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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: 5/11/2012 4:46 PM
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Recommendations: 2
SOLD:
PowerShares FTSE RAFI US 1000 (PRF)
iShares DowJones US Financial Sector (IYF)
S&P Mid Cap 400 (IJH)

BOUGHT:
*-

Taxable_Acct. - Tactical_Asset_Allocation: RRS
SELL: IF( Avg Rank > 3 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 3.0 & Price > LR126 )
COUNTIF( Buy ) 0 of 6 or 0% , COUNTIF( Held ) 1 of 6 or 17%

Hold: Two ( 2 ), LT Holdings: VNQ , Sell: PRF , Buy: -
                                                              (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
11-May-12 VNQ US:RE 65.59 45% 31% 35% 26% 1.0 1.3 -0.7% 6.1% HTD 11
11-May-12 PRF US:LC 57.91 33% -2% -21% 21% 3.0 1.4 -5.4% 1.1% HTD
11-May-12 PGX US:PF 14.38 13% 0% -1% 8% 3.5 0.2 -1.3% 1.1% Sell
11-May-12 TLT US:FIT 119.50 -8% 6% 58% 17% 4.0 2.3 4.0% 1.0% Sell
11-May-12 PXF GL:DM 32.48 20% -32% -49% 26% 4.5 1.4 -8.6% -3.3% Sell
11-May-12 DBC GL:Com 26.68 11% -25% -39% 18% 5.0 0.8 -7.3% -2.8% 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 ) 2 of 20 or 10%

Hold: Three ( 3 ), ST Holdings: ITB,IYC , Sell: IYF,IYC , 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
11-May-12 ITB US:HB 15.77 110% 52% 36% 46% 1.0 0.6 -0.5% 12.0% HTD 105
11-May-12 IYR US:RE 64.02 43% 26% 28% 25% 3.0 1.3 -0.9% 5.5% HTD
11-May-12 IYC US:CS 80.27 47% 25% 4% 20% 4.3 1.3 -3.4% 4.7% HTD 11
11-May-12 IHE US:PH 82.84 39% 18% 7% 18% 5.3 1.5 -2.1% 3.6% Sell
11-May-12 IYF US:FIN 55.76 64% 19% -20% 28% 6.3 1.6 -6.8% 3.8% Sell
11-May-12 IYH US:HC 77.21 35% 16% 4% 18% 7.3 1.3 -2.8% 2.8% Sell
11-May-12 IYK US:CG 72.58 29% 12% -4% 14% 9.3 1.0 -3.3% 2.4% Sell
11-May-12 IYY US:TM 68.11 38% 4% -17% 21% 9.3 1.6 -5.3% 1.9% Sell
11-May-12 IYW US:TECH 72.36 59% 7% -31% 23% 9.3 2.4 -8.1% 2.4% Sell
11-May-12 IAK US:INS 31.30 41% 2% -11% 27% 9.7 0.8 -4.5% 2.2% Sell
11-May-12 IDU US:UT 87.96 3% 3% 11% 11% 10.3 1.1 1.6% 1.4% Sell
11-May-12 IHF US:HCP 62.10 38% 2% -19% 28% 11.0 1.7 -7.4% -0.2% Sell
11-May-12 IYT US:T 91.92 19% 3% -9% 28% 11.3 2.3 -3.7% 0.4% Sell
11-May-12 IYJ US:IND 68.09 37% -7% -23% 28% 13.3 2.1 -6.5% 0.5% Sell
11-May-12 SHY US:FIT 84.46 0% 0% 2% 1% 13.7 0.1 0.1% 0.0% Sell
11-May-12 ITA US:AD 63.89 31% -10% -21% 25% 14.0 1.8 -6.6% 0.1% Sell
11-May-12 IYM US:BM 66.47 18% -20% -24% 34% 16.0 2.7 -6.9% -2.0% Sell
11-May-12 IYE US:EN 38.77 9% -35% -40% 29% 17.3 1.5 -7.0% -3.5% Sell
11-May-12 IEZ US:OES 49.81 0% -47% -44% 43% 19.0 2.7 -8.0% -5.3% Sell
11-May-12 IEO US:OGEP 59.39 4% -51% -56% 39% 19.0 3.4 -9.3% -5.3% 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: -
                                                               (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
11-May-12 IYR US:REIT 64.02 43% 26% 28% 25% 1.5 1.3 -0.9% 5.5% HTD 11
11-May-12 IWF US:LCG 63.81 43% 9% -13% 21% 1.5 1.4 -5.3% 2.8% HTD 43
11-May-12 SCZ GL:SC 37.54 35% -9% -20% 24% 5.0 1.3 -7.2% 1.1% HTD
11-May-12 IWD US:LCV 67.48 34% 0% -19% 21% 5.0 1.6 -5.1% 1.3% HTD
11-May-12 IWO US:SCG 90.39 36% -14% -29% 31% 5.5 3.2 -6.5% 0.1% Sell
11-May-12 IWN US:SCV 69.88 33% -10% -25% 28% 6.5 2.2 -5.6% 0.0% Sell
11-May-12 AGG US:FIT 110.79 1% 1% 10% 3% 7.0 0.4 0.3% 0.4% Sell
11-May-12 SHY US:FIT 84.46 0% 0% 2% 1% 8.0 0.1 0.1% 0.0% Sell
11-May-12 ACWX GL:LCB 38.09 24% -18% -32% 24% 8.5 1.3 -7.2% -0.8% Sell
11-May-12 EEM GL:EM 39.97 29% -26% -33% 30% 9.0 1.8 -8.8% -1.4% Sell
11-May-12 DBE GLC:ENE 27.98 17% -25% -41% 20% 9.5 1.0 -7.8% -2.4% Sell
11-May-12 DBB GLC:BM 19.15 11% -28% -32% 26% 11.0 0.8 -6.3% -2.5% Sell
11-May-12 DBA GLC:AG 26.38 -12% -32% -36% 14% 13.5 0.6 -4.2% -5.1% Sell
11-May-12 DBP GLC:PM 54.45 -6% -33% -23% 29% 13.5 2.2 -5.4% -3.5% 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: - , 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
11-May-12 RCD US:SD 53.15 51% 14% -11% 26% 3.3 1.3 -5.4% 4.0% Sell
11-May-12 RYH US:SH 73.18 42% 12% -4% 21% 3.3 1.5 -4.1% 2.7% Sell
11-May-12 RHS US:SS 66.26 21% 15% 8% 13% 3.7 0.6 -1.1% 2.5% Sell
11-May-12 RYF US:SF 26.87 60% 6% -27% 30% 5.0 0.9 -7.3% 2.6% Sell
11-May-12 TIP US:FIT 119.38 5% 3% 14% 5% 5.3 0.6 0.2% 0.9% Sell
11-May-12 SDY US:Div'd 55.51 17% 0% -8% 16% 6.7 0.9 -2.9% 0.9% Sell
11-May-12 RYU US:SU 55.06 3% -2% 3% 13% 7.0 0.7 0.7% 0.8% Sell
11-May-12 RSP US:LC 49.76 35% -3% -20% 24% 7.0 1.3 -5.6% 1.3% Sell
11-May-12 RTM US:SM 59.90 33% -7% -16% 31% 7.3 2.1 -6.9% 0.1% Sell
11-May-12 RGI US:SI 54.73 31% -13% -24% 28% 8.7 1.7 -6.6% -0.3% Sell
11-May-12 RYT US:ST 53.54 40% -15% -38% 27% 8.7 2.1 -9.0% -0.7% Sell
11-May-12 RYE US:SE 60.20 2% -43% -43% 37% 12.0 2.7 -6.3% -3.7% 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 ) 1 of 12 or 8%

Hold: Three ( 3 ), ST Holdings: IYR , Sell: IJH , Buy: -
                                                                (R6,R3)   LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Avg Rank STEYX % off SMA_PO Status: Held
11-May-12 IYR US:REIT 64.02 43% 26% 28% 25% 1.0 1.3 -0.9% 5.5% HTD 11
11-May-12 IVV US:LCB 136.03 37% 5% -16% 20% 3.5 3.0 -5.2% 2.0% HTD
11-May-12 IJH US:MCB 96.39 40% -3% -17% 27% 4.5 2.7 -5.1% 1.9% HTD
11-May-12 DVY US:Div'd 55.82 21% 6% 1% 15% 5.0 0.8 -2.1% 1.9% HTD
11-May-12 IJR US:SCB 73.29 36% -8% -22% 28% 6.0 2.3 -5.5% 0.6% Sell
11-May-12 EMB GL:FIEM 113.38 12% 5% 8% 8% 6.5 1.0 -0.9% 2.0% Sell
11-May-12 SCZ GL:SC 37.54 35% -9% -20% 24% 7.0 1.3 -7.2% 1.1% Sell
11-May-12 LQD US:FIIG 116.85 9% -1% 13% 6% 8.5 1.2 -0.3% 0.9% Sell
11-May-12 HYG US:FIHY 90.81 12% -2% 1% 12% 8.5 1.3 -1.2% 0.6% Sell
11-May-12 EFA GL:DM 51.16 24% -17% -31% 23% 8.5 1.7 -6.8% -0.6% Sell
11-May-12 EEM GL:EM 39.97 29% -26% -33% 30% 9.0 1.8 -8.8% -1.4% Sell
11-May-12 IDV GL:Div'd 30.66 19% -18% -31% 22% 10.0 1.0 -5.5% -0.6% 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
11-May-12 GSG GL:COM 32.28 -25% -40% -53% 19% 9.7 0.7 -4.0% -3.1% SELL
11-May-12 EEM GL:EM 39.97 -26% -33% -40% 30% 9.3 0.6 -3.2% -1.4% SELL
11-May-12 EFA GL:DM 51.16 -17% -31% -28% 23% 8.0 0.9 -2.8% -0.6% SELL
11-May-12 IWM US:SCB 78.90 -12% -27% -11% 30% 6.3 1.4 -1.6% 0.1% SELL
11-May-12 IJH US:MCB 96.39 -3% -17% -4% 27% 5.0 1.3 -1.3% 1.9% Buy
11-May-12 QQQ US:LCB 64.18 15% -21% -28% 21% 5.0 1.4 -4.0% 3.5% Buy
11-May-12 IVV US:LCB 136.03 5% -16% -12% 20% 4.3 2.0 -2.5% 2.0% Buy
11-May-12 DIA US:LCB 128.18 3% -8% -3% 18% 3.3 1.4 -1.8% 1.6% Buy
11-May-12 AGG US:T 110.79 1% 10% 4% 3% 3.0 0.5 0.4% 0.4% Buy
11-May-12 IYR US:REIT 64.02 26% 28% 78% 25% 1.0 0.8 0.6% 5.5% 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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