SOLD:
*-
BOUGHT:
*-
Taxable_Acct. - Tactical_Asset_Allocation: RRS
SELL: IF( Avg Rank > 3.0 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: - , 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
25-May-12 VNQ US:RE 62.67 37% 19% 8% 26% 1.5 1.5 -4.8% 0.8% HTD 25
25-May-12 PGX US:PF 14.24 10% -7% -9% 8% 3.0 0.2 -1.8% -1.1% Sell
25-May-12 PRF US:LC 56.28 22% -21% -36% 22% 3.0 1.8 -6.5% -3.8% Sell
25-May-12 TLT US:FIT 123.40 -3% 36% 77% 18% 3.5 3.0 5.6% 5.0% Sell
25-May-12 DBC GL:Com 26.05 3% -40% -49% 18% 5.0 1.0 -7.5% -6.9% Sell
25-May-12 PXF GL:DM 30.28 5% -51% -61% 27% 5.0 1.8 -11.8% -10.3% 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 ) 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 Avg Rank STEYX % off SMA_PO Status: Held
25-May-12 ITB US:HB 15.53 93% 46% 68% 45% 1.0 0.6 -2.6% 6.1% HTD 119
25-May-12 IYR US:RE 61.45 35% 14% 7% 25% 3.3 1.5 -4.5% 0.6% HTD
25-May-12 IHE US:PH 81.81 29% 6% -4% 18% 4.7 1.5 -2.8% 1.2% HTD
25-May-12 IYC US:CS 79.01 39% 2% -15% 20% 5.7 1.8 -4.5% 0.2% Sell
25-May-12 IYH US:HC 76.03 27% 4% -12% 18% 6.0 1.5 -3.7% 0.2% Sell
25-May-12 IDU US:UT 87.26 3% 5% 17% 11% 7.3 1.0 0.7% 0.9% Sell
25-May-12 IYF US:FIN 53.11 46% -16% -44% 29% 9.0 2.3 -9.6% -3.7% Sell
25-May-12 SHY US:FIT 84.43 0% 1% 1% 1% 9.3 0.1 0.1% 0.0% Sell
25-May-12 IYK US:CG 71.73 22% -5% -20% 14% 9.3 1.3 -3.8% -0.7% Sell
25-May-12 IYY US:TM 66.31 27% -16% -33% 21% 9.7 2.1 -6.5% -2.8% Sell
25-May-12 IAK US:INS 29.51 27% -18% -37% 27% 10.7 1.1 -8.3% -4.0% Sell
25-May-12 IYT US:T 91.03 10% -8% -22% 28% 10.7 2.5 -3.3% -3.0% Sell
25-May-12 IYJ US:IND 66.55 24% -22% -35% 28% 12.0 2.6 -6.9% -4.3% Sell
25-May-12 IYW US:TECH 69.59 45% -25% -52% 23% 12.3 3.2 -10.2% -3.7% Sell
25-May-12 IHF US:HCP 61.59 25% -21% -50% 29% 13.3 2.2 -6.4% -4.3% Sell
25-May-12 ITA US:AD 61.69 18% -25% -38% 25% 14.0 2.3 -7.9% -5.0% Sell
25-May-12 IYM US:BM 63.51 5% -35% -50% 35% 16.0 3.2 -8.3% -8.9% Sell
25-May-12 IYE US:EN 37.58 -2% -45% -45% 30% 17.0 1.7 -7.1% -8.5% Sell
25-May-12 IEZ US:OES 47.85 -11% -54% -52% 44% 19.0 3.0 -8.2% -11.8% Sell
25-May-12 IEO US:OGEP 56.58 -8% -60% -61% 40% 19.7 4.0 -10.0% -12.6% 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 ) 1 of 14 or 7%
Hold: Three ( 3 ), ST Holdings: 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
25-May-12 IYR US:REIT 61.45 35% 14% 7% 25% 1.0 1.5 -4.5% 0.6% HTD 25
25-May-12 IWF US:LCG 62.21 33% -13% -33% 21% 3.0 1.9 -6.7% -2.1% Sell
25-May-12 IWD US:LCV 65.64 22% -18% -32% 22% 5.0 2.0 -6.2% -3.4% Sell
25-May-12 SCZ GL:SC 35.13 22% -33% -51% 25% 5.5 1.7 -11.2% -7.0% Sell
25-May-12 IWO US:SCG 87.80 22% -27% -40% 31% 5.5 3.8 -7.3% -4.9% Sell
25-May-12 AGG US:FIT 110.92 2% 4% 8% 3% 6.0 0.5 0.3% 0.6% Sell
25-May-12 IWN US:SCV 67.79 20% -21% -36% 28% 6.0 2.6 -6.6% -4.3% Sell
25-May-12 SHY US:FIT 84.43 0% 1% 1% 1% 7.5 0.1 0.1% 0.0% Sell
25-May-12 ACWX GL:LCB 35.79 11% -39% -53% 24% 10.0 1.7 -10.3% -8.0% Sell
25-May-12 EEM GL:EM 37.15 13% -45% -58% 31% 10.5 2.3 -12.4% -9.7% Sell
25-May-12 DBB GLC:BM 18.57 1% -39% -37% 27% 11.0 0.9 -6.8% -7.3% Sell
25-May-12 DBE GLC:ENE 26.80 7% -44% -55% 21% 11.0 1.3 -9.4% -7.8% Sell
25-May-12 DBA GLC:AG 26.36 -14% -34% -31% 14% 11.5 0.6 -3.0% -5.4% Sell
25-May-12 DBP GLC:PM 54.03 -9% -36% -42% 29% 11.5 2.3 -4.5% -7.5% Sell
IRA_Acct. - S&P Equal Weight Sector ETF's: RRS
SELL: IF( Avg Rank >= 3.0 or RRS126 < 0 or SMA10 < SMA100 ), BUY: IF( Avg Rank < 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 Avg Rank STEYX % off SMA_PO Status: Held
25-May-12 RHS US:SS 65.60 17% 6% -5% 13% 3.7 0.7 -1.9% 0.8% Sell
25-May-12 TIP US:FIT 120.38 5% 9% 16% 5% 4.0 0.7 0.6% 1.5% Sell
25-May-12 RYH US:SH 72.11 33% -3% -24% 21% 4.0 1.9 -4.8% -0.8% Sell
25-May-12 RCD US:SD 51.86 39% -13% -30% 27% 4.7 1.8 -6.6% -2.1% Sell
25-May-12 RYU US:SU 54.80 2% -2% 8% 13% 5.3 0.6 0.4% 0.0% Sell
25-May-12 SDY US:Div'd 54.72 11% -11% -20% 16% 6.0 1.1 -3.3% -2.3% Sell
25-May-12 RYF US:SF 25.68 42% -22% -44% 30% 6.0 1.2 -9.6% -4.1% Sell
25-May-12 RSP US:LC 48.34 24% -21% -36% 24% 6.3 1.7 -6.7% -3.9% Sell
25-May-12 RGI US:SI 53.82 17% -27% -39% 29% 8.0 2.1 -6.1% -5.4% Sell
25-May-12 RYT US:ST 51.36 25% -36% -57% 27% 9.0 2.7 -10.5% -6.9% Sell
25-May-12 RTM US:SM 57.32 17% -28% -48% 32% 9.3 2.7 -8.4% -7.3% Sell
25-May-12 RYE US:SE 57.54 -8% -51% -49% 38% 11.7 3.2 -7.5% -10.4% 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 ) 1 of 12 or 8%
Hold: Three ( 3 ), ST Holdings: 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
25-May-12 IYR US:REIT 61.45 35% 14% 7% 25% 1.0 1.5 -4.5% 0.6% HTD 25
25-May-12 DVY US:Div'd 54.98 15% -3% -8% 15% 4.5 0.9 -2.9% -0.8% Sell
25-May-12 IJH US:MCB 93.48 29% -19% -31% 27% 4.5 3.4 -6.6% -3.2% Sell
25-May-12 IVV US:LCB 132.56 27% -15% -32% 20% 4.5 4.0 -6.4% -2.7% Sell
25-May-12 LQD US:FIIG 115.88 8% 1% 5% 6% 6.0 1.2 -1.1% 0.2% Sell
25-May-12 IJR US:SCB 71.10 23% -19% -34% 28% 6.0 2.7 -6.7% -3.8% Sell
25-May-12 EMB GL:FIEM 110.52 10% -5% -7% 8% 6.5 1.3 -3.1% -0.9% Sell
25-May-12 SCZ GL:SC 35.13 22% -33% -51% 25% 7.0 1.7 -11.2% -7.0% Sell
25-May-12 HYG US:FIHY 88.14 6% -8% -10% 11% 8.5 1.4 -3.2% -1.9% Sell
25-May-12 EFA GL:DM 48.10 11% -37% -50% 23% 9.0 2.2 -10.0% -7.5% Sell
25-May-12 EEM GL:EM 37.15 13% -45% -58% 31% 9.5 2.3 -12.4% -9.7% Sell
25-May-12 IDV GL:Div'd 28.41 8% -38% -49% 23% 11.0 1.3 -10.1% -7.6% Sell
Shortables Trends and Ranks: RRS
BUY: to Cover IF( Avg Rank <= 5 ), SELL: Short IF( Avg Rank >= 6 & Price < LR63 )
COUNTIF( Sell ) 5 of 10 or 50% , COUNTIF( Held ) 0 of 10 or 0%
ST Holdings: - , Sell: - , 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
25-May-12 EEM GL:EM 37.15 -45% -58% -86% 31% 10.0 1.0 -4.4% -9.2% SELL
25-May-12 GSG GL:COM 31.23 -43% -53% -75% 20% 8.7 0.6 -2.2% -7.3% SELL
25-May-12 EFA GL:DM 48.10 -37% -50% -81% 23% 8.3 1.2 -3.8% -7.6% SELL
25-May-12 QQQ US:LCB 62.07 -17% -44% -68% 22% 6.3 1.7 -3.2% -5.1% SELL
25-May-12 IWM US:SCB 76.59 -24% -38% -65% 30% 6.3 1.7 -1.5% -4.8% SELL
25-May-12 IJH US:MCB 93.48 -19% -31% -64% 27% 5.0 1.8 -1.5% -4.1% Buy
25-May-12 IVV US:LCB 132.56 -15% -32% -62% 20% 4.3 2.5 -2.0% -4.0% Buy
25-May-12 DIA US:LCB 124.26 -12% -25% -61% 18% 3.0 2.0 -2.5% -3.6% Buy
25-May-12 IYR US:REIT 61.45 14% 7% -55% 25% 1.7 1.1 -2.4% -1.5% Buy
25-May-12 AGG US:T 110.92 4% 8% 5% 3% 1.3 0.5 0.1% 0.5% Buy
Notes: Last modified 5/11/2012.
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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