH , Sell: EEM , Buy: IJH
                            Last     6m      3m     1m   TTM    R6,R3   % off  % off  % off           Days
EndD ETF's Class: Price RRS126 RRS63 RRS21 GSDm AvgRank LR126 LR63 LR21 Status: Held
1-Feb-13 IJR US:SCB 83.57 16% 70% 71% 19% 3.5 4.5% 0.5% -0.1% BUY 8
1-Feb-13 IJH US:MCB 110.01 22% 67% 92% 17% 3.0 4.4% 1.1% -0.1% BUY 3
1-Feb-13 EFA GL:DM 59.45 29% 63% 62% 21% 2.5 2.5% 0.1% 0.1% BUY 44
1-Feb-13 SCZ GL:SC 43.00 31% 61% 65% 22% 2.5 2.7% 0.7% 0.2% HTD
1-Feb-13 IDV GL:Div'd 35.37 22% 56% 77% 22% 5.0 3.1% 0.6% -0.1% Sell
1-Feb-13 EEM GL:EM 44.51 26% 51% -13% 23% 4.5 0.2% -1.6% 0.6% Sell
1-Feb-13 IYR US:REIT 67.72 3% 41% 49% 15% 9.0 3.5% 0.0% -0.7% Sell
1-Feb-13 IVV US:LCB 152.03 8% 41% 61% 15% 7.5 3.7% 1.0% 0.0% Sell
1-Feb-13 ONEQ US:LCB 124.83 0% 39% 32% 19% 11.0 3.7% 0.5% 0.3% Sell
1-Feb-13 DVY US:Div'd 60.57 4% 29% 60% 10% 10.0 3.6% 1.4% 0.2% Sell
1-Feb-13 HYG US:FIHY 93.48 5% 15% -1% 8% 10.0 -0.6% -1.4% -0.8% Sell
1-Feb-13 EMB GL:FIEM 119.06 6% -1% -27% 8% 10.0 -3.0% -2.2% -0.7% Sell
1-Feb-13 LQD US:FIIG 118.74 1% -8% -17% 6% 12.5 -2.2% -1.0% -0.6% Sell


Shortables Trends and Ranks: RRS
BUY to Cover: IF( AvgRank < 4.5 or RRS21 > 0 ), SELL Short: IF( AvgRank >= 5.5 & Pri < LR42 )
COUNTIF( Sell ) 3 of 10 or 30% , COUNTIF( Held ) 0 of 10 or 0%

Holdings: - , Sell: - , Buy: -
                           Last     3m     2m     1m   TTM   R3,R2,R1  % off  % off  % off           Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm AvgRank LR63 LR42 LR21 Status: Held
1-Feb-13 LQD US:FIIG 118.74 -8% -11% -17% 6% 10.0 -1.0% -0.8% -0.6% SELL
1-Feb-13 HYG US:FIHY 93.48 15% 9% -1% 8% 8.7 -1.4% -1.1% -0.8% SELL
1-Feb-13 QQQ US:LCB 67.66 26% 26% 12% 20% 7.7 0.3% 0.2% 0.5% Buy
1-Feb-13 EEM GL:EM 44.51 51% 35% -13% 23% 6.7 -1.6% -1.0% 0.6% SELL
1-Feb-13 IVW US:LCG 79.45 29% 37% 36% 14% 6.3 0.7% 0.2% 0.0% Buy
1-Feb-13 IVV US:LCB 152.03 41% 52% 61% 15% 5.0 1.0% 0.4% 0.0% Buy
1-Feb-13 IYR US:REIT 67.72 41% 56% 49% 15% 4.3 0.0% -0.7% -0.7% Buy
1-Feb-13 EFA GL:DM 59.45 63% 54% 62% 21% 3.3 0.1% 0.3% 0.1% Buy
1-Feb-13 IJH US:MCB 110.01 67% 86% 92% 17% 1.7 1.1% 0.3% -0.1% Buy
1-Feb-13 IWM US:SCB 90.37 76% 91% 69% 20% 1.3 0.5% -0.2% 0.0% Buy


Notes: Last modified 9/28/2012.
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 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(). Included as a tie breaker.
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) 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 (13) | Ignore Thread Prev | Next

Announcements

Post of the Day:
Macro Economics

Intel's Broadwell Potential
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