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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 33167  
Subject: Re: ETF Trends & Ranks 2012Q2 Date: 6/8/2012 4:48 PM
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Recommendations: 2
SOLD:
Short:S&P 500 (IVV)
BOUGHT:
iShares Barclays 20+ Year Treas Bond (TLT)

Taxable_Acct. - Tactical_Asset_Allocation: 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 ) 1 of 6 or 17%

Hold: Two ( 2 ), LT Holdings: TLT , Sell: - , Buy: TLT
                                                             (R3)  LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
8-Jun-12 TLT US:FIT 125.21 4% 75% 91% 18% 1.0 3.8 4.8% 7.3% BUY 2
8-Jun-12 VNQ US:RE 63.63 27% 0% -16% 26% 2.0 1.6 -2.4% -0.6% Sell
8-Jun-12 PGX US:PF 14.31 7% -7% -7% 8% 3.0 0.2 -0.9% -0.5% Sell
8-Jun-12 PRF US:LC 56.58 11% -33% -40% 22% 4.0 2.0 -4.3% -4.5% Sell
8-Jun-12 DBC GL:Com 25.14 -7% -50% -59% 19% 5.0 1.2 -8.0% -9.8% Sell
8-Jun-12 PXF GL:DM 30.62 -8% -59% -65% 28% 6.0 2.0 -7.5% -11.8% 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 ) 0 of 20 or 0% , COUNTIF( Held ) 1 of 20 or 5%

Hold: Three ( 3 ), ST Holdings: ITB , Sell: - , Buy: -
                                                             (R6,R3,R2)  LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm AvgRank STEYX % off SMA_PO Status: Held
8-Jun-12 ITB US:HB 15.06 72% 11% 18% 46% 1.3 0.7 -4.9% 2.4% HTD 132
8-Jun-12 IYR US:RE 62.18 25% -2% -15% 25% 4.7 1.6 -2.4% -0.7% Sell
8-Jun-12 IHE US:PH 82.05 21% -3% -3% 18% 5.0 1.4 -1.8% 0.3% Sell
8-Jun-12 IYC US:CS 79.44 30% -12% -22% 20% 5.3 2.0 -3.3% -0.3% Sell
8-Jun-12 IDU US:UT 89.62 3% 10% 25% 11% 5.7 1.0 3.1% 1.8% Sell
8-Jun-12 IYH US:HC 76.25 19% -9% -16% 18% 6.3 1.6 -2.5% -0.9% Sell
8-Jun-12 SHY US:FIT 84.43 0% 1% 0% 1% 7.3 0.1 0.1% 0.0% Sell
8-Jun-12 IYK US:CG 71.49 16% -17% -26% 14% 8.3 1.5 -3.2% -1.7% Sell
8-Jun-12 IYY US:TM 66.58 16% -29% -38% 22% 9.3 2.3 -4.6% -3.8% Sell
8-Jun-12 IYT US:T 90.94 3% -20% -29% 28% 11.0 2.4 -1.9% -3.2% Sell
8-Jun-12 IHF US:HCP 62.47 15% -32% -48% 29% 11.7 2.4 -3.5% -3.8% Sell
8-Jun-12 IYF US:FIN 53.37 27% -39% -52% 29% 11.7 2.6 -6.9% -5.3% Sell
8-Jun-12 IAK US:INS 29.70 14% -34% -47% 28% 12.0 1.2 -5.6% -5.6% Sell
8-Jun-12 IYJ US:IND 66.36 11% -35% -43% 28% 12.0 2.8 -5.1% -5.4% Sell
8-Jun-12 IYW US:TECH 70.58 30% -42% -53% 24% 12.0 3.8 -7.1% -5.2% Sell
8-Jun-12 ITA US:AD 62.10 6% -36% -47% 26% 13.0 2.5 -5.1% -6.1% Sell
8-Jun-12 IYE US:EN 37.26 -12% -49% -51% 30% 17.0 1.8 -5.0% -9.4% Sell
8-Jun-12 IYM US:BM 63.82 -6% -44% -57% 35% 17.3 3.4 -5.1% -8.8% Sell
8-Jun-12 IEO US:OGEP 56.05 -19% -63% -62% 41% 19.3 4.2 -7.2% -13.3% Sell
8-Jun-12 IEZ US:OES 46.04 -21% -57% -63% 44% 19.7 3.2 -8.2% -13.0% 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 ) 1 of 14 or 7% , COUNTIF( Held ) 0 of 14 or 0%

Hold: Three ( 3 ), ST Holdings: - , Sell: - , Buy: AGG
                                                              (R3)  LR126  LR126   (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
8-Jun-12 AGG US:FIT 110.90 2% 8% 5% 3% 1.0 0.5 0.1% 0.7% BUY
8-Jun-12 SHY US:FIT 84.43 0% 1% 0% 1% 2.0 0.1 0.1% 0.0% Sell
8-Jun-12 IYR US:REIT 62.18 25% -2% -15% 25% 3.0 1.6 -2.4% -0.7% Sell
8-Jun-12 IWF US:LCG 62.31 22% -28% -39% 21% 4.0 2.3 -5.1% -3.5% Sell
8-Jun-12 IWD US:LCV 66.23 11% -30% -36% 22% 5.0 2.2 -3.7% -4.0% Sell
8-Jun-12 DBP GLC:PM 54.74 -10% -31% -38% 29% 6.0 2.4 -2.4% -5.7% Sell
8-Jun-12 DBA GLC:AG 26.57 -18% -33% -30% 14% 7.0 0.6 -0.5% -6.3% Sell
8-Jun-12 IWN US:SCV 68.17 8% -34% -37% 28% 8.0 2.7 -4.0% -5.1% Sell
8-Jun-12 IWO US:SCG 88.10 9% -38% -41% 31% 9.0 4.1 -4.8% -5.8% Sell
8-Jun-12 DBB GLC:BM 18.15 -7% -42% -45% 27% 10.0 1.0 -6.6% -8.5% Sell
8-Jun-12 SCZ GL:SC 35.20 9% -46% -63% 26% 11.0 2.0 -8.5% -8.8% Sell
8-Jun-12 ACWX GL:LCB 36.06 0% -49% -60% 25% 12.0 1.9 -7.1% -9.2% Sell
8-Jun-12 EEM GL:EM 37.93 0% -52% -64% 31% 13.0 2.5 -7.7% -10.3% Sell
8-Jun-12 DBE GLC:ENE 25.13 -7% -58% -70% 23% 14.0 1.6 -11.7% -12.5% 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 < 2.5 & 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 AvgRank STEYX % off SMA_PO Status: Held
8-Jun-12 TIP US:FIT 120.18 6% 13% 11% 5% 3.3 0.7 0.0% 1.4% Sell
8-Jun-12 RHS US:SS 65.75 13% -3% -11% 13% 3.3 0.8 -1.3% 0.1% Sell
8-Jun-12 RYH US:SH 72.02 23% -17% -27% 21% 4.0 2.1 -3.8% -1.9% Sell
8-Jun-12 RCD US:SD 51.57 27% -28% -40% 27% 4.3 2.1 -5.7% -3.3% Sell
8-Jun-12 RYU US:SU 56.20 2% 4% 17% 13% 4.7 0.6 2.7% 1.2% Sell
8-Jun-12 SDY US:Div'd 55.35 6% -18% -22% 16% 5.7 1.1 -1.2% -2.2% Sell
8-Jun-12 RSP US:LC 48.35 12% -33% -42% 24% 6.3 1.9 -4.9% -4.9% Sell
8-Jun-12 RYF US:SF 25.70 23% -41% -51% 31% 7.0 1.3 -7.2% -6.0% Sell
8-Jun-12 RGI US:SI 53.29 5% -36% -45% 29% 8.3 2.3 -4.8% -5.9% Sell
8-Jun-12 RYT US:ST 51.68 10% -50% -60% 28% 9.7 3.1 -7.2% -8.6% Sell
8-Jun-12 RTM US:SM 57.34 4% -41% -58% 32% 10.0 2.9 -5.8% -7.6% Sell
8-Jun-12 RYE US:SE 55.22 -17% -54% -57% 38% 11.3 3.4 -8.2% -11.4% 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 ) 0 of 12 or 0% , COUNTIF( Held ) 0 of 12 or 0%

Hold: Three ( 3 ), ST Holdings: - , Sell: - , Buy: -
                                                               (R3)  LR126  LR126  (10,100)           Days
EndD ETF's Class: Price RRS126 RRS63 RRS42 GSDm Rank STEYX % off SMA_PO Status: Held
8-Jun-12 LQD US:FIIG 116.48 6% 6% 1% 6% 1.0 1.0 -0.4% 0.3% HTD
8-Jun-12 IYR US:REIT 62.18 25% -2% -15% 25% 2.0 1.6 -2.4% -0.7% Sell
8-Jun-12 EMB GL:FIEM 112.14 7% -9% -19% 8% 3.0 1.5 -1.1% -1.4% Sell
8-Jun-12 DVY US:Div'd 55.47 9% -11% -15% 15% 4.0 0.9 -1.2% -1.2% Sell
8-Jun-12 HYG US:FIHY 88.69 1% -13% -21% 12% 5.0 1.3 -1.4% -2.5% Sell
8-Jun-12 IVV US:LCB 133.52 16% -29% -37% 21% 6.0 4.5 -4.2% -3.6% Sell
8-Jun-12 IJH US:MCB 92.65 17% -31% -39% 27% 7.0 3.8 -5.6% -4.7% Sell
8-Jun-12 IJR US:SCB 71.18 10% -32% -37% 28% 8.0 2.8 -4.5% -5.0% Sell
8-Jun-12 SCZ GL:SC 35.20 9% -46% -63% 26% 9.0 2.0 -8.5% -8.8% Sell
8-Jun-12 EFA GL:DM 48.51 0% -48% -58% 24% 10.0 2.5 -6.6% -9.0% Sell
8-Jun-12 IDV GL:Div'd 28.78 -3% -49% -57% 24% 11.0 1.5 -6.3% -9.3% Sell
8-Jun-12 EEM GL:EM 37.93 0% -52% -64% 31% 12.0 2.5 -7.7% -10.3% 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 ) 2 of 10 or 20%

ST Holdings: QQQ,IVV , Sell: IVV , Buy: -
                                                             (R3,R2,R1)  LR63   LR63   (5,50)           Days
EndD ETF's Class: Price RRS63 RRS42 RRS21 GSDm Avg Rank STEYX % off SMA_PO Status: Held
8-Jun-12 EEM GL:EM 37.93 -52% -64% -47% 31% 9.7 0.9 1.6% -6.9% HTD
8-Jun-12 EFA GL:DM 48.51 -48% -58% -52% 24% 9.3 1.1 1.3% -6.4% HTD
8-Jun-12 IJH US:MCB 92.65 -31% -39% -43% 27% 7.0 1.7 0.6% -4.7% HTD
8-Jun-12 QQQ US:LCB 62.87 -33% -44% -30% 22% 6.3 1.2 1.5% -4.3% HTD 8
8-Jun-12 IWM US:SCB 76.97 -36% -39% -35% 30% 6.3 1.3 2.0% -4.3% HTD
8-Jun-12 DIA US:LCB 125.43 -25% -35% -37% 18% 5.0 2.0 1.0% -3.7% HTD
8-Jun-12 IVV US:LCB 133.52 -29% -37% -30% 21% 4.3 2.0 1.4% -3.7% HTD 4
8-Jun-12 IYR US:REIT 62.18 -2% -15% -35% 25% 3.3 1.2 0.4% -1.8% Buy
8-Jun-12 HYG US:FIHY 88.69 -13% -21% -29% 12% 2.7 0.9 0.4% -2.1% Buy
8-Jun-12 LQD US:FIIG 116.48 6% 1% -2% 6% 1.0 0.6 -0.1% 0.1% 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) 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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