Key Strength Indicators (See Report 6 for a complete list):
MTI (Market Timing Indicator): 1.3500 (> neutral value of 1.0)
Market Color Code: ORANGE (our 'Anything Can Happen' market color code)
One-Day Projection (MSI=Market Strength Indicator): 1.00 to 1.00 (Moderate to Strong UP)
The Market Assessment (BNB=Bullish/Neutral/Bearish): Bullish
Long-Term Projection (mutual fund MFTI-A Signal): BUY
Predicted QQQQ vs. DIA Strength (range -1.0 to 1.0): 0.8503 vs. 1.0000.
|
IWM Signal: BUY |
See Report 3 below for all 140 stock/ETF Voted Signals. In Cash Accounts (e.g., IRAs) our optimal strategy is: (1) on BUY signals apply 40% of total equity to buying TNA (the 3x ultra leveraged version of IWM), (2) on SHORT signals sell TNA and apply 20% of equity to buying TZA (the 3x ultra-short leveraged version of IWM), and (3) on BUY signals repeat the process (40% of equity on TNA). This 40%/20%/40%... allocation method should permit continuous trades by providing for the 3-day settling period required for Cash accounts. When the IWM signal is CASH, then we stay in Cash ... further assisting the settling of previous trades. Notice that when we are Long then we have a 120% leveraging effect (3x leverage times 40% allocation), accelerating our gains (hopefully), and when we are Short then we are only 60% at risk (3x leverage times 20% allocation), playing it safer. |
|
MFTI-A Signal: BUY |
BUY=Buy/Hold equity mutual funds; SELL=Go to Money Market |
************* Table 1. Major ETF Signals ****************
***************************************************************
Auto-Trading Signals
(for auto-trades at
http://www.tradewallstreet.com)
Key: BUY (go
Long)
$$$$ (go to Cash)
SHORT (go
Short)
***************************************************************
QQQQ
BUY (NASDAQ 100)
SPY
BUY (S&P 500)
DIA
BUY (DOW 30)
IWM
BUY (Russell Small-Cap 2000 Index)
MDY
BUY (S&P Mid-cap 400 Trust)
IJH
BUY (S&P Mid-cap 400 Index)
SMH
BUY (Semiconductors)
VTI
BUY (Whole US Stock Market)
USS#1
BUY (Ultra-Safe Signal #1)
USS#2
BUY (Ultra-Safe Signal #2)
MFTI-A
BUY (Long-Term Trading Signal A: Mutual
Funds)
MFTI-B BUY (Long-Term Trading
Signal B: Mutual Funds/ETFs)
MFTI-C BUY
(Long-Term Trading Signal C: Mutual Funds/ETFs)
MFTI-D
BUY (Long-Term Trading Signal D: Mutual
Funds/ETFs)
MFTI-X BUY (Long-Term
Trading Signal X:
ETFs)
***************************************************************
***
Note 1: The MTI can range from about -2.5 to +2.5, with a 'neutral'
value of 1.0. A value of 1.0 will generally be associated with a
market that is either stable (holding its valuations) or rising
slowly and erratically. Values greater than 1.0 signify a 'long'
market, while values substantially below 1.0 (and especially zero or
negative) signify shorting situations. Although the MTI is extremely
useful (especially in the construction of equity-specific models),
bear in mind that it has a reaction time of several days. It is thus
not sufficient to use this indicator alone for trading specific
equities on a day-by-day basis.
Table
2: Performance Statistics for the Long-Term Signals. Back-tested
from 8/16/02 using IWM (traded Long/Short) as a surrogate for a
typical equity mutual fund.
|
Long-Term Signal |
Annualized Gain (Long) |
Max. Drawdown (Long) |
#buys + #sells (8/16/02 to present) |
Annualized Gain (Short) |
Max. Drawdown (Short) |
|
MFTI-A (for mutual funds) |
30.65% |
-12.10% |
40 |
16.13% |
-14.94% |
|
MFTI-B |
36.79% |
-11.87% |
78 |
22.17% |
-17.04% |
|
MFTI-C |
65.12% |
-8.84% |
326 |
48.42% |
-10.67% |
|
MFTI-D |
109.70% |
-11.59% |
536 |
86.84% |
-7.87% |
|
Long-Only Signals |
|
|
|
|
|
|
USS#1 (Long-Only) |
85.54% |
-14.36% |
414 |
N/A |
N/A |
|
USS#2 (Long-Only) |
114.52% |
-13.10% |
528 |
N/A |
N/A |
============
Forecast Reports (Jump to Key Information) ============
Report
1: Differential Signals (fully hedged and partially hedged low risk
trading)
Report 2: Pairs Trading (pairs of
ETFs that work well together)
Report 3: Voted
Signals for stocks and ETFs (make your own portfolios)
Report
4: Day Trades (Stocks and ETF 'picks' for the day + Trading
Pairs)
Report 5: Prediction Table (predicting
the Close based upon the Open)
Report 6:
Primary Indicators (the technical basis for our Forecast)
Report
A: Major Strategies (a spectrum of investment
choices)
====================================================================
Strategy Performance
|
Relevant Report |
Noteworthy Performance |
Comments |
|
Although stocks are more volatile than ETFs, and will entail larger drawdowns, they will also generally produce higher gains, Report 3 shows some excellent stock performance, e.g., VTI (Total US Market ETF) has an actual gain of 87.56% over the past 862 trading days, giving an annualized yield of 20.19%. Note, however, that VTI is a relatively low volume ETF, making it somewhat hard to trade Long, and even more difficult to Short. Its main importance is providing corroboration for our predictions of overall market direction MSFT has an actual gain of 59.73% over the past 815 trading days (an annualized gain of 15.58%). See Report 3 (below) for more information about both stock and ETF performance. AAPL has an actual gain of 118.58% over the past 815 trading days (an annualized gain of 27.35%). See Report 3 (below) for more information about both stock and ETF performance. GRMN has an actual gain of 239.57% over the past 786 trading days (an annualized gain of 47.98%). See Report 3 (below) for more information. On the financial side, observe that AXP has made an actual gain of 152.36% over the past 815 trading days (an annualized gain of 33.14%). Note that IWM has made a gain of 120.21% (annualized gain of 25.96%) over a period of 862 trading days.
|
QQQQ, SPY, DIA, IWM, MDY, and SMH are the 6 equities that TimerTrac monitoring for us1. The performance of QQQQ has suffered in comparison because of frequent model changes, but should now be performing on a par with these other signals. |
|
|
|
When pairs are traded we use a pre-determined 'equity ratio'. For example, the ratio for IBB/IYJ is 35% IBB to 65% IYJ. Larger portfolios of ETFs (3 or more) can be easily constructed by selecting several pairs to trade, and by combining ratios when two pairs share a common equity. |
|
|
|
ether trading single equities or Pairs, protective stops of +/- 3% are utilized, thus greatly reducing risk. The relative 'goodness' of a trade is determined by its G/d value (back-tested annualized gain divided by maximum drawdown). |
|
|
(4) Fully-Hedged Trading (simultaneous Longs and Shorts). The availability of the 2x 'short' ETFs (e.g., QID and DXD) make this strategy suitable for retirement accounts, and it provides maximum safety. |
|
|
|
|
(5) Partially-Hedged Trading (hedged only when MTI <= 1.0). |
|
|
|
|
(6) Trading Mutual Funds (1000 funds from 21 different fund families). We add additional funds and fund families based upon subscriber requests. |
MUTFUNDS Report |
|
|
Actual Performance of Long-Term Signals (traded Long/Short) and Ultra-Safe Signals (traded Long).
The following Table shows the 'actual' performance of MFTI-A thru MFTI-X, plus our two Ultra-Safe Signals beginning at the Open on 5/18/10. This date was chosen because from that date forwards all signals remained constant until 6/25/10, on which date we saw some signal changes. What you see is the net compounded gain or loss at the Close on the date shown, assuming that all trades have been made at the market Open. The IWM ETF is used as the underlying equity. IWM is not only one of our most accurate and productive signals, but it makes a reasonable approximation to an 'average' equity mutual fund as well.
MFTI-A MFTI-B MFTI-C MFTI-D MFTI-X USS#1 USS#2
---------------------------------------------------------------------
051810 0.46% -0.46% 0.46% 0.46% -0.46% 0.00% 0.00%
051910 -0.73% 0.73% -0.73% -0.73% 0.73% 0.00% 0.00%
052010 -5.76% 5.76% -5.76% -5.76% 5.76% 0.00% 0.00%
052110 -4.37% 4.37% -4.37% -4.37% 4.37% 0.00% 0.00%
052410 -5.64% 5.64% -5.64% -5.64% 5.64% 0.00% 0.00%
052510 -5.66% 5.66% -5.66% -5.66% 5.66% 0.00% 0.00%
052610 -5.42% 5.42% -5.42% -5.42% 5.42% 0.00% 0.00%
052710 -1.37% 1.37% -1.37% -1.37% 1.37% 0.00% 0.00%
052810 -2.63% 2.63% -2.63% -2.63% 2.63% 0.00% 0.00%
060110 -5.58% 5.58% -5.58% -5.58% 5.58% 0.00% 0.00%
060210 -2.90% 2.90% -2.90% -2.90% 2.90% 0.00% 0.00%
060310 -1.65% 1.65% -1.65% -1.65% 1.65% 0.00% 0.00%
060410 -6.58% 6.58% -6.58% -6.58% 6.58% 0.00% 0.00%
060710 -8.99% 8.99% -8.99% -8.99% 8.99% 0.00% 0.00%
060810 -9.04% 9.04% -9.04% -9.04% 9.04% 0.00% 0.00%
060910 -8.98% 8.98% -8.98% -8.98% 8.98% 0.00% 0.00%
061010 -5.83% 5.83% -5.83% -5.83% 5.83% 0.00% 0.00%
061110 -4.56% 4.56% -4.56% -4.56% 4.56% 0.00% 0.00%
061410 -3.95% 3.95% -3.95% -3.95% 3.95% 0.00% 0.00%
061510 -1.54% 1.54% -1.54% -1.54% 1.54% 0.00% 0.00%
061610 -2.00% 2.00% -2.00% -2.00% 2.00% 0.00% 0.00%
061710 -1.88% 1.88% -1.88% -1.88% 1.88% 0.00% 0.00%
061810 -1.82% 1.82% -1.82% -1.82% 1.82% 0.00% 0.00%
062110 -2.84% 2.84% -2.84% -2.84% 2.84% 0.00% 0.00%
062210 -4.84% 4.84% -4.84% -4.84% 4.84% 0.00% 0.00%
062310 -5.10% 5.10% -5.10% -5.10% 5.10% 0.00% 0.00%
062410 -6.61% 6.61% -6.61% -6.61% 6.61% 0.00% 0.00%
062510 -5.01% 5.01% -5.01% -5.01% 5.10% 0.05% 0.05%
062810 -5.56% 5.56% -5.56% -5.56% 4.50% -0.53% -2.17%
062910 -9.13% 9.13% -9.13% -9.13% -0.20% -4.64% -2.17%
063010 -10.17% 10.17% -10.17% -10.17% 0.96% -4.64% -2.17%
070110 -10.82% 10.82% -10.82% -10.82% 1.67% -4.64% -2.17%
070210 -12.08% 12.08% -12.08% -12.08% 3.07% -4.64% -2.17%
070610 -13.23% 13.23% -13.23% -13.23% 4.34% -4.64% -2.17%
070710 -10.20% 7.97% -10.20% -10.20% -1.25% -5.71% -3.26%
070810 -8.91% 9.52% -8.91% -8.91% 0.18% -4.35% -1.87%
070910 -7.50% 11.22% -7.50% -7.50% 1.73% -2.87% -0.35%
071210 -8.54% 9.96% -8.54% -8.54% 0.58% -3.96% -1.47%
071310 -5.64% 13.44% -5.64% -5.64% 3.76% -0.92% 1.65%
071410 -5.98% 13.04% -5.98% -5.98% 3.81% -1.08% 1.49%
071510 -6.85% 12.00% -6.85% -6.85% 4.77% -1.08% 1.49%
071610 -10.24% 7.91% -10.24% -10.24% 8.50% -1.08% 1.49%
071910 -9.86% 8.37% -9.86% -9.86% 8.08% -1.08% 1.49%
072010 -8.35% 10.19% -8.35% -8.35% 6.41% -1.08% 1.49%
072110 -9.99% 8.21% -9.99% -9.99% 8.22% -1.08% 1.49%
072210 -7.30% 11.45% -7.30% -7.30% 5.14% -1.14% 1.43%
072310 -4.50% 14.82% -4.50% -4.50% 8.32% 1.85% 4.50%
072610 -2.32% 17.44% -2.32% -2.32% 10.79% 4.17% 6.88%
072710 -2.67% 17.01% -2.67% -2.67% 10.39% 3.80% 6.49%
072810 -4.25% 15.12% -4.25% -4.25% 8.60% 2.12% 4.77%
072910 -4.50% 14.82% -4.50% -4.50% 8.32% 1.85% 4.50%
073010 -4.44% 14.89% -4.44% -4.44% 8.39% 1.91% 4.56%
080210 -2.78% 16.89% -2.78% -2.78% 10.27% 3.69% 6.38%
080310 -3.56% 15.95% -3.56% -3.56% 9.39% 2.86% 5.53%
080410 -2.54% 17.17% -2.54% -2.54% 10.54% 3.94% 6.64%
080510 -3.69% 15.79% -3.69% -3.69% 9.24% 2.71% 5.38%
080610 -4.26% 15.11% -4.26% -4.26% 8.59% 2.10% 4.75%
080910 -3.20% 16.38% -3.20% -3.20% 9.79% 3.23% 5.91%
081010 -5.03% 14.19% -5.03% -5.03% 7.72% 1.29% 3.92%
081110 -8.76% 9.70% -8.76% -8.76% 3.48% -2.69% -2.16%
081210 -9.22% 9.15% -9.22% -9.22% 2.97% -3.18% -1.71%
081310 -10.24% 7.91% -10.24% -10.24% 1.80% -4.28% -2.83%
081610 -9.52% 8.78% -9.52% -9.52% 2.62% -3.51% -2.05%
081710 -7.97% 10.65% -7.97% -7.97% 4.38% -1.85% -0.36%
081810 -7.69% 10.99% -7.69% -7.69% 4.70% -1.55% -0.06%
081910 -10.21% 7.95% -10.21% -10.21% 1.83% -4.25% -2.80%
082010 -10.13% 8.05% -10.13% -10.13% 1.93% -4.15% -2.70%
082310 -11.35% 6.59% -11.35% -11.35% 0.55% -5.45% -4.02%
082410 -12.36% 5.37% -12.36% -12.36% -2.30% -7.33% -5.93%
082510 -11.04% 6.96% -11.04% -11.04% -4.55% -7.68% -6.29%
082610 -11.70% 6.16% -11.70% -11.70% -5.26% -8.37% -6.98%
082710 -9.39% 8.94% -9.39% -9.39% -2.78% -5.98% -4.55%
083010 -11.38% 6.55% -11.38% -11.38% -5.48% -8.31% -6.92%
083110 -11.55% 6.34% -11.55% -11.55% -5.29% -8.31% -6.92%
090110 -8.13% 10.46% -8.13% -8.13% -8.93% -8.29% -6.91%
090210 -7.11% 11.68% -7.11% -7.11% -7.93% -7.28% -5.88%
090310 -5.45% 13.67% -5.45% -5.45% -6.28% -5.62% -4.20%
090710 -7.25% 11.52% -7.25% -7.25% -7.68% -7.22% -5.82%
090810 -6.70% 12.17% -6.70% -6.70% -8.22% -7.22% -5.82%
090910 -6.64% 12.24% -6.64% -6.64% -8.28% -7.22% -5.82%
091010 -6.35% 12.60% -6.35% -6.35% -10.74% -8.32% -6.93%
091310 -4.07% 15.34% -4.07% -4.07% -8.57% -6.09% -4.67%
091410 -4.48% 14.84% -4.48% -4.48% -8.96% -6.49% -5.08%
091510 -3.94% 15.49% -3.94% -3.94% -8.44% -5.96% -4.53%
091610 -4.56% 14.75% -4.56% -4.56% -9.03% -6.56% -5.15%
091710 -4.16% 15.23% -4.16% -4.16% -8.65% -6.17% -4.75%
092010 -1.50% 18.43% -1.50% -1.50% -6.12% -3.57% -2.11%
092110 -2.07% 17.74% -2.07% -2.07% -6.66% -4.13% -2.68%
092210 -3.23% 16.34% -3.23% -3.23% -7.77% -5.27% -3.83%
092310 -4.64% 14.65% -4.64% -4.64% -9.11% -6.65% -5.24%
092410 -1.54% 18.37% -1.54% -1.54% -6.16% -3.61% -2.15%
092710 -1.79% 18.07% -1.79% -1.79% -6.40% -3.86% -2.40%
092810 -0.82% 19.24% -0.82% -0.82% -5.47% -2.91% -1.44%
092910 -0.54% 19.58% -0.54% -0.54% -5.21% -2.63% -1.16%
093010 -0.79% 19.28% -0.79% -0.79% -5.44% -2.88% -1.41%
100110 -0.26% 19.91% -0.26% -0.26% -4.94% -2.36% -0.88%
100410 -1.62% 18.29% -1.62% -1.62% -6.23% -3.68% -2.23%
100510 1.18% 21.64% 1.18% 1.18% -3.57% -0.95% 0.55%
100610 0.84% 21.24% 0.84% 0.84% -3.89% -1.28% 0.21%
100710 0.54% 20.88% 0.54% 0.54% -4.17% -1.57% -0.08%
100810 1.82% 22.42% 1.82% 1.82% -2.95% -0.32% 1.19%
101110 1.91% 22.53% 1.91% 1.91% -2.87% -0.23% 1.28%
101210 2.18% 22.85% 2.18% 2.18% -2.61% 0.03% 1.54%
101310 3.73% 24.72% 3.73% 3.73% -1.13% 1.55% 3.09%
101410 3.66% 24.63% 3.66% 3.66% -1.20% 1.48% 3.02%
101510 3.31% 24.21% 3.31% 3.31% -1.54% 1.14% 2.67%
101810 4.17% 25.25% 4.17% 4.17% -0.71% 1.98% 3.53%
101910 2.15% 22.81% 2.15% 2.15% -2.64% 0.00% 1.51%
102010 3.19% 24.06% 3.19% 3.19% -1.65% 1.02% 2.55%
102110 2.69% 23.46% 2.69% 2.69% -2.12% 0.53% 2.05%
102210 3.35% 24.26% 3.35% 3.35% -1.49% 1.18% 2.71%
102510 3.97% 25.00% 3.97% 3.97% -0.90% 1.78% 3.32%
102610 3.89% 24.91% 3.89% 3.89% -0.97% 1.71% 3.25%
102710 3.63% 24.59% 3.63% 3.63% -1.23% 1.45% 2.99%
102810 3.00% 23.83% 3.00% 3.00% -1.83% 0.83% 2.36%
102910 3.32% 24.22% 3.32% 3.32% -1.52% 1.15% 2.68%
110110 2.62% 23.38% 2.62% 2.62% -2.19% 0.46% 1.98%
110210 4.75% 25.94% 4.75% 4.75% -0.16% 2.55% 4.10%
110310 5.16% 26.43% 5.16% 5.16% 0.23% 2.95% 4.51%
110410 7.82% 29.63% 7.82% 7.82% 2.77% 5.55% 7.15%
110510 8.42% 30.35% 8.42% 8.42% 3.34% 6.14% 7.75%
110810 8.33% 30.25% 8.33% 8.33% 3.26% 6.06% 7.66%
110910 6.89% 28.52% 6.89% 6.89% 1.88% 4.65% 6.23%
111010 8.08% 29.95% 8.08% 8.08% 3.02% 5.81% 7.41%
111110 7.66% 29.44% 7.66% 7.66% 2.61% 5.39% 6.99%
111210 5.86% 27.28% 5.86% 5.86% 0.90% 3.64% 5.21%
111510 5.88% 27.30% 5.88% 5.88% 0.92% 3.65% 5.22%
111610 3.82% 24.82% 3.82% 3.82% -1.04% 1.64% 3.18%
111710 4.10% 25.16% 4.10% 4.10% -0.78% 1.91% 3.45%
111810 6.13% 27.60% 6.13% 6.13% 1.15% 3.90% 5.47%
111910 6.48% 28.02% 6.48% 6.48% 1.49% 4.24% 5.82%
112210 7.00% 28.64% 7.00% 7.00% 1.98% 4.75% 6.33%
112310 5.98% 27.42% 5.98% 5.98% 1.01% 3.75% 5.32%
112410 8.36% 30.28% 8.36% 8.36% 3.28% 6.09% 7.69%
112610 7.61% 29.38% 7.61% 7.61% 2.57% 5.35% 6.95%
112910 7.77% 29.58% 7.77% 7.77% 2.72% 5.51% 7.11%
113010 6.92% 28.55% 6.92% 6.92% 1.91% 4.68% 6.26%
120110 9.32% 31.43% 9.32% 9.32% 4.19% 7.02% 8.64%
120210 10.42% 32.76% 10.42% 10.42% 5.24% 8.10% 9.74%
120310 11.21% 33.71% 11.21% 11.21% 6.00% 8.88% 10.52%
120610 11.90% 34.54% 11.90% 11.90% 6.66% 9.55% 11.21%
120710 12.55% 35.32% 12.55% 12.55% 7.28% 10.19% 11.85%
120810 12.48% 35.23% 12.48% 12.48% 7.21% 10.11% 11.78%
120910 12.86% 35.69% 12.86% 12.86% 7.57% 10.49% 12.16%
121010 14.27% 37.39% 14.27% 14.27% 8.91% 11.87% 13.56%
121310 13.68% 36.68% 13.68% 13.68% 8.35% 11.29% 12.98%
121410 13.62% 36.61% 13.62% 13.62% 8.30% 11.24% 12.92%
121510 13.27% 36.19% 13.27% 13.27% 7.96% 10.89% 12.57%
121610 14.32% 37.44% 14.32% 14.32% 8.96% 11.91% 13.61%
121710 14.67% 37.86% 14.67% 14.67% 9.29% 12.26% 13.96%
122010 15.12% 38.41% 15.12% 15.12% 9.73% 12.70% 14.41%
122110 16.40% 39.95% 16.40% 16.40% 10.95% 13.96% 15.68%
122210 15.84% 39.28% 15.84% 15.84% 10.41% 13.41% 15.13%
122310 15.70% 39.10% 15.70% 15.70% 10.27% 13.27% 14.98%
122710 16.05% 39.53% 16.05% 16.05% 10.61% 13.61% 15.33%
122810 15.73% 39.14% 15.73% 15.73% 10.30% 13.29% 15.01%
122910 15.98% 39.44% 15.98% 15.98% 10.54% 13.54% 15.26%
123010 15.76% 39.17% 15.76% 15.76% 10.33% 13.32% 15.04%
123110 14.99% 38.25% 14.99% 14.99% 9.60% 12.57% 14.28%
010311 16.99% 40.66% 16.99% 16.99% 11.51% 14.53% 16.26%
010411 15.26% 38.57% 15.26% 15.26% 9.85% 12.83% 14.54%
010511 16.61% 40.20% 16.61% 16.61% 11.14% 14.16% 15.88%
010611 16.06% 39.54% 16.06% 16.06% 10.62% 13.63% 15.34%
010711 15.40% 38.75% 15.40% 15.40% 9.99% 12.98% 14.69%
011011 16.06% 39.54% 16.06% 16.06% 10.62% 13.63% 15.34%
011111 16.53% 40.11% 16.53% 16.53% 11.07% 14.09% 15.81%
011211 17.53% 41.31% 17.53% 17.53% 12.02% 15.06% 16.80%
011311 17.49% 41.26% 17.49% 17.49% 11.98% 15.02% 16.76%
011411 18.37% 42.32% 18.37% 18.37% 12.15% 15.54% 17.64%
011811 18.46% 42.42% 18.46% 18.46% 12.07% 15.54% 17.72%
011911 15.42% 38.77% 15.42% 15.42% 9.19% 12.57% 14.70%
012011 14.21% 37.32% 14.21% 14.21% 8.05% 11.40% 13.50%
012111 13.45% 36.40% 13.45% 13.45% 7.33% 10.65% 12.74%
012411 14.29% 37.41% 14.29% 14.29% 6.84% 10.81% 13.58%
012511 14.46% 37.62% 14.46% 14.46% 6.67% 10.81% 13.75%
012611 16.28% 39.81% 16.28% 16.28% 5.00% 10.84% 15.56%
012711 16.62% 40.22% 16.62% 16.62% 5.17% 11.09% 15.90%
012811 13.77% 36.79% 13.77% 13.77% 7.75% 11.09% 13.07%
013111 14.56% 37.74% 14.56% 14.56% 5.29% 10.17% 13.85%
020111 17.21% 40.92% 17.21% 17.21% 7.40% 12.54% 16.48%
020211 16.77% 40.39% 16.77% 16.77% 7.80% 12.54% 16.05%
020311 17.18% 40.89% 16.92% 16.92% 7.43% 12.54% 16.32%
020411 17.39% 41.13% 16.71% 16.71% 7.24% 12.54% 16.32%
020711 18.55% 42.53% 15.55% 15.55% 6.17% 12.54% 16.32%
020811 19.39% 43.54% 14.71% 14.71% 5.40% 12.54% 16.32%
020911 18.86% 42.90% 15.24% 15.24% 5.89% 12.54% 16.32%
021011 19.33% 43.47% 14.77% 14.77% 5.45% 12.54% 16.32%
021111 20.62% 45.02% 13.48% 13.48% 4.27% 12.54% 16.32%
021411 21.24% 45.76% 12.86% 12.86% 3.70% 12.54% 16.32%
021511 20.55% 44.93% 13.55% 13.55% 4.33% 12.54% 16.32%
021611 21.52% 46.10% 12.58% 12.58% 3.44% 12.54% 16.32%
021711 22.37% 47.12% 11.73% 11.73% 2.66% 12.54% 16.32%
021811 22.50% 47.28% 11.60% 11.60% 2.54% 12.54% 16.32%
022211 19.36% 43.50% 14.74% 14.54% 5.24% 12.45% 16.22%
022311 17.65% 41.45% 16.80% 12.90% 3.74% 10.67% 14.39%
022411 16.90% 40.55% 16.05% 12.18% 3.08% 10.67% 14.39%
022511 14.17% 37.26% 13.32% 9.56% 0.67% 10.67% 14.39%
022811 14.04% 37.11% 13.18% 9.43% 0.55% 10.67% 14.39%
030111 16.46% 40.02% 15.61% 11.76% 2.69% 10.67% 14.39%
030211 15.96% 39.42% 15.11% 11.28% 2.25% 10.67% 14.39%
030311 13.26% 36.17% 12.40% 8.69% -0.14% 10.67% 14.39%
030411 13.79% 36.80% 12.93% 9.19% 0.33% 10.67% 14.39%
030711 15.77% 39.19% 14.92% 11.10% 2.08% 10.67% 14.39%
030811 13.83% 36.86% 12.98% 9.24% 0.37% 10.67% 14.39%
030911 14.32% 37.44% 13.46% 9.70% 0.80% 10.67% 14.39%
031011 17.42% 41.17% 16.56% 12.68% 3.53% 10.67% 14.39%
031111 17.11% 40.80% 16.26% 12.38% 3.26% 10.67% 14.39%
031411 17.74% 41.56% 16.89% 12.99% 3.82% 10.67% 14.39%
031511 18.78% 42.81% 17.93% 13.99% 4.74% 10.67% 14.39%
031611 19.94% 44.21% 19.09% 15.10% 5.76% 10.67% 14.39%
031711 19.69% 43.91% 18.84% 14.86% 5.54% 10.67% 14.39%
031811 18.17% 42.07% 17.31% 13.40% 4.19% 10.67% 14.39%
032111 15.14% 38.44% 14.29% 10.50% 1.53% 10.53% 14.24%
032211 14.54% 37.71% 13.69% 9.91% 0.99% 9.94% 13.63%
032311 14.89% 38.13% 14.04% 10.25% 1.30% 10.28% 13.98%
032411 15.44% 38.80% 14.59% 12.09% 2.99% 11.46% 14.53%
032511 16.45% 40.00% 15.59% 11.12% 2.10% 11.46% 15.53%
032811 16.19% 39.70% 15.33% 11.10% 2.08% 11.33% 15.42%
032911 17.28% 41.01% 17.29% 12.98% 3.04% 12.37% 15.42%
033011 18.80% 42.83% 15.78% 11.53% 4.37% 13.82% 15.42%
033111 20.91% 45.37% 17.84% 13.51% 6.22% 15.03% 16.64%
040111 20.38% 44.74% 17.33% 13.02% 5.76% 15.03% 16.64%
040411 20.12% 44.41% 17.07% 12.77% 5.52% 15.03% 16.64%
040511 19.46% 43.63% 16.43% 12.15% 4.95% 15.03% 16.64%
040611 19.19% 43.31% 16.17% 11.90% 4.72% 15.03% 16.64%
040711 19.92% 44.18% 16.87% 12.58% 5.35% 15.03% 16.64%
040811 21.18% 45.69% 18.10% 13.76% 6.46% 15.03% 16.64%
041111 22.24% 46.97% 19.14% 14.76% 7.39% 15.03% 16.64%
041211 23.78% 48.82% 20.64% 16.21% 8.75% 15.03% 16.64%
041311 23.63% 48.64% 20.49% 16.06% 10.37% 15.99% 16.64%
041411 23.09% 47.99% 19.97% 15.56% 10.88% 16.53% 16.64%
041511 21.84% 46.49% 18.75% 14.39% 12.06% 17.77% 16.64%
041811 23.80% 48.84% 20.66% 16.22% 10.96% 16.22% 16.64%
041911 23.77% 48.81% 20.63% 16.20% 7.33% 14.32% 16.64%
042011 21.39% 45.95% 18.31% 13.96% 9.53% 16.66% 16.64%
042111 20.51% 44.89% 17.45% 13.14% 10.34% 17.53% 16.64%
042511 20.67% 45.08% 17.60% 13.28% 10.19% 17.37% 16.64%
042611 19.48% 43.65% 16.45% 12.17% 11.29% 18.54% 16.64%
042711 18.76% 42.78% 15.74% 11.49% 11.96% 19.25% 16.64%
042811 18.20% 42.12% 15.20% 10.97% 12.47% 19.79% 16.64%
042911 17.76% 41.59% 14.78% 10.56% 12.87% 20.22% 16.64%
050211 19.19% 43.31% 16.17% 11.90% 11.55% 18.82% 16.64%
050311 20.72% 45.15% 17.66% 13.34% 10.14% 17.32% 16.64%
050411 22.27% 47.00% 19.16% 14.79% 7.20% 14.99% 16.64%
050511 22.81% 47.65% 17.01% 12.71% 5.22% 13.67% 15.30%
050611 22.18% 47.35% 17.63% 13.31% 5.78% 14.28% 15.92%
050911 20.81% 49.07% 19.00% 14.63% 7.01% 15.61% 17.27%
051011 18.98% 51.35% 20.82% 16.38% 8.65% 17.38% 19.06%
051111 21.22% 48.56% 18.59% 14.23% 6.65% 15.21% 16.86%
051211 20.17% 49.86% 19.64% 15.24% 7.59% 16.23% 17.89%
051311 21.84% 47.78% 17.97% 13.63% 6.09% 14.61% 16.25%
051611 23.57% 45.62% 16.25% 11.97% 4.54% 12.93% 14.55%
051711 23.94% 45.16% 15.88% 11.62% 4.21% 12.58% 14.19%
051811 20.44% 47.39% 17.66% 13.34% 5.81% 14.31% 15.95%
051911 20.70% 47.71% 17.91% 13.58% 6.04% 14.55% 16.20%
052011 19.82% 46.63% 17.05% 12.75% 5.26% 13.72% 15.35%
052311 17.66% 43.99% 14.95% 10.72% 3.37% 11.67% 13.27%
052411 17.10% 43.30% 14.39% 10.19% 2.87% 11.14% 12.73%
052511 18.57% 45.10% 15.84% 11.58% 4.17% 12.54% 14.15%
052611 20.13% 47.02% 17.36% 13.05% 5.54% 14.02% 15.65%
052711 20.96% 48.02% 18.17% 13.83% 6.26% 14.80% 16.45%
053111 22.68% 50.13% 19.85% 15.44% 7.78% 16.43% 18.10%
060111 18.73% 45.30% 15.99% 11.73% 4.31% 12.69% 14.65%
060211 18.69% 45.25% 15.95% 11.69% 0.97% 10.86% 14.65%
060311 16.95% 43.12% 14.25% 10.06% 2.49% 10.86% 14.65%
060611 15.03% 40.77% 12.37% 8.25% 4.18% 10.86% 14.65%
060711 15.30% 41.11% 12.64% 8.50% 3.94% 10.86% 14.65%
060811 14.02% 39.53% 11.39% 7.29% 5.07% 10.86% 14.65%
060911 14.62% 40.27% 11.98% 7.87% 5.81% 11.55% 15.36%
061011 12.79% 38.03% 10.19% 6.14% 4.60% 10.02% 13.78%
061311 12.47% 37.64% 9.87% 5.84% 4.89% 10.02% 13.78%
061411 14.88% 40.59% 12.23% 8.11% 4.95% 11.22% 15.02%
061511 12.83% 38.08% 10.23% 6.18% 3.07% 9.23% 13.04%
061611 13.09% 38.40% 10.48% 6.42% 3.31% 9.49% 13.04%
061711 13.12% 38.43% 10.51% 6.45% 2.65% 9.15% 13.04%
062011 14.16% 39.71% 11.53% 7.43% 1.70% 9.15% 13.04%
062111 16.63% 42.73% 13.94% 9.76% -0.56% 9.15% 13.04%
062211 15.74% 41.64% 13.07% 8.91% 0.26% 9.15% 13.04%
062311 16.19% 42.18% 13.50% 9.33% -0.15% 9.15% 13.04%
062411 15.59% 41.46% 12.93% 8.78% 0.39% 9.15% 13.04%
062711 16.49% 42.56% 13.80% 9.62% -0.43% 9.15% 13.04%
062811 18.30% 44.77% 15.57% 11.32% -2.08% 9.15% 13.04%
062911 18.86% 45.46% 16.12% 11.85% -2.60% 9.15% 13.04%
063011 19.73% 46.52% 16.97% 12.67% -3.39% 9.15% 13.04%
070111 21.59% 48.80% 18.79% 14.42% -5.09% 9.15% 13.04%
070511 21.52% 48.71% 18.72% 14.36% -5.03% 9.15% 13.04%
070611 22.01% 49.32% 19.20% 14.82% -5.48% 9.15% 11.92%
070711 23.85% 51.56% 20.99% 16.55% -7.15% 9.15% 13.61%
070811 23.10% 50.64% 20.26% 15.84% -3.82% 10.55% 12.92%
071111 20.48% 47.44% 17.70% 13.38% -6.84% 7.64% 9.95%
071211 19.80% 46.61% 17.04% 12.74% -6.30% 7.64% 9.95%
071311 20.87% 47.92% 18.08% 13.74% -7.52% 7.42% 9.95%
071411 18.95% 45.56% 16.20% 11.93% -8.26% 6.14% 9.95%
071511 19.74% 46.54% 16.98% 12.68% -8.87% 6.14% 9.95%
071811 17.82% 44.18% 15.10% 10.87% -7.40% 6.14% 9.95%
071911 20.48% 47.44% 17.70% 13.38% -9.54% 6.08% 9.95%
072011 20.28% 47.19% 17.50% 13.19% -9.70% 5.90% 9.95%
072111 21.38% 48.54% 18.58% 14.22% -8.87% 6.86% 9.95%
072211 21.54% 48.73% 18.73% 14.37% -10.95% 5.72% 9.95%
072511 19.61% 46.38% 16.85% 12.56% -9.87% 5.72% 9.95%
072611 20.52% 47.49% 17.74% 13.42% -9.19% 5.72% 9.95%
072711 24.08% 51.85% 21.22% 16.76% -6.52% 5.72% 9.95%
072811 24.27% 52.08% 21.40% 16.94% -6.37% 5.72% 9.95%
072911 24.41% 52.25% 21.54% 17.08% -6.27% 5.72% 9.95%
080111 25.17% 53.17% 22.28% 17.78% -5.70% 5.72% 9.95%
080211 28.74% 57.54% 25.77% 21.15% -3.02% 5.72% 9.95%
080311 28.00% 56.64% 25.05% 20.45% -3.57% 5.72% 9.95%
080411 34.74% 64.89% 31.63% 26.79% 1.49% 5.72% 9.95%
080511 36.57% 67.14% 33.42% 28.52% 2.86% 5.72% 9.95%
080811 45.55% 78.12% 42.20% 36.97% 9.61% 5.72% 9.95%
080911 39.28% 70.44% 36.06% 31.07% 4.89% 5.72% 9.95%
081011 44.20% 76.46% 40.87% 35.69% 8.59% 5.72% 9.95%
081111 39.42% 70.62% 36.21% 31.20% 5.00% 5.72% 9.95%
081211 38.80% 69.86% 35.60% 30.62% 4.54% 5.72% 9.95%
081511 35.95% 66.37% 32.82% 27.94% 5.41% 7.49% 9.95%
081611 37.86% 68.71% 34.68% 29.73% 3.47% 5.51% 9.95%
081711 37.83% 68.68% 34.65% 29.70% -3.52% 1.96% 9.95%
081811 43.63% 75.77% 40.32% 35.16% 2.37% 1.96% 12.42%
081911 45.32% 77.84% 41.97% 36.75% 4.09% 1.96% 13.60%
082211 45.66% 78.25% 42.29% 37.07% 4.43% 1.96% 13.60%
082311 41.33% 72.95% 38.06% 32.99% -0.01% 2.05% 13.70%
082411 43.42% 75.51% 40.11% 34.96% 1.47% 3.56% 15.39%
082511 39.90% 71.20% 36.67% 31.65% -1.02% 1.02% 12.55%
082611 43.23% 75.28% 39.93% 34.79% 1.34% 3.43% 15.24%
082911 50.01% 83.58% 46.55% 41.16% 6.14% 8.32% 20.69%
083011 50.88% 84.64% 47.40% 41.98% 6.75% 8.95% 21.39%
083111 50.57% 84.26% 47.09% 41.69% 6.53% 8.72% 21.14%
090111 47.34% 80.31% 36.97% 38.65% -0.80% 3.82% 18.54%
090211 41.89% 73.64% 42.30% 33.52% 10.70% 7.72% 14.15%
090611 41.49% 73.15% 42.68% 37.63% 10.40% 7.42% 15.75%
090711 46.84% 79.70% 39.61% 34.68% 14.57% 11.48% 16.64%
090811 44.14% 76.40% 37.05% 32.21% 12.47% 9.43% 14.50%
090911 39.90% 71.20% 28.56% 24.02% 5.50% 4.43% 11.13%
091211 41.10% 72.67% 25.43% 21.00% 2.93% 3.64% 12.08%
091311 43.38% 75.46% 27.46% 22.96% 4.59% 5.31% 13.89%
091411 45.95% 78.61% 29.75% 25.16% 6.47% 7.20% 15.93%
091511 48.00% 81.12% 31.57% 26.92% 7.97% 8.71% 17.56%
091611 48.23% 81.40% 31.77% 27.12% 8.13% 8.87% 17.75%
091911 45.57% 78.15% 29.41% 24.84% 6.20% 6.93% 15.64%
092011 43.32% 75.39% 27.41% 22.90% 4.55% 5.27% 13.84%
092111 38.01% 68.89% 14.10% 10.07% -6.37% -2.18% 5.79%
092211 34.16% 64.17% 17.53% 13.38% -3.56% -2.18% 5.79%
092311 35.00% 65.21% 14.19% 10.15% -6.30% -3.25% 4.64%
092611 37.55% 68.33% 16.34% 12.23% -4.53% -1.42% 6.61%
092711 40.52% 71.96% 18.85% 14.65% -2.47% 0.70% 8.91%
092811 35.13% 65.37% 14.29% 10.25% -6.21% -3.16% 4.73%
092911 37.47% 68.23% 16.27% 12.16% -4.59% -1.48% 6.55%
093011 33.26% 63.08% 12.71% 8.73% -7.51% -4.50% 3.29%
100311 26.40% 54.69% 6.91% 1.14% -12.27% -9.41% -2.03%
100411 34.28% 64.33% 13.57% -5.19% -6.80% -3.77% 4.07%
100511 36.12% 66.58% 15.13% -3.89% -5.52% -2.45% 5.50%
100611 39.15% 70.29% 17.69% -1.75% -3.42% -0.28% 7.85%
100711 35.75% 66.13% 19.94% 0.12% -1.58% -0.54% 7.56%
101011 41.70% 73.41% 17.12% -2.23% -5.71% -0.54% 8.58%
101111 42.67% 74.60% 17.93% -1.56% -8.00% -1.38% 9.32%
101211 44.70% 77.08% 19.61% -0.16% -6.69% 0.03% 10.88%
101311 44.58% 76.93% 19.50% -0.24% -6.77% -0.06% 10.78%
101411 47.44% 80.43% 21.87% 1.73% -4.92% 1.92% 12.98%
101711 42.96% 74.95% 18.17% -1.36% -7.81% -1.17% 9.55%
101811 46.76% 79.60% 21.30% 1.26% -5.36% 1.45% 12.45%
101911 43.90% 76.10% 19.45% -0.28% -6.81% -0.31% 10.50%
102011 44.29% 76.58% 15.88% -3.26% -7.06% -0.31% 9.00%
102111 47.42% 80.41% 18.40% -1.16% -9.88% -0.75% 11.36%
102411 52.17% 86.22% 22.21% 2.02% -6.98% 2.45% 14.94%
102511 47.90% 80.99% 18.78% -0.84% -9.59% -0.43% 11.72%
102611 50.45% 84.11% 20.83% 0.86% -8.03% 1.29% 13.64%
102711 58.38% 93.82% 27.20% 6.19% -3.18% 6.63% 19.64%
102811 57.57% 92.83% 26.55% 5.64% -3.68% 6.09% 19.03%
103111 53.39% 87.71% 23.19% 2.84% -6.24% 3.27% 15.87%
110111 47.96% 81.07% 18.83% -0.80% -9.56% -0.38% 11.77%
110211 51.61% 85.53% 21.76% 1.64% -7.33% 2.07% 14.52%
110311 55.38% 90.15% 24.79% 4.17% -5.02% 4.61% 17.37%
110411 54.61% 89.21% 24.17% 3.66% -5.49% 4.09% 16.79%
110711 54.30% 88.83% 23.92% 3.45% -5.68% 3.89% 16.56%
110811 56.56% 91.59% 25.74% 4.96% -4.30% 5.41% 18.26%
110911 49.10% 82.46% 19.75% -0.04% -8.86% 0.38% 12.63%
111011 50.20% 83.81% 20.63% 0.70% -8.19% 1.12% 13.46%
111111 54.16% 88.65% 23.81% 3.35% -5.77% 3.79% 16.45%
111411 51.94% 85.94% 22.03% 1.87% -7.12% 2.29% 14.77%
111511 53.86% 88.29% 23.57% 3.16% -5.94% 3.59% 16.23%
111611 51.38% 85.25% 21.58% 1.49% -7.46% 1.92% 14.35%
111711 49.22% 82.61% 19.85% 0.04% -8.78% 0.47% 12.72%
111811 49.18% 82.56% 19.81% 0.02% -8.81% 0.44% 12.69%
112111 45.62% 78.20% 16.95% -2.65% -10.99% -1.96% 10.00%
112211 44.39% 76.70% 13.40% -1.83% -13.69% -3.86% 7.87%
112311 39.85% 71.15% 17.05% 1.21% -10.91% -3.86% 7.87%
112511 38.07% 68.97% 18.48% 2.41% -9.82% -3.86% 7.87%
112811 44.64% 77.01% 13.01% -2.17% -13.99% -3.94% 7.78%
112911 44.37% 76.68% 12.80% -2.35% -14.15% -4.12% 7.57%
113011 52.81% 87.00% 19.39% 3.36% -9.13% 1.48% 13.86%
120111 51.71% 85.66% 18.53% 2.62% -9.78% 0.75% 13.04%
120211 52.33% 86.42% 19.02% 3.04% -9.41% 1.16% 13.50%
120511 54.94% 89.61% 21.06% 4.80% -7.86% 2.90% 15.45%
120611 55.09% 89.79% 21.17% 4.90% -7.78% 3.00% 15.56%
120711 54.78% 89.41% 20.93% 4.69% -7.96% 2.79% 15.33%
120811 49.97% 83.53% 17.17% 1.44% -10.82% -0.40% 11.74%
120911 54.49% 89.06% 20.70% 4.49% -8.13% 2.60% 15.11%
121211 52.27% 86.34% 18.97% 2.99% -9.45% 1.12% 13.46%
121311 49.10% 82.46% 16.49% 0.85% -11.34% -0.98% 11.10%
121411 47.23% 80.18% 18.34% 2.45% -9.93% -0.82% 11.28%
121511 48.60% 81.85% 15.39% -0.10% -12.17% -1.61% 10.39%
121611 49.76% 83.27% 16.30% 0.68% -11.49% -0.84% 11.25%
121911 47.17% 80.10% 14.28% 3.23% -9.24% -0.45% 11.70%
122011 53.08% 87.33% 18.87% 0.17% -12.73% -0.45% 12.20%
122111 53.70% 88.09% 19.35% 0.57% -13.10% -0.45% 12.65%
122211 53.93% 88.37% 19.53% 0.72% -12.97% -0.30% 12.82%
122311 54.51% 89.08% 19.98% 1.10% -12.65% 0.08% 13.25%
122711 54.96% 89.64% 20.33% 1.40% -12.39% 0.37% 13.58%
122811 52.14% 86.19% 18.15% -0.44% -13.98% -1.45% 11.51%
122911 53.68% 88.07% 19.34% 0.56% -13.11% -0.46% 12.64%
123011 52.85% 87.05% 18.69% 0.02% -13.58% -1.00% 12.03%
010312 55.40% 90.17% 20.67% 1.69% -12.14% 0.65% 13.90%
010412 54.53% 89.11% 20.00% 1.12% -12.63% 0.09% 13.26%
010512 55.40% 90.17% 20.67% 1.69% -12.14% 0.65% 13.90%
010612 55.00% 89.69% 20.37% 1.43% -12.36% 0.40% 13.61%
010912 55.79% 90.65% 20.98% 1.94% -11.92% 0.91% 14.19%
011012 58.07% 93.44% 22.75% 3.44% -10.63% 2.39% 15.86%
011112 58.69% 94.20% 23.23% 3.84% -10.28% 2.79% 16.31%
011212 59.17% 94.79% 23.60% 4.15% -10.01% 3.10% 16.66%
011312 58.32% 93.75% 22.94% 3.60% -10.49% 2.55% 16.04%
011712 58.26% 93.67% 22.89% 3.56% -10.52% 2.51% 16.00%
011812 61.08% 97.12% 25.08% 5.40% -8.93% 4.33% 18.06%
011912 62.07% 98.34% 25.85% 6.05% -8.37% 4.98% 18.79%
012012 62.18% 98.47% 25.94% 6.12% -8.31% 5.04% 18.87%
012312 61.97% 98.21% 25.77% 4.71% -9.53% 4.28% 18.00%
012412 62.90% 99.35% 26.50% 4.10% -10.06% 4.28% 18.00%
012512 64.29% 101.05% 27.58% 4.99% -9.29% 5.17% 19.01%
012612 64.10% 100.82% 27.43% 4.87% -9.39% 5.05% 18.87%
012712 65.22% 102.19% 28.30% 5.58% -8.77% 5.76% 19.68%
013012 63.94% 100.62% 27.30% 4.76% -9.48% 4.94% 18.75%
013112 63.77% 100.42% 27.17% 4.66% -9.58% 4.84% 18.63%
020112 67.30% 104.73% 29.91% 6.91% -7.63% 7.09% 21.18%
020212 68.25% 105.90% 30.65% 7.52% -7.10% 7.70% 21.87%
020312 71.92% 110.39% 33.50% 9.86% -5.08% 10.05% 24.53%
(1a) 6 Primary ETF Signals (see Report 3, below): Our 6 primary ETF signals (QQQQ, SPY, DIA, IWM, MDY, SMH) are those that we have TimerTrac monitor for us. Although QQQQ has been monitored for several years now, the other 5 ETFs began to be monitored on 9/4/08. The actual performance of these 6 ETFs over this time span can be seen by clicking on the TimerTrac icon on our web site (http://www.schulenberg.com). We also reproduce this medallion here for convenience:
(1b) 140 Voted Signals (See Report 3, below): We have 140 Voted Signals and 31 Differential Signals, and TimerTrac only monitors 6 ETF signals out of the 140 stock and ETF signals that we generate. Therefore, we have numerous 'tracking reports' that maintain actual trading histories of all 140 Voted Signals, e.g., TRKVOTEB.TXT, TRKDSTKA.TXT, TRKQSTKA.TXT, etc. All tracking reports are contained in our downloadable daily report archive. The current values for all 140 Voted Signals are contained both in the report ALLVOTES.TXT and in the smaller Report 3 that is included in this Forecast.
============
Forecast Reports ============
Report 1:
Differential Signals
Report 2: Pairs
Trading
Report 3: Major ETF Signals
Report
4: Day Trades
Report 5: Prediction
Table
Report 6: Primary Indicators
Report
A: Major Strategies
==========================================
FORECAST Summary Reports (Reports 1-6, and Report “A”)
The following 7 special Reports are automatically generated summaries that are specially designed for incorporation in our daily emailed Forecast:
Report 1 tracks the cumulative performance of our QQQQ/DIA hedging portfolio, and also now shows 30 other hedging combinations together with current signals and cumulative performance since 6/24/09. Many of these differential signals are not intended for use in hedged trading, but rather are intended to give us a more complete picture of market strength, e.g., are financials stronger than energy stocks? What we believe to be the 'best' portfolios are marked with 3 asterisks ('***'). In addition, Report 1 fully describes two special 'partially hedged' portfolios that are similar to QQQQ/SPY and QQQQ/DIA, but become unhedged (trading QQQQ alone) when the MTI is > 1.0 and there is a non-Cash signal for QQQQ. These partially hedged versions are given the special symbols {QQQQ/SPY} and {QQQQ/DIA}.
Report 2 shows the actual performance of 20 Paired Equities since 9/4/08, and the important thing to note here is that Equity Ratios are very important. You should consult the STKPAIRS.TXT and TRKPAIRS.TXT for further information, and the TRKVOTEB.TXT (supplemented by the TimerTrac graphs of our top 6 ETFs) can be used to corroborate the actual gains and drawdowns for the equities shown.
Report 3 gives the current (latest) signals for our major ETFs. The Class “A” signals are the 'raw' (independently generated) signals, and the Class “B” signals are our 'official' signals – and these are the ones that we submit to TimerTrac. The Class “B” signals are derived from the Class “A” signals by voting 'across' our spectrum of signals, so they are Voted Signals that have then been 're-voted' in order to encourage 'consistency' of similar signals, and also to boost signal accuracy when the market is rather indecisive and signals are finely balanced. The remainder of Report 3 summarizes the current states of all 140 Voted Signals, and for even more complete information (both Actual and Back-Tested performance info), please consult the ALLVOTES.TXT Report in the downloadable report archive.
Report 4 summarizes our 'best' stock picks for the next trading day, and also shows how the preceding day's 'picks' performed today. Notice that we do not commit to trades unless the QQQQ Voted Signal is a BUY (in which case we look for Long trades) or a SHORT (in which case we look at the shorting signals). This Report is a prototype, and we expect it to evolve as we add new indicators to our System. It is strongly recommended that you Chart and analyze any of the listed 'picks' before you consider trading them. Be sure to check for liquidity since some of the equities are low volume, thinly traded stocks. Note also that all of the Type 1 Signals (fully confirmed Voted Signals) are organized into Trading Pairs in a new Table, and these pairs are sorted by decreasing G/d values (portfolio annualized Gain divided by maximum drawdown). This makes it easy to focus on a small number of 'picks' that have the best potential for turning a profit for the day.
Report 5 contains the most important information (Tables I-A and I-B) drawn from our Prediction Table (predtabl.htm), and it is intended to give the probabilities that QQQQ, SMH, or SPY will Close higher than their Open price, or higher than their previous Close price … all based upon a knowledge of the MTI (Market Timing Indicator) and the MOS (Market Open Signature) – or that QQQQ, SMH, or SPY will Open higher tomorrow than they Closed today, based upon the MTI and the MCS (Market Close Signature). See Report 5 for further details.
Report 6 shows all of our primary indicators that form the technical basis for our Forecast. The special symbols '++' are used to flag values that seem favorable for Longs, and '–-' marks values that seem favorable to Shorts. The use of '??' indicates values that are ambiguous and could thus be interpreted either way.
Report “A” provides an overview of all of our major strategies, as well as describing some of our methods and specialized indicators. We may gradually add some actual performance numbers in the various sections, as well as hyperlinks to additional explanatory material.
*** IMPORTANT NOTES:
(1) Although we now have 31 differential signals (with perhaps more to be added), not all of the associated tracking reports are included in the daily report archive because of the swelling size of our file. We will probably truncate the 'back-tested' data contained in each report so they become more manageable in size.
(2) Some ETFs listed in Reports 1 and 2 may not be 'shortable', depending upon which brokerage is used, and (perhaps) prevailing market conditions. For example, our highly accurate IYW ETF may be difficult (or impossible) to Short, and because of low trading volume for SWH, the SMH/SWH portfolio may similarly be tough to implement.
============
Forecast Reports ============
Report 1:
Differential Signals
Report 2: Pairs
Trading
Report 3: Voted Signals
Report
4: Day Trades
Report 5: Prediction
Table
Report 6: Primary Indicators
Report
A: Major Strategies
==========================================
=====================================================================
FORECAST
Report 1: DIFFERENTIAL SIGNALS (as of the Close on
02/03/12)
=====================================================================
***
The MTI value for the next trading day is: 1.3500.
*** Since
this value is > 1.0, the two Partially Hedged portfolios
({QQQQ/SPY}
*** and {QQQQ/DIA}) should drop the hedging ETF (SPY
or DIA), and QQQQ should
*** be traded in accordance with the QQQQ
Voted Signal:
***
*** The QQQQ Voted Signal is now:
BUY
Fully-Hedged and Partially-Hedged ({})
Portfolios
=================================================
Note:
All 2-equity ETF portfolios shown in this Report are fully
hedged,
except for the two portfolios that are enclosed in curly
braces ({}). By
'fully hedged' we mean that at all times one ETF
is held Long while the other
is Shorted. The two special
portfolios shown in braces, {QQQQ/DIA} and
{QQQQ/SPY} are
'partially' hedged and are traded according to the
following
strategy:
Rule 1: When the MTI value
is <= 1.0, then full hedging is performed
using the indicated equity Ratio, and following the
indicated
pair of signals (OLD SIG and NEW SIG). Thus, for low MTI
regions
there is NO difference between the 31 fully hedged
portfolios,
and the 2 partially hedged ones -- in the way that they
are
set up and managed.
Rule 2: When the MTI value is >
1.0, and the QQQQ signal is a BUY or a
SHORT, then QQQQ is traded exclusively and will be Long or
Short,
respectively, and will utilize 100% of allocated funds. In
this
situation the Signal that is to be used for QQQQ is our
standard
Voted Signal (see Forecast Report 3 or the ALLVOTES.TXT
report).
If the QQQQ signal is CASH ($$$$), however, it is slightly
better
to go ahead and hedge anyway -- rather than cashing out
altogether.
So, in this fairly rare case we perform full hedging (as in Rule
1)
despite the high MTI value.
The Actual and
Back-Tested performance figures shown in this Report for
these two Partially Hedged portfolios assume that Rule 1 and Rule 2
are
followed completely. Nonetheless, the following
trading variations may
be useful:
Variation 1: When in a high MTI region, the trader may optionally
reimpose
the hedge (as though the MTI were <= 1.0) if the QQQQ signal is
a
SHORT. This is a more conservative way to implement the
portfolio.
The same might be done at any time if the trader suspects
that
the market might 'tank'. To reimpose the 'hedge', of course,
the
second ETF (DIA or SPY) has to be added to the QQQQ trade, and
the
current 'differential signal' (NEW SIG) must be used to set up
the
pair -- and not the QQQQ Voted Signal. Thus a possible 100%
Short
of QQQQ 'might' get converted into a 60% Long on QQQQ and a
40%
Short on DIA, for example.
Variation 2: Instead
of buying and shorting QQQQ and DIA (or SPY), the
trader may consider using the 2x ETF equivalents from
Proshares:
(a) buying QLD instead of QQQQ, (b) buying QID instead of
shorting
QQQQ, (c) buying DDM instead of DIA, (d) buying DXD instead
of
shorting DIA, (e) buying SSO instead of SPY, and (f) buying
SDS
instead of shorting SPY. This procedure is actually necessary
for
Cash accounts that do not permit shorting.
Note
1: Because of the IRS' Wash Rule, if one of these hedging
strategies
is implemented in a taxable account, we recommend that you
cease using this method by Thanksgiving (late November), and
then
either stay in cash, or switch to a totally different
trading
strategy that doesn't utilize QQQQ, DIA, SPY, QLD, QID, SDS,
SSO,
or any equivalent equities. This will ensure that all
losses
that are necessarily incurred as part of the hedging process
can
be fully deducted from the gains in the current trading year.
Note 2: Because of the IRS' Settling Rules, if one of these
hedging
strategies is implemented in a Cash account (e.g., IRA),
we
recommend that you subdivide your available funds into
three
piles (sometimes two will work most of the time, and at
other
times four may be needed), and only trade the portfolio
with
one money 'pile' at a time. By keeping some of your money
in
Cash you provide time for previous trades to 'settle', so
that
the proceeds are ready when you need them again. Because
only
a portion (say, one-third) of your funds may be 'active' at
any
given time, this is another reason to utilize the 2x ETFs
(QLD, QID, DDM, DXD, SDS, SSO) in order to boost potential
gains back up to reasonable levels (i.e., by achieving a
leveraging effect).
The material in this Report has
been gathered from 33 different Tracking
Reports, each of which
corresponds to one of our Differential Signals. This
extract,
however, is based upon what we feel is an 'optimal' equity
ratio
(RATIO) between the two ETFs. You should consult the
appropriate Tracking
Reports if you believe that there is a better
equity RATIO for your trading
objectives.
*** Important
Note: The REC (Recommendation) field has 4 possible values:
blank = Provided for Informational Purposes Only
* = Possibly OK for trading
** = Probably BETTER for trading
*** = Probably BEST for trading
These REC values
are a function of the G/d (Annualized Gain divided by the
Drawdown)
and the Trading Accuracy of the hedged pair -- as determined
by
back-testing. Poorer performing pairs are shown so that they
may provide
clues as to the relative strength of different market
segments. We will
be doing more with these more marginal
differential signals in the future.
Actual Hedging
Portfolio Performance (6/24/09 -
Present)
========================================================
The
figures below are for the tracking period from 6/24/09 - Present
...
EXCEPT for the last three lines that show QQQQ/DIA performance.
The
tracking period for QQQQ and DIA began on
10/16/08. There are three
separate
QQQQ/DIA Hedging Portfolios, and these are tracked in three
separate Tracking Reports.
Report 1:
TRKQQ-DW.TXT Use of QQQQ and DIA, either Long or
Short
Report 2: TRKQQDW1.TXT Use of
QQQQ/PSQ and DIA/DOG (1x ETFs, always Long)
Report 3: TRKQQDW2.TXT Use of QLD/QID and DDM/DXD (2x
ETFs, always Long)
Key:
REC
Recommendation (*=OK, **=Better, ***=Best)
{...}
The curly braces indicate that the portfolio is Partially
Hedged,
that is, hedging occurs only when the MTI (Market Timing
Indicator)
value is <= 1.0 (or when QQQQ has a CASH signal). See the
discussion
at the top of this Report that relates to our two Partially
Hedged
portfolios {QQQQ/DIA} and {QQQQ/SPY}.
OLD SIG The
OLD (previous) differential Signal (the one used to generate
the
DAYGAIN, TOTGAIN, ANNGAIN, MAXdraw, and G/d figures.
NEW SIG
The NEW (latest) differential Signal (for the next trading
day)
A '+/-' signal means that the first ETF of the Pair is LONG,
and
the second ETF of the Pair should be Shorted.
A '-/+' signal means that the first ETF of the Pair should
be
shorted, and the second ETF of the Pair should be Long.
RATIO
The percentage of ETF #1: The percentage of ETF #2
See the appropriate Tracking Report to determine if a
different
equity RATIO might be better for your trading objectives,
i.e.,
other Ratios might produce higher annualized gains (but
with
increased drawdowns).
DAYGAIN The percentage
gain/loss for the last trading day (based on
the previous day's signal (SIG-prev)
TOTGAIN The total
percentage gain/loss since the start of tracking
ANNGAIN
The projected 'annualized' percentage gain (based upon Actual
data)
MAXdraw The Actual maximum drawdown over the
tracking interval
G/d The
Reward/Risk Ratio (Annualized Gain divided by Max Drawdown)
***
Important Note 1: The ANNGAIN, MAXdraw, and G/d figures are based on
the
currently available Actual data, and thus will probably not be
indicative of
long-term values -- at least until more Actual data
has been accumulated. Use
the back-tested values in the following
Table to get a better idea of what
'might' be true over longer
periods.
*** Important Note 2: If you are following one of the
two 'Partially Hedged'
portfolios ({QQQQ/SPY} OR {QQQQ/DIA}),
remember that the OLD SIG and NEW SIG
fields are NOT applicable if
the current MTI (Market Timing Indicator) value
is > 1.0;
instead, you must trade JUST QQQQ (with 100% of available funds),
and
in accordance with the QQQQ Voted Signal (see Report 3 in this
Forecast).
OLD NEW equity <---- ACTUAL
performance based on OLD SIG --->
REC ETF pair SIG
SIG RATIO DAYGAIN TOTGAIN
ANNGAIN MAXdraw G/d
=== ========
=== === ===== =======
======= ======= =======
======
The following Hedging portfolios have
been tracked since 6/24/09:
The first two
portfolios (in {} brackets) are Partially Hedged:
** {QQQQ/DIA}
+/- 60:40
0.44% 50.36% 16.85%
-14.43% 1.17
* {QQQQ/SPY} +/-
60:40 0.44% 37.70%
12.99% -14.38% 0.90
IYW /DIA +/-
55:45 0.14%
3.78% 1.42% -5.75%
0.25
XLK /DIA +/-
50:50 0.08% -6.02%
-2.34% -8.49% -0.28
QQQQ/SPY +/-
60:40 0.10%
16.49% 6.00% -4.50%
1.33
QQQQ/IWM +/-
60:40 0.03% -8.95%
-3.52% -11.07% -0.32
QQQQ/GLD > 55:45
-0.83% -9.43% -3.71%
-18.27% -0.20
** QQQQ/XLF +/-
55:45 -0.19% -4.48%
-1.74% -10.48% -0.17
QQQQ/XLE +/-
65:35 0.12% -15.30%
-6.14% -25.24% -0.24
QQQQ/XLP +/-
55:45 0.24% -5.81%
-2.26% -15.77% -0.14
*
QQQQ/XLU +/-
65:35 0.23%
23.06% 8.24% -14.20%
0.58
SPY /DIA -/+
60:40 -0.15%
5.08% 1.91% -7.18%
0.27
SMH /DIA +/-
55:45 NaN%
NaN% NaN% 100.00%
NaN
SMH /IBB +/-
55:45 NaN%
NaN% NaN% 100.00%
NaN
SMH /IYJ +/-
55:45 NaN%
NaN% NaN% 100.00%
NaN
SMH /IWM +/-
55:45 0.04% -0.95%
-0.36% -13.07% -0.03
*
SMH /SPY +/-
55:45 0.12% -17.79%
-7.21% -26.88% -0.27
*
SMH /XLF +/-
55:45 -0.13% 12.83%
4.72% -15.98% 0.30
**
SMH /XLP +/-
55:45 0.30%
2.64% 1.00% -13.95%
0.07
IWM /DIA +/-
55:45 0.21%
26.92% 9.53% -9.42%
1.01
IWM /SPY +/-
60:40 0.19%
21.32% 7.66% -14.65%
0.52
IWM /QQQ +/-
65:35 0.23%
12.04% 4.44% -13.51%
0.33
IWM /SMH -/+ > +/-
65:35 -0.19% 22.33%
8.00% -11.79% 0.68
XLF /SPY -/+ > +/- 50:50
-0.28% -15.12% -6.07%
-16.21% -0.37
XLF /DIA
-/+ > +/- 55:45 -0.42%
3.35% 1.27% -18.15%
0.07
XLF /IWM -/+ > +/-
60:40 -0.34% -11.18%
-4.43% -20.44% -0.22
XLF /GLD > 55:45
-1.12% -33.67% -14.51% -40.87%
-0.35
XLE /SPY +/-
55:45 0.07%
2.94% 1.11% -11.24%
0.10
XLE /DIA +/-
60:40 0.18%
18.49% 6.69% -14.78%
0.45
XLE /IWM -/+ > +/-
65:35 -0.09% -1.80%
-0.69% -21.12% -0.03
XLE /GLD > 65:35
-0.76% -12.87% -5.12%
-28.22% -0.18
* QQQQ/DIA
+/- 55:45
0.13% 28.35% 7.85%
-5.25% 1.50
For 660
days of tracking ...
Averages (all
pairs):
NaN% NaN%
NaN% -3.88% NaN
Averages ("*" pairs):
0.09% 11.61% 3.40%
-15.58% 0.53
Averages
("**" pairs):
0.06% -0.92% -0.37%
-12.22% -0.05
Averages ("***"
pairs):
NaN% NaN%
NaN% NaN%
NaN
The following QQQQ/DIA portfolios have
been tracked since 10/16/08:
QQQQ/DIA
+/- 55:45
0.12% 25.64% 7.16%
-6.18% 1.16
QQQQ/DIA
+/- 55:45
0.30% 54.14% 14.00%
-12.27% 1.14
Back-Tested Hedging
Portfolio Performance
=========================================
Use
the Tracking File (Section II) to explore other RATIOs. The
back-tested
data shown is for the single equity ratio indicated by
RATIO. Note that other
RATIOs may fit better with your trading
objectives: producing higher potential
annualized yields ...
although with larger maximum drawdowns. By the same
token, you may
prefer a RATIO that is more conservative, and thus may result
in a
lower drawdown.
Key:
REC
Recommendation (*=OK, **=Better, ***=Best)
{...}
The curly braces indicate that the portfolio is Partially
Hedged,
that is, hedging occurs only when the MTI (Market Timing
Indicator)
value is <= 1.0 (or when QQQQ has a CASH signal). See the
discussion
at the top of this Report that relates to our two Partially
Hedged
portfolios {QQQQ/DIA} and {QQQQ/SPY}.
RATIO
The percentage of ETF #1: The percentage of ETF #2
ANNGAIN
The back-tested 'annualized' percentage gain
MAXdraw
The back-tested maximum drawdown (8/16/02-present)
G/d
The Reward/Risk Ratio (Annualized Gain divided by Max
Drawdown)
TradeAcc The back-tested average accuracy per
Trade
equity <------ Based on Back-Testing ------>
REC
ETF Pair Track File RATIO
ANNGAIN MAXdraw G/d
TradeAcc
=== ======== ============ =====
======= ======= ======
========
** {QQQQ/DIA} SSSQQ-DW.TXT 60:40
86.62% -6.57% 13.18
71.40%
* {QQQQ/SPY} SSSQQ-SP.TXT 60:40
83.09% -8.42% 9.87
72.96%
IYW /DIA TRKYW-DW.TXT
55:45 46.64% -4.15%
11.24 69.09%
XLK /DIA
TRKXL-DW.TXT 50:50 28.92%
-4.52% 6.39
70.57%
QQQQ/SPY TRKQQ-SP.TXT
60:40 36.77% -4.79%
7.68 69.69%
QQQQ/IWM
TRKQQ-RU.TXT 60:40 28.80%
-8.01% 3.59
58.46%
QQQQ/GLD TRKQQ-AU.TXT
55:45 71.65% -9.76%
7.34 66.23%
** QQQQ/XLF
TRKQQ-FN.TXT 55:45 54.82%
-5.35% 10.24 79.16%
QQQQ/XLE TRKQQ-LE.TXT 65:35
50.96% -8.87% 5.74
61.76%
QQQQ/XLP TRKQQ-LP.TXT
55:45 53.64% -7.01%
7.65 76.17%
* QQQQ/XLU
TRKQQ-LU.TXT 65:35 73.91%
-6.60% 11.20 73.00%
SPY /DIA TRKSP-DW.TXT 60:40
7.83% -6.96% 1.12
53.43%
SMH /DIA TRKSM-DW.TXT
55:45 NaN%
100.00% NaN
0.00%
SMH /IBB TRKSM-BB.TXT
55:45 NaN%
100.00% NaN
0.00%
SMH /IYJ TRKSM-YJ.TXT
55:45 NaN%
100.00% NaN
0.00%
SMH /IWM TRKSM-RU.TXT
55:45 54.54% -5.91%
9.23 67.12%
* SMH /SPY
TRKSM-SP.TXT 55:45 70.08%
-6.61% 10.61 70.56%
*
SMH /XLF TRKSM-FN.TXT 55:45
87.59% -8.58% 10.21
70.90%
** SMH /XLP TRKSM-LP.TXT 55:45
94.03% -7.33% 12.84
76.34%
IWM /DIA TRKRU-DW.TXT
55:45 37.72% -4.28%
8.82 71.60%
IWM /SPY
TRKRU-SP.TXT 60:40 38.63%
-5.19% 7.44
65.03%
IWM /QQQ TRKRU-NQ.TXT
65:35 45.12% -6.62%
6.82 64.59%
IWM /SMH
TRKRU-SM.TXT 65:35 33.60%
-12.82% 2.62
60.60%
XLF /SPY TRKFN-SP.TXT
50:50 47.44% -6.03%
7.86 64.62%
XLF /DIA
TRKFN-DW.TXT 55:45 68.43%
-6.93% 9.88
65.63%
XLF /IWM TRKFN-RU.TXT
60:40 60.81% -10.38%
5.86 60.65%
XLF /GLD
TRKFN-AU.TXT 55:45 114.52%
-10.72% 10.68 60.05%
XLE /SPY TRKLE-SP.TXT 55:45
42.91% -7.84% 5.47
70.64%
XLE /DIA TRKLE-DW.TXT
60:40 67.14% -9.78%
6.87 65.27%
XLE /IWM
TRKLE-RU.TXT 65:35 57.97%
-11.26% 5.15
64.00%
XLE /GLD TRKLE-AU.TXT
65:35 105.31% -9.86%
10.68 69.09%
* QQQQ/DIA
TRKQQ-DW.TXT 55:45 34.29%
-3.22% 10.65 71.57%
QQQQ/DIA TRKQQDW1.TXT 55:45
26.20% -3.34% 7.85
68.92%
QQQQ/DIA TRKQQDW2.TXT
55:45 56.17% -6.80%
8.26 63.78%
===============
END OF
REPORT 1
===============
============ Forecast Reports
============
Report 1: Differential
Signals
Report 2: Pairs Trading
Report
3: Voted Signals
Report 4: Day Trades
Report
5: Prediction Table
Report 6: Primary
Indicators
Report A: Major
Strategies
==========================================
=======================================================================
FORECAST Report 2: Selected TRADING PAIRS (as of the Close on 02/03/12)
=======================================================================
The material in this Report has been extracted from the TRKPAIRS.TXT Report,
which itself works with 20 ETF pairs that have been pulled from the much larger
STKPAIRS.TXT Report. Unlike our various Differential Signals, these Trading
Pairs are bought or shorted in accordance with our Voted signals (see the
ALLVOTES.TXT Report), and thus they may be both Long, both Short, or one may
be Long while the other is Short.
The Equity Ratio has been empirically determined to produce the best G/d
ratio for the pair of ETFs. All of the data shown is Back-Tested EXCEPT for
the Actual TotGain% field which shows the amount of gain or loss that would
have been achieved if the pair of ETFs, at the equity ratio shown, had been
traded in accordance with our published Voted Signals (see the TRKVOTEB.TXT
Report) since 9/4/08.
KEY:
====
NEW SIG The Voted Signals (Class "B") for the equity pair for the
next trading day (see ALLVOTES.TXT Report):
+ ==> Go Long
- ==> Go Short
$ ==> Stay in Cash
Best G/d This value is the ratio of back-tested annualized gain
(Best AnnGain%) to back-tested maximum drawdown
(Best MaxDraw%). The largest G/d values correspond to an
'optimal' equity ratio.
Best AnnGain% Back-tested (theoretical) annualized gain.
Best MaxDraw% Back-tested (theoretical) maximum drawdown.
Actual TotGain% The ACTUAL gain (based upon our published TimerTrac monitored
signals since 9/4/08.
Optimal Equity Ratios (Based on back-tested Gain/draw figures)
==============================================================
ETF1/ETF2 NEW Equity Best Best Best Actual
portfolio SIG Ratio G/d AnnGain% MaxDraw% TotGain%
--------- --- ----- ----- -------- -------- --------
DIA/IWM +/+ 5-95 37.84 329.19% -8.70% 114.82%
DIA/QQQQ +/+ 5-95 46.11 241.42% -5.24% -3.82%
DIA/SMH +/+ 45-55 34.61 260.46% -7.53% 17.08%
DIA/SPY +/+ 5-95 31.63 196.30% -6.21% 21.94%
IWM/IWZ +/+ 95- 5 38.08 332.86% -8.74% 123.05%
IWM/IYY +/+ 95- 5 38.04 333.17% -8.76% 112.56%
IWM/QQQQ +/+ 5-95 46.34 250.42% -5.40% -0.90%
IWM/SMH +/+ 60-40 45.84 351.54% -7.67% 69.76%
IWM/VTI +/+ 95- 5 37.98 332.79% -8.76% 119.76%
QQQQ/IBB +/+ 80-20 49.58 244.12% -4.92% 19.77%
QQQQ/IWV +/+ 95- 5 47.26 240.84% -5.10% 0.01%
QQQQ/IWW +/+ 95- 5 45.98 243.37% -5.29% -1.10%
QQQQ/MDY +/+ 95- 5 47.33 243.15% -5.14% -3.50%
IBB/IWZ +/+ 45-55 35.94 223.48% -6.22% 170.50%
IBB/IYJ +/+ 50-50 38.84 230.01% -5.92% 256.62%
IBB/IYW +/+ 55-45 44.04 242.61% -5.51% 105.86%
IBB/MDY +/+ 35-65 37.73 205.42% -5.44% 76.72%
IBB/VTI +/+ 65-35 38.08 226.29% -5.94% 148.98%
IWW/IYW +/+ 5-95 38.91 248.52% -6.39% 34.50%
IWV/SWH +/? 0- 0 0.00 0.00% 0.00% 0.00%
===============
END OF REPORT 2
===============
============
Forecast Reports ============
Report 1:
Differential Signals
Report 2: Pairs
Trading
Report 3: Voted Signals
Report
4: Day Trades
Report 5: Prediction
Table
Report 6: Primary Indicators
Report
A: Major Strategies
==========================================
==============================================================
FORECAST
Report 3: Voted Signals (as of the Close on
02/03/12)
==============================================================
***
Note: This is a summary report. Please consult the larger
report
ALLVOTES.TXT for more complete information, including both
Actual performance
data and additional back-tested data.
Section
I. Special Signals
==========================
This first
Section summarizes the official (Class "B") signals for
some
major ETFs, and the 2x Long and Short (or 3x Long and Short)
equivalent
ETFs are shown for reference purposes. The "Raw"
(or Class "A") signal
is shown for the sake of
comparison, but the Class "B" signal is almost
always
more accurate.
Official "Raw"
Class "B" Class "A" 2x Long 2x
Short
ETF Signal
Signal ETF
ETF
=== ======== ======== ========
==========
QQQQ BUY
BUY QLD
QID
SPY BUY
BUY SSO
SDS
DIA BUY
BUY DDM
DXD
IWM BUY
BUY UWM
TWM
MDY BUY
BUY MVV
MZZ
SMH BUY
BUY USD
SSG
VTI BUY
BUY ---
---
IYY BUY
BUY ---
---
FAS BUY
BUY ---
FAZ (3x)
UYG BUY
BUY ---
SKF (2x)
ERX BUY
BUY ---
ERY (3x)
BGU BUY
BUY ---
BGZ (3x)
TNA BUY
BUY ---
TZA (3x)
Section II. All Voted
Signals
=============================
This second Section
lists all 140 Voted Signals in alphabetical order, giving
both the
current ("official" = Class "B") signal and the
previous signal. If
there has been a change in the signal, then
the symbols "<<<<" are used to
highlight the
signal change.
Actual Performance data (over #days):
#days
-- This is the total number of days for which actual performance
data
is available
(see the appropriate Tracking Report for complete
information, e.g., TRKVOTEB.TXT).
Total Gain% -- The total
(compounded) gain reflecting the actual performance
of Long/Short/Cash trades over the period #days.
Annualized
Gain% -- The equivalent annual gain% if the Total Gain% value
is
projected to a
full trading year.
Back-tested data (over a 7 years
period) is also shown to help suggest trades
that may be more
profitable:
G/d -- This is the back-tested annualized Gain
divided by the back-tested maximum
drawdown observed for the equity. High G/d ratios are better than low
ones,
either because higher gains
might be expected, or because the drawdowns
will be lower.
Accuracy -- This is the back-tested trading
accuracy for the equity, and there
is no guarantee, of course, that future actual trading accuracies
will
be as
high.
Actual Performance
Back-Tested Performance
========================
=======================
New Prev
# Total Annualized
(8/16/02 -> present)
Equity Signal
Signal days Gain%
Gain% G/d
Accuracy Company Name
====== ======
====== ==== ======== ==========
====== ========
============
AA BUY
BUY 692 7.39%
2.63% 6.52
84.48% Alcoa Inc
AAPL
BUY BUY
815 118.58% 27.35%
5.74 76.60%
Apple Inc
ADBE BUY
BUY 815 127.76%
28.99% 7.21
85.49% Adobe Systems Inc
ADP
BUY BUY
692 11.30% 3.98%
11.28 79.97%
Automatic Data Processing Inc.
ADSK
BUY BUY
786 103.05% 25.50%
4.38 83.89%
Autodesk Inc
AKAM BUY
BUY 692 171.83%
43.93% 3.79
83.53% Akamai Technologies Inc
ALTR
BUY BUY
786 -10.61% -3.53%
5.89 81.14%
Altera Corp
AMAT BUY
BUY 786 -28.01%
-10.00% 7.85
85.09% Applied Materials Inc
AMGN
BUY BUY
815 73.24% 18.52%
8.78 82.94%
Amgen Inc
AMZN BUY
BUY 815 26.29%
7.48% 4.74
80.96% Amazon.Com Inc
APOL
BUY BUY
786 -28.93% -10.37%
4.95 70.39%
Apollo Group Inc Cl A
ATVI BUY
BUY 815 63.95%
16.52% 4.29
83.14% Activision Blizzard` Inc
AXP
BUY BUY
815 152.36% 33.14%
5.42 83.03%
American Express Co
BA
BUY BUY
815 54.87% 14.48%
7.94 83.48%
Boeing Co
BAC BUY
BUY 815 -46.34%
-17.51% 3.17
82.70% Bank Of America Corp
BBBY
BUY BUY
786 29.40% 8.61%
7.46 85.97%
Bed Bath & Beyond Inc
BGU
BUY BUY
692 -22.17% -8.72%
5.01 80.18%
Direxion Large Cap Bull 3x Share
BIIB
BUY BUY
786 274.18% 52.66%
5.87 83.19%
Biogen Idec Inc
BRCM BUY
BUY 786 -26.26%
-9.30% 3.87
79.96% Broadcom Corp Cl A
C
BUY <<<< SHORT 692
-19.77% -7.71%
3.62 83.77%
Citigroup
CA BUY
BUY 786 -6.25%
-2.05% 6.60
85.40% CA Inc
CAT
BUY BUY
815 45.15% 12.21%
7.24 78.39%
Caterpillar Inc
CELG BUY
BUY 815 22.92%
6.59% 4.92
75.69% Celgene Corp
CERN
BUY BUY
626 14.57% 5.63%
3.39 72.14%
Cerner Corp
CHKP BUY
BUY 692 83.58%
24.76% 3.64
84.51% Check Point Software
Technologie
CHRW BUY
BUY 786 75.86%
19.84% 6.33
80.82% C.H. Robinson Worldwide
CMCSA
BUY BUY
815 81.30% 20.20%
6.89 76.40%
Comcast Corp Cl A
COST BUY
BUY 786 -5.40%
-1.76% 10.72
84.65% Costco Wholesale Corp
CSCO
BUY BUY
815 96.92% 23.31%
7.04 83.23%
Cisco Systems Inc
CTAS BUY
BUY 786 26.23%
7.76% 6.20
75.17% Cintas Corp
CTSH
BUY BUY
786 46.53% 13.03%
5.88 78.79%
Cognizant Tech Sol Cp A
CTXS BUY
BUY 786 27.38%
8.07% 5.65
80.90% Citrix Systems Inc
CVX
BUY BUY
815 27.28% 7.74%
9.15 84.57%
Chevron Corp
DD BUY
BUY 815 -14.39%
-4.69% 9.19
81.03% E. I. du Pont de Nemours and
Co
DELL BUY
BUY 786 20.49%
6.16% 5.72
81.96% Dell Inc
DIA
BUY BUY
862 25.55% 6.88%
14.03 80.38%
DIAMONDS Trust Series ETF
DIS
BUY BUY
692 5.51%
1.97% 6.91
80.29% The Walt Disney Company
DISH
BUY BUY
626 0.40%
0.16% 6.10
74.90% Dish Network Corp Cl A
DTV
BUY BUY
815 94.78% 22.89%
6.26 82.51%
The DIRECTV Group` Inc.
EA
BUY BUY
786 -48.97% -19.40%
3.86 82.57%
Electronic Arts Inc
EBAY BUY
BUY 815 177.54%
37.11% 5.61
84.29% Ebay Inc
ERX
BUY BUY
692 -47.88% -21.12%
3.15 83.55%
Direxion Energy Bull 3x Shares
ESRX
BUY BUY
815 52.90% 14.03%
6.37 82.15%
Express Scripts Inc
EXPD BUY
BUY 786 -5.39%
-1.76% 5.70
80.38% Expeditors International of
Wash
FAS BUY <<<<
$$$$ 692 -37.95%
-15.95% 3.41
87.64% Direxion Financial Bull 3x
Share
FAST BUY
BUY 786 60.00%
16.26% 4.84
81.31% Fastenal Company
FISV
BUY BUY
786 40.32% 11.47%
8.78 82.26%
Fiserv Inc
FLEX BUY
BUY 626 209.65%
57.62% 3.38
80.10% Flextronics Internat Ltd
FLIR
BUY BUY
786 69.12% 18.35%
5.58 82.30%
Flir Systems Inc
GE
BUY BUY
692 24.21% 8.22%
8.02 82.41%
General Electric Co
GILD BUY
BUY 815 18.29%
5.33% 5.96
82.58% Gilead Sciences Inc
GRMN
BUY BUY
786 239.57% 47.98%
4.92 81.29%
Garmin Ltd
HD BUY
BUY 692 35.65%
11.74% 6.30
85.21% Home Depot Inc
HOLX
BUY BUY
626 232.48% 62.20%
3.87 80.16%
Hologic Inc
HPQ BUY
BUY 815 -42.98%
-15.94% 5.70
81.07% Hewlett-Packard Co
HSIC
BUY BUY
626 32.90% 12.13%
6.98 84.70%
Henry Schein Inc
IACI BUY
BUY 626 15.55%
5.99% 6.16
74.59% IAC/Interactive Corp
IBB
BUY BUY
862 179.70% 35.08%
12.02 83.51%
iShares Nasdaq Biotechnology Ind
IBM
BUY BUY
815 40.84% 11.17%
12.67 83.23%
International Business Machines
IJH
BUY
BUY
12.74 81.80%
iShares S&P MidCap 400 Index Fun
ILMN
BUY BUY
626 321.96% 78.53%
3.95 80.76%
Illumina Inc
INFY BUY
BUY 626 1.82%
0.73% 5.83
82.70% Infosys Technologies Limited
ADS
INTC BUY <<<<
SHORT 815 11.48%
3.42% 6.57
70.96% Intel Corp
INTU
BUY BUY
786 83.23% 21.43%
6.98 79.31%
Intuit Inc
ISRG BUY
BUY 786 21.47%
6.43% 3.93
76.65% Intuitive Surgical Inc
IWM
BUY BUY
862 120.21% 25.96%
9.46 83.79%
iShares Russell 2000 Index Fund
IWMZ
BUY
BUY
8.35 80.08%
IWV
BUY BUY
862 157.88% 31.91%
13.52 84.49%
iShares Russell 3000 Index Fund
IWW
BUY BUY
862 104.00% 23.17%
10.13 81.88%
iShares Russell 3000 Value Index
IWZ
BUY BUY
862 151.57% 30.96%
10.95 82.24%
iShares Russell 3000 Growth Inde
IXN
BUY BUY
862 -31.62% -10.52%
13.46 78.06%
iShares S&P Global Technology Se
IYJ
BUY BUY
862 324.00% 52.55%
10.19 85.97%
iShares Dow Jones US Industrial
IYW
BUY BUY
862 30.79% 8.16%
13.21 84.12%
iShares Dow Jones US Technology
IYY
BUY BUY
862 1.67% 0.48%
10.47 82.16%
iShares Dow Jones US Total Marke
IYZ
BUY BUY
862 65.83% 15.94%
8.77 79.35%
iShares Dow Jones US Telecommuni
JBHT
BUY BUY
626 37.83% 13.79%
5.32 79.14%
JB Hunt Transport Services
JNJ
BUY BUY
815 16.82% 4.93%
9.69 84.27%
Johnson & Johnson
JNPR BUY
BUY 786 46.03%
12.91% 6.14
83.41% Juniper Networks
JOY
BUY BUY
626 96.59% 31.27%
5.01 82.94%
Joy Global Inc
JPM BUY
BUY 815 7.05%
2.13% 5.39
81.56% JPMorgan Chase and Co
KFT
BUY BUY
815 46.58% 12.55%
12.18 80.98%
Kraft Foods Inc
KLAC BUY
BUY 786 -16.44%
-5.60% 6.52
80.97% Kla-Tencor Corp
KO
BUY BUY
815 15.67% 4.61%
8.35 80.52%
Coca-Cola Co
LIFE BUY
BUY 626 62.97%
21.73% 7.32
80.73% Life Technologies Corporation
LLTC
BUY BUY
786 16.01% 4.88%
7.66 83.15%
Linear Technology Corp
LOGI BUY
BUY 626 -5.71%
-2.34% 2.73
83.64% Logitech Intl Sa Ord
LRCX
BUY BUY
692 -30.05% -12.21%
4.30 81.58%
Lam Research Corp
MAT BUY
BUY 815 88.92%
21.74% 8.81
77.19% Mattel Inc
MCD
BUY BUY
815 71.00% 18.04%
8.19 78.18%
McDonalds Corp
MCHP BUY
BUY 626 -18.00%
-7.68% 6.44
80.27% Microchip Technology Inc
MDY
BUY BUY
862 31.66% 8.37%
14.01 85.62%
SPDRs S&P Midcap Trust Series ET
MMM
BUY BUY
815 59.63% 15.56%
9.19 83.37%
3M Company
MNST BUY
BUY 626 7.37%
2.90% 3.23
79.29% Monster Beverage Corporation
MRK
BUY BUY
815 68.65% 17.54%
6.40 76.01%
Merck & Co
MRVL BUY
BUY 786 -27.45%
-9.78% 3.36
81.28% Marvell Technology Group
MSFT
BUY BUY
815 59.73% 15.58%
8.53 80.83%
Microsoft Corp
NTAP BUY
BUY 786 29.95%
8.76% 4.59
79.29% Netapp Inc
NVDA
BUY BUY
786 32.19% 9.36%
3.73 81.59%
NVIDIA Corporation
NWSA BUY
BUY 626 40.54%
14.68% 5.17
82.39% News Corp Inc Cl A
ORCL
BUY BUY
815 239.60% 45.94%
6.53 83.84%
Oracle Corporation
ORLY BUY
BUY 626 -17.99%
-7.67% 7.10
84.11% O'reilly Automotive Inc
PAYX
BUY BUY
786 73.71% 19.37%
5.36 82.84%
Paychex Inc
PCAR BUY
BUY 786 -39.79%
-15.01% 5.97
80.00% Paccar Inc
PDCO
BUY BUY
626 -32.81% -14.79%
4.13 76.24%
Patterson Companies Inc
PFE
BUY BUY
692 7.99%
2.84% 4.52
78.78% Pfizer Inc
PG
BUY BUY
815 18.32% 5.34%
11.06 73.79%
Procter & Gamble Co
QCOM BUY
BUY 815 238.27%
45.76% 6.84
82.71% Qualcomm Inc
QQQQ
BUY BUY
862 -5.38% -1.60%
17.17 89.61%
PowerShares QQQTrust Ser 1
RF
BUY BUY
692 25.60% 8.66%
2.46 77.88%
Regions Financial Corp
RIMM BUY
BUY 815 10.12%
3.02% 3.96
80.69% Research In Motion Ltd
ROST
BUY BUY
626 47.09% 16.80%
8.20 79.17%
Ross Stores Inc
RYAAY BUY
BUY 626 65.51%
22.48% 6.52
78.09% Ryanair Hldgs Plc Adr
SBUX
BUY BUY
786 50.89% 14.10%
6.61 81.94%
Starbucks Corporation
SIAL BUY
BUY 786 51.81%
14.32% 7.96
82.81% Sigma-Aldrich Corp
SMH
BUY BUY
862 4.92%
1.41% 7.38
83.41% HOLDRS Semiconductor ETF
SPLS
BUY BUY
786 27.50% 8.10%
5.49 78.95%
Staples Inc
SPY BUY
BUY 862 21.52%
5.86% 13.28
82.86% SPDRs S&P 500 Trust Series
ETF
SRCL BUY
BUY 786 5.54%
1.75% 7.27
82.35% Stericycle Inc
STLD
BUY
BUY
3.69 82.53%
Steel Dynamics Inc
SYMC BUY
BUY 815 59.24%
15.47% 4.15
83.88% Symantec Corp
T
BUY BUY
692 -17.27% -6.67%
10.15 78.89%
AT&T Inc
TEVA BUY
BUY 815 175.17%
36.75% 6.78
81.34% Teva Pharm Ind
TNA
BUY BUY
692 5.83%
2.09% 3.28
80.98% Direxion Small Cap Bull 3x
Share
URBN BUY
BUY
3.85 76.04%
Urban Outfitters Inc
UTX BUY
BUY 815 62.90%
16.29% 9.27
84.78% United Technologies Corp
UYG
BUY BUY
692 18.78% 6.47%
4.69 89.53%
ProShares Ultra Financials
VRSN
BUY BUY
692 -16.94% -6.54%
6.43 81.03%
Verisign Inc
VRTX BUY
BUY 786 -15.82%
-5.37% 4.06
80.50% Vertex Pharmaceuticals
VTI
BUY BUY
862 87.56% 20.19%
10.48 83.09%
Vanguard Total Stock Mkt Etf
VZ
BUY BUY
815 12.32% 3.66%
8.61 76.78%
Verizon Communications
WFC
BUY BUY
692 78.38% 23.46%
5.74 84.17%
Wells Fargo & Company
WMT
BUY BUY
815 86.22% 21.20%
7.94 76.87%
Wal-Mart Stores Inc
XLE BUY
BUY 862 111.82%
24.54% 8.27
84.94% SPDRs Select Sector Energy
ETF
XLF BUY
BUY 862 134.36%
28.27% 7.68
88.10% SPDRs Select Sector Financial
ET
XLK BUY
BUY 862 5.94%
1.70% 12.68
87.74% SPDRs Select Sector Technology
E
XLNX BUY
BUY 786 30.39%
8.88% 4.93
79.59% Xilinx Inc
XOM
BUY <<<< SHORT 815
59.44% 15.52%
8.97 78.23%
Exxon Mobil Corporation
XRAY BUY
BUY 786 37.33%
10.70% 8.62
84.08% Dentsply Internat Inc
YHOO
BUY BUY
786 15.67% 4.78%
6.56 78.77%
Yahoo! Inc
===============
END OF REPORT
3
===============
============ Forecast Reports
============
Report 1: Differential
Signals
Report 2: Pairs Trading
Report
3: Voted Signals
Report 4: Day Trades
Report
5: Prediction Table
Report 6: Primary
Indicators
Report A: Major
Strategies
==========================================
========================================================================
FORECAST
Report 4: New Signals of Interest (as of the Close on
02/03/12)
========================================================================
This
Report consists of 6 subreports:
4.1 Possible
Trades for Next Market Day
This
subreport lists all of our 'picks' for the next trading day,
broken down into 7 categories based upon our Signal Type.
4.2
New Signal Type 1 PAIRS (Sorted by Portfolio G/d Value)
This subreport takes all of the Signal Type 1 equities from
subreport
4.1 and groups them into
Trading Pairs, sorted by the back-tested value
for the G/d parameter (annualized Gain divided by maximum drawdown)
that
characterizes the Trading
Pair.
4.3 Daily Results for Trades (Committed
Based on QQQQ Signal)
This
subreport shows the actual gains and losses for the trades
identified
on the previous day's
4.1 subreport. This shows us how well our 'picks'
actually performed TODAY.
4.4 Daily Results for
Signal Type 1 PAIRS Trades
This
subreport shows the actual gains and losses for the Trading
Pairs
identified on the previous
day's 4.2 subreport. This shows us how well
our Trading Pair 'picks' actually performed TODAY.
4.5
Global Statistics for All Trades Grouped by Signal Types
This subreport shows the actual gains and losses for our 'picks'
since
our tracking began on
7/17/09. Statistics are maintained separately
for each Signal Type. In other words, this subreport is essentially
a
synopsis of all of the previous
4.3 subreports since the inception of
tracking.
4.6 Global Statistics for All Pairs
Trades Grouped by G/d Range
This subreport shows the actual gains and losses for our Signal Type
1
Trading Pairs since our tracking
began on 7/17/09. All Trading Pairs
are derived from our highly accurate Type 1 signals, and
statistics
are maintained for
Long-only pairs (BUY/BUY), Short-only pairs (SHORT/
SHORT), and Hedged pairs (BUY/SHORT or SHORT/BUY). For each
category
separate statistics are
shown for key G/d ranges.
Subreport
4.1:
==============
The following lines have been extracted
from the SELECTOR.HTM Report, and
they show Signals that may
represent profitable trading opportunities for
the next market
day.
This Report is based upon looking for agreement between
our 3 fundamental
types of signals:
(1) VoteS = Voted
Signals (see ALLVOTES.TXT): Our short-term signals
(2) GrailS =
Grail System Signals: Our intermediate-term signals
(3)
Preprocessor Signals (see NEWPICKS.TXT): Our longer-term signals
If
the Preprocessor's acquisition date field is followed by a '+++',
this means
that the Preprocessor has just bought (or Shorted) the
equity.
You should closely examine all equities listed here,
and you should Chart them
and look for corroborating technical
patterns before making trades. The basic
idea behind this report
is to try to identify possible trades that may have
the most
profit potential, but this should be confirmed by Charting.
If
the signal in the VoteS column is shown in parentheses, then there is
no
Voted Signal for the equity, and instead the 'Consensus' signal
is shown. The
Consensus Signal will be the Preprocessor's signal
for new trades (marked by
'+++' following the acquisition date
field), and it will be the Grail System
signal
otherwise.
Key:
====
T The TYPE of the
"pick":
1 -->
Voted Signal is in agreement with the Grail System signal
and
the Preprocessor signal.
2
--> Voted Signal is in agreement with the Grail System signal,
but
is NOT confirmed by the Preprocessor signal.
3 --> Voted Signal is in agreement with the Preprocessor signal,
but
is NOT confirmed by the Grail System signal.
4 --> Voted Signal is NOT confirmed by either the Grail System
signal
or the Preprocesor signal.
5
--> Preprocessor "New Pick" that is confirmed by the
Grail System
signal.
6 --> Preprocessor
"New Pick" that is unconfirmed.
7 --> Preprocessor Signal (BUY) that is confirmed by the Grail
System.
G/d The Ratio of the 'back-tested'
annualized gain (G) to the 'back-tested'
maximum drawdown (d). Prospective trades will larger G/d values
'should'
be better trades. This is not a
guarantee, however. If an equity doesn't
like 'healthy' at the market Open, it would be better to pick an
alternate
that looks better, even if its
back-tested G/d value is lower.
Long Qual This is an
experimental value, and it comes out of our Generalized
Candlestick neural network. It is desirable to have a large
positive
number if we have a BUY, and a large negative number if we have
a
SHORT.
4.1 Possible Trades for Next Market Day
========================================
Note: Our procedure
is to only act on BUY signals if our QQQQ Voted Signal is
a BUY,
and to SHORT only if the QQQQ signal had been a SHORT. We suggest
that
no trading be done if the QQQQ signal is Cash ($$$$).
The
candidate trades are grouped by their Signal Type (1, 2, 3, ... 7),
and
within each Signal Type grouping, stocks are ordered by
increasing G/d value,
thus suggesting the best theoretical
ranking. Remember, however, that what is
more important is how the
equity 'looks' at the Open; don't blindly trade based
strictly on
the G/d value.
*** NOTE 1: The "VoteS" column thus
contains the official signal. If the value
is NOT in parentheses
then it is the actual Voted Signal -- and we NEVER go
against this
signal. If the value is in parentheses, e.g., (BUY), then there
is
no Voted Signal available; instead, this is the Consensus signal
between
the Grail System models and the Preprocessor. So, in all
cases, the VoteS
column defines the direction of the trade.
***
NOTE 2: We gather trading statistics assuming that Protective Stops
are
used to prevent unnecessary losses. The Stop values used
are:
Long -3.00% (We sell the equity if it drops
below the Open price by more than
this value)
Short +3.00% (We cover the Short if the price
rises above the Open price by
more than this value)
*** NOTE 3: Within Signal Types 1-4, if
the Preprocessor signal has the '+++'
(New Trade) flag, then that
equity might be a better trade than those that
have not just been
picked up by the
Preprocessor.
Long
T Eqty G/d VoteS GrailS
Preprocessor Signal
Qual Company Name
= ==== ==== ===== ======
============================== =====
================================
1 QQQQ 47.1 BUY
BUY (BUY
112811 13.46%) 2.30
PowerShares QQQTrust Ser 1
1 AAPL 40.9 BUY
BUY (BUY
102611 12.79%) 2.60
Apple Inc
1 CTXS 39.2 BUY BUY
(BUY 020212
1.15%) 1.30 Citrix Systems Inc
1 IWM 38.4
BUY BUY
(BUY 082411
18.50%) 3.91 iShares Russell 2000 Index Fund
1 SPY
31.7 BUY BUY
(BUY 091211
14.94%) 2.88 SPDRs S&P 500 Trust Series ETF
1 MDY
30.7 BUY BUY
(BUY 112811
15.00%) 3.97 SPDRs S&P Midcap Trust Series ET
1
MRVL 26.3 BUY BUY
(BUY 112811
23.44%) 4.99 Marvell Technology Group
1 QCOM 25.5
BUY BUY
(BUY 072811
12.26%) 2.52 Qualcomm Inc
1 ATVI 21.8 BUY
BUY (BUY
121511 2.93%)
5.38 Activision Blizzard` Inc
1 GILD 16.8 BUY
BUY (BUY
122111 40.84%) 2.00
Gilead Sciences Inc
1 TNA 4.9 BUY
BUY (BUY
122011 44.36%) 5.13
Direxion Small Cap Bull 3x Share
1 BGU 2.5 BUY
BUY (BUY
121511 33.98%) -2.03
Direxion Large Cap Bull 3x Share
2 AKAM 56.2 BUY
BUY (short?
) -0.72 Akamai Technologies Inc
2 JOY 44.7 BUY
BUY (short?
) 5.89 Joy Global Inc
2 IYW 39.4 BUY
BUY (short?
) 2.13 iShares Dow Jones US Technology
2 WFC
36.9 BUY BUY
(short?
) 5.73 Wells Fargo & Company
2 UYG 36.2
BUY BUY
(short?
) 5.12 ProShares Ultra Financials
2 IBB 33.2
BUY BUY
(short?
) 5.12 iShares Nasdaq Biotechnology Ind
2 C
32.5 BUY BUY
(short?
) 5.61 Citigroup
2 MAT 32.3 BUY
BUY (short?
) 2.01 Mattel Inc
2 SMH 31.8 BUY
BUY (short?
) 2.58 HOLDRS Semiconductor ETF
2 AMZN 31.7 BUY
BUY (short?
) 3.12 Amazon.Com Inc
2 INFY 30.8 BUY
BUY (short?
) -2.26 Infosys Technologies Limited ADS
2 RF
30.3 BUY BUY
(short?
) 0.67 Regions Financial Corp
2 IWZ 28.5
BUY BUY
(short?
) 5.21 iShares Russell 3000 Growth Inde
2 CSCO 28.3
BUY BUY
(short?
) 2.02 Cisco Systems Inc
2 PCAR 28.2 BUY
BUY (short?
) 5.17 Paccar Inc
2 IYY 27.8 BUY
BUY (short?
) 3.69 iShares Dow Jones US Total Marke
2 VTI
26.9 BUY BUY
(short?
) 2.53 Vanguard Total Stock Mkt Etf
2 XLE 25.3
BUY BUY
(short?
) 3.03 SPDRs Select Sector Energy ETF
2 IWV 24.6
BUY BUY
(short?
) 2.67 iShares Russell 3000 Index Fund
2 BIIB 24.1
BUY BUY
(short?
) 5.16 Biogen Idec Inc
2 EXPD 24.0 BUY
BUY (short?
) 1.76 Expeditors International of Wash
2 BAC
22.4 BUY BUY
(short?
) 5.47 Bank Of America Corp
2 CHRW 20.2 BUY
BUY (short?
) 1.55 C.H. Robinson Worldwide
2 MCD 18.3
BUY BUY
(short?
) 2.00 McDonalds Corp
2 IYZ 18.2 BUY
BUY (short?
) 3.27 iShares Dow Jones US Telecommuni
2 BBBY 18.1
BUY BUY
(short?
) 2.47 Bed Bath & Beyond Inc
2 CVX 16.9
BUY BUY
(short?
) 2.73 Chevron Corp
2 CHKP 15.0 BUY
BUY (short?
) -1.63 Check Point Software Technologie
2 ERX
9.8 BUY BUY
(short?
) 4.88 Direxion Energy Bull 3x Shares
2 PFE
7.6 BUY BUY
(short?
) 3.33 Pfizer Inc
2 FAS 5.3 BUY
BUY (short?
) 0.57 Direxion Financial Bull 3x Share
3 NVDA
63.1 BUY SHORT (BUY
102111 8.80%)
4.44 NVIDIA Corporation
3 NTAP 44.3 BUY
SHORT (BUY 122011
12.71%) -1.58 Netapp Inc
3 XLK 36.4 BUY
SHORT (BUY 122211
9.26%) 2.29 SPDRs Select Sector Technology E
3 EBAY
25.3 BUY SHORT (BUY
122211 6.98%)
2.08 Ebay Inc
3 MCHP 22.5 BUY
SHORT (BUY 121511
13.30%) 1.81 Microchip Technology Inc
3 DELL 21.4
BUY SHORT (BUY
121611 17.50%) 1.51
Dell Inc
3 CA 21.0 BUY
SHORT (BUY 110211
24.09%) 5.83 CA Inc
3 SRCL 15.6 BUY
SHORT (BUY 010512
12.97%) 4.72 Stericycle Inc
3 CERN 7.8 BUY
SHORT (BUY 120911
5.13%) 1.74 Cerner Corp
4 AA 41.9
BUY SHORT
(short?
) -1.72 Alcoa Inc
4 XLF 41.1 BUY
SHORT (short?
) 2.61 SPDRs Select Sector Financial ET
4 AMAT 37.3
BUY SHORT
(short?
) 2.16 Applied Materials Inc
4 IXN 37.1 BUY
SHORT (short?
) 5.35 iShares S&P Global Technology Se
4 ALTR
35.0 BUY SHORT
(short?
) -0.30 Altera Corp
4 GRMN 33.9 BUY
SHORT (short?
) 5.79 Garmin Ltd
4 ISRG 33.8 BUY
SHORT (short?
) -3.43 Intuitive Surgical Inc
4 ADBE 28.2 BUY
SHORT (short?
) 0.53 Adobe Systems Inc
4 IWW 24.3 BUY
SHORT (short?
) 5.39 iShares Russell 3000 Value Index
4 T
23.1 BUY SHORT
(short?
) 2.52 AT&T Inc
4 AXP 21.6 BUY
SHORT (short?
) -2.11 American Express Co
4 MSFT 18.2 BUY
SHORT (short?
) -2.26 Microsoft Corp
4 KFT 17.7 BUY
SHORT (short?
) 1.33 Kraft Foods Inc
4 LOGI 12.3 BUY
SHORT (short?
) -1.94 Logitech Intl Sa Ord
4 EA 14.3 BUY
SHORT (short?
) 5.91 Electronic Arts Inc
4 MMM 14.2 BUY
SHORT (short?
) 2.00 3M Company
4 HSIC 13.8 BUY
SHORT (short?
) -1.80 Henry Schein Inc
4 JNJ 9.4 BUY
SHORT (short?
) 1.69 Johnson & Johnson
5 RCL 30.2
(BUY) BUY (BUY
020312+++ 0.00%) -1.37 Royal Caribbean
Cruises
5 TRMB 26.2 (BUY) BUY
(BUY 020312+++
0.00%) -2.73 Trimble Navigation Ltd
5 EWU 23.5
(BUY) BUY (BUY
020312+++ 0.00%) 2.75 iShares
MSCI United Kingdom Inde
5 COLM 16.1 (BUY)
BUY (BUY
020312+++ 0.00%) 5.88 Columbia
Sportswear Co
6 CVC
(BUY) SHORT (BUY
020312+++ 0.00%) -1.50 Cablevision
Systems Cl A
6 BVN
(BUY)
(BUY 020312+++
0.00%) -2.27 Compania De Minas Buena
6 HL
(BUY)
(BUY 020312+++
0.00%) -0.69 Hecla Mining Co
6 PWER
(BUY)
(BUY 020312+++
0.00%) -3.23 Power-One Inc
7 INFA 38.4 (BUY)
BUY (BUY
122011 14.13%) 1.99
Informatica Corporation
7 CLF 35.4 (BUY)
BUY (BUY
020212 0.15%)
1.62 Cliffs Nat'l Resources Inc
7 IJH 34.3 (BUY)
BUY (BUY
112811 15.03%) 4.83
iShares S&P MidCap 400 Index Fun
7 GLW 31.7 (BUY)
BUY (BUY
120911 0.00%)
1.62 Corning Inc
7 IWP 29.4 (BUY) BUY
(BUY 112811
13.57%) 5.42 iShares Russell MidCap Growth In
7 IVW
29.1 (BUY) BUY (BUY
121611 8.40%)
3.75 iShares S&P 500/Barra Growth Ind
7 IWS 28.6
(BUY) BUY (BUY
120911 9.59%)
3.78 iShares Russell MidCap Value Ind
7 TIBX 28.6 (BUY)
BUY (BUY
011112 15.85%) 5.74
Tibco Software Inc
7 ING 27.6 (BUY)
BUY (BUY
121511 44.28%) 2.33
ING Group N.V.
7 OTEX 27.6 (BUY) BUY
(BUY 020212
-0.16%) 5.98 Open Text Cp
7 HON 26.0 (BUY)
BUY (BUY
121511 14.91%) 5.00
Honeywell International
7 IEV 25.7 (BUY)
BUY (BUY
120911 9.38%)
5.43 iShares S&P Europe 350 Index Fun
7 OVTI 25.1 (BUY)
BUY (BUY
010512 25.36%) 5.88
Omnivision Technologies
7 CPWR 24.8 (BUY)
BUY (BUY
011112 -2.01%) 0.27
Compuware Corp
7 EP 24.3 (BUY)
BUY (BUY
121611 8.33%)
2.94 El Paso Corp
7 M 24.2 (BUY)
BUY (BUY
121411 15.11%) 5.06
Macy's Inc
7 WAT 24.2 (BUY) BUY
(BUY 122011
21.01%) 2.57 Waters Corp
7 HSC 23.9 (BUY)
BUY (BUY
012712 5.77%) -3.67
Harsco Corp
7 GT 23.3 (BUY) BUY
(BUY 121511
1.32%) 5.00 Goodyear Tire&Rubber Co
7 BMC
22.2 (BUY) BUY (BUY
020212 -1.48%) -1.97 Bmc
Software Inc
7 PCP 21.8 (BUY) BUY
(BUY 101111
4.18%) -0.77 Precision Castparts Corp
7 MEOH 20.9 (BUY)
BUY (BUY
011812 4.65%)
1.41 Methanex Corporation
7 CDNS 20.6 (BUY)
BUY (BUY
121611 12.79%) -3.59
Cadence Design Systems
7 ELP 20.6 (BUY)
BUY (BUY
102111 22.79%) 2.35
Companhia Paranaense De
7 XLI 20.5 (BUY)
BUY (BUY
082411 19.85%) 2.69
SPDRs Select Sector Industrial E
7 CSGP 20.2 (BUY)
BUY (BUY
082311 21.01%) -1.68 Costar
Group Inc
7 NOV 19.9 (BUY) BUY
(BUY 122011
21.92%) -3.94 National Oilwell Varco Inc
7 SPYG 19.6
(BUY) BUY (BUY
112911 7.14%)
5.42 SPDR S&P 500 Growth ETF
7 BTU 18.8 (BUY)
BUY (BUY
122011 14.39%) 3.28
Peabody Energy
7 DDS 18.5 (BUY) BUY
(BUY 020212
4.62%) 2.71 Dillard's Inc
7 MKSI 18.1 (BUY)
BUY (BUY
112811 31.25%) -1.61 Mks
Instruments Inc
7 MU 18.1 (BUY)
BUY (BUY
112811 41.21%) -1.53 Micron
Technology Inc
7 MOGA 18.0 (BUY) BUY
(BUY 013112
4.46%) 2.99 Moog Inc
7 OIH 17.8 (BUY)
BUY (BUY
121611 16.84%) 5.36
HOLDRS Oil Service ETF
7 HLX 16.7 (BUY)
BUY (BUY
012012 12.18%) -3.31 Helix
Energy Solutions Group Inc
7 WHR 16.5 (BUY)
BUY (BUY
020112 11.17%) -3.81
Whirlpool Corp
7 GPS 16.4 (BUY) BUY
(BUY 121511
17.10%) 4.58 Gap Inc
7 AMCC 16.2 (BUY)
BUY (BUY
112811 12.68%) -1.99
Applied Micro Circuits
7 EZU 16.2 (BUY)
BUY (BUY
110211 2.50%)
0.74 iShares MSCI EMU Index Fund ETF
7 BBOX 15.9 (BUY)
BUY (BUY
090711 25.69%) 2.01
Black Box Corp
7 RBC 15.8 (BUY) BUY
(BUY 111111
21.15%) 0.27 Regal-Beloit Corp
7 UWM 15.4
(BUY) BUY (BUY
112811 40.69%) -1.89
ProShares Ultra Russell 2000 ETF
7 EWC 15.2 (BUY)
BUY (BUY
122011 11.98%) 5.39
iShares MSCI Canada Index Fund E
7 EWW 15.1 (BUY)
BUY (BUY
111811 15.81%) 5.78
iShares MSCI Mexico Index Fund E
7 VCLK 15.1 (BUY)
BUY (BUY
120211 15.05%) -1.65
Valueclick Inc
7 GCO 14.2 (BUY) BUY
(BUY 012712
2.30%) 2.11 Genesco Inc
7 HOV 14.2 (BUY)
BUY (BUY
010612 61.14%) -3.94
Hovnanian Enterprises A
7 SCHW 14.0 (BUY)
BUY (BUY
112511 16.35%) 5.33
Charles Schwab Corp
7 CBT 12.8 (BUY)
BUY (BUY
121511 33.57%) -3.06 Cabot
Corp
7 BPFH 12.7 (BUY) BUY
(BUY 013012
11.36%) 3.30 Boston Private Fincl Hld
7 IYR 12.4
(BUY) BUY (BUY
112511 16.54%) 3.22
iShares Dow Jones US Real Estate
7 XLP 12.0 (BUY)
BUY (BUY
112211 6.91%)
1.61 SPDRs Select Sector Consumer Sta
7 EWP 11.8 (BUY)
BUY (BUY
112911 -0.61%) 5.27
iShares MSCI Spain Index Fund ET
7 IR 11.2 (BUY)
BUY (BUY
121511 20.18%) 5.83
Ingersoll-rand Ltd Cl A
7 IYG 11.1 (BUY)
BUY (BUY
112511 22.82%) 5.59
iShares Dow Jones US Financial S
7 IWB 10.5 (BUY)
BUY (BUY
112911 9.46%)
3.01 iShares Russell 1000 Index Fund
7 SFY 10.4 (BUY)
BUY (BUY
121511 16.54%) 5.34
Swift Energy Co
7 ELON 9.4 (BUY) BUY
(BUY 112811
19.56%) 4.84 Echelon Corporation
4.2 New Signal Type 1 PAIRS (Sorted by Portfolio G/d
Value)
============================================================
The
following Table shows all pairs of Signal Type 1 equities (fully
confirmed
Voted Signals), and they are sorted in decreasing order
of 'back-tested' G/d
(Annualized Gain% divided by Maximum
Drawdown) value. The back-tested Annualized
Gain figure is shown
also, although in actual trading this level of performance
will
almost always be unattainable. Also bear in mind that the
back-tested
figures were derived by assuming that trades were
always made at the market
Open; in our situation, we assume that
the positions are exited at the
market Close -- removing the
uncertainty and risk involved with holding
equities
overnight.
This Table is being limited to Signal Type 1
PAIRS because this is our most
accurate timing signal, and this
also helps keep the length of the Table from
growing excessively
long; at times there might still be several hundred entries
in the
Table. We are currently investigating the appropriateness of
chopping
the Table off once the G/d values go below a prescribed
threshhold, e.g., 30 or
40.
Remember that properly
chosen pairs of equities will have a combined (portfolio)
drawdown
that is LESS than the drawdown of either equity alone. The G/d
value
for the portfolio (that is, both equities traded together in
equal dollar
amounts), will similarly be better than the G/d
values of the two equities
would suggest. This is because
drawdowns tend to add like electrical resistances
in parallel (1/R
= 1/R1 + 1/R2). Of course, back-tested information can only
serve
as a general guide; in any specific situation, the stock market will
do
whatever it wants to do.
Pairs selected from near
the top of the list 'might' be expected to be more
profitable,
either having potentially larger gains -- or lower than average
draw-
downs. If it is desired to trade three equities, then simply
find two high-ranked
pairs that have one equity in common; to
select four equities, simply pick two
high-ranked pairs that have
no common equity, etc.
Note that the following Table is broken
up into three subtables: (1) LONG Pairs,
(2) Hedged Pairs, and (3)
SHORT Pairs. LONG Pairs have BUY signals for both
equities,
while SHORT Pairs have SHORT signals for both equities. The
HEDGED
Pairs will have one equity shown as a BUY, while the other
one is a SHORT.
In general, we would prefer LONG Pairs if the
market is moving upward (e.g.,
QQQQ signal is a BUY), SHORT Pairs
if the market is moving downward (e.g.,
QQQQ Signal is a SHORT),
and HEDGED Pairs when the market is choppy (e.g.,
QQQQ Signal is
CASH).
*** IMPORTANT NOTE: In trading PAIRs, or more than
two of these equities, the
same rules apply about Protective
Stops; we currently set Stops for Longs with
the trigger level set
at -3.0% below the Open (purchase) price, and our Short
Stops are
similarly set at +3.0% above the Open (shorting)
price.
Back-Tested
================
Equity Pair Signals
G/d Ann.Gain
=========== ===========
====== ========
(1) === LONG Pairs: BUY/BUY ===
AAPL
/TNA BUY /BUY 67.21
973.31%
MRVL /TNA BUY /BUY
64.26 1055.95%
CTXS /TNA BUY /BUY
63.61 986.62%
BGU /TNA BUY
/BUY 55.91 946.03%
ATVI
/TNA BUY /BUY 51.60
870.61%
AAPL /CTXS BUY /BUY
51.06 572.02%
CTXS /IWM BUY
/BUY 50.58 449.01%
BGU
/MRVL BUY /BUY 50.46
610.10%
AAPL /MRVL BUY /BUY
49.95 613.64%
BGU /CTXS BUY
/BUY 49.60 568.24%
CTXS
/SPY BUY /BUY 49.52
351.67%
AAPL /IWM BUY /BUY
49.07 441.48%
CTXS /QQQQ BUY /BUY
47.84 385.92%
AAPL /BGU BUY
/BUY 46.81 558.55%
CTXS
/MDY BUY /BUY 46.79
345.73%
AAPL /MDY BUY /BUY
46.31 339.72%
CTXS /MRVL BUY /BUY
45.95 623.62%
AAPL /QQQQ BUY /BUY
45.86 379.45%
MDY /QQQQ BUY
/BUY 45.77 217.83%
QCOM
/TNA BUY /BUY 45.67
752.58%
AAPL /ATVI BUY /BUY
45.29 497.98%
IWM /TNA BUY
/BUY 45.24 765.56%
QQQQ
/TNA BUY /BUY 44.32
672.84%
MDY /TNA BUY /BUY
43.46 608.39%
BGU /IWM BUY
/BUY 42.80 436.83%
AAPL
/SPY BUY /BUY 42.42
345.29%
BGU /QQQQ BUY /BUY
41.72 376.36%
IWM /QQQQ BUY
/BUY 41.37 291.69%
IWM
/MDY BUY /BUY 40.90
258.75%
AAPL /QCOM BUY /BUY
40.21 425.25%
CTXS /QCOM BUY /BUY
39.84 431.78%
ATVI /CTXS BUY /BUY
39.48 505.47%
SPY /TNA BUY
/BUY 39.25 615.26%
IWM
/QCOM BUY /BUY 39.21
329.89%
QQQQ /SPY BUY /BUY
38.69 221.71%
GILD /TNA BUY
/BUY 38.68 673.79%
IWM
/MRVL BUY /BUY 37.90
483.90%
BGU /SPY BUY /BUY
36.27 341.42%
CTXS /GILD BUY /BUY
36.14 381.65%
MDY /SPY BUY
/BUY 35.85 194.87%
QCOM
/QQQQ BUY /BUY 35.83
280.24%
ATVI /IWM BUY /BUY
35.64 389.01%
ATVI /MRVL BUY /BUY
35.54 544.85%
ATVI /BGU BUY
/BUY 35.39 494.00%
AAPL
/GILD BUY /BUY 35.21
374.87%
ATVI /QCOM BUY /BUY
34.86 374.19%
IWM /SPY BUY
/BUY 34.84 263.26%
MDY
/QCOM BUY /BUY 34.41
248.59%
MRVL /QCOM BUY /BUY
34.22 465.44%
MRVL /QQQQ BUY /BUY
33.91 416.76%
QCOM /SPY BUY
/BUY 33.61 253.24%
BGU
/QCOM BUY /BUY 33.49
423.10%
MRVL /SPY BUY /BUY
32.58 380.51%
BGU /GILD BUY
/BUY 31.52 373.22%
MDY
/MRVL BUY /BUY 31.23
374.05%
ATVI /QQQQ BUY /BUY
30.90 332.55%
BGU /MDY BUY
/BUY 30.31 335.36%
ATVI
/MDY BUY /BUY 29.73
296.23%
GILD /MRVL BUY /BUY
28.98 412.17%
ATVI /SPY BUY
/BUY 28.76 301.66%
GILD
/IWM BUY /BUY 28.31
288.83%
GILD /QQQQ BUY /BUY
27.08 244.04%
ATVI /GILD BUY /BUY
24.69 328.07%
GILD /QCOM BUY /BUY
24.48 276.55%
GILD /MDY BUY
/BUY 23.68 215.30%
GILD
/SPY BUY /BUY 23.28
219.52%
(2) === Hedged Pairs: BUY/SHORT or SHORT/BUY ===
***
No PAIRS found in this Category
(3) === SHORT Pairs:
SHORT/SHORT ===
*** No PAIRS found in this Category
4.3 Daily Results for Trades (Committed Based on QQQQ
Signal)
==============================================================
Result
of Trade Signals generated on previous market day. Notice that
BUYs
are only initiated if the QQQQ signal had been a BUY, and
Shorts are only
initiated if the QQQQ signal had been a SHORT. No
trades are attempted if
the QQQQ signal (the Voted Signal) had
been Cash ($$$$).
*** NOTE: The following trades assume that
Protective Stops are being used to
prevent unnecessary losses. The
Stop values used are:
Long -3.00% (We sell the
equity if it drops below the Open price by more than
this value)
Short +3.00% (We cover the Short if the price
rises above the Open price by
more than this value)
If the Stop is 'hit' during the day, you
will see a Comment to that effect on
the far right side of the
trading line, and the SELL or COVER price will be
forced to the
Stop value -- and not the Close price for the day.
*** The
Stock/ETF "Picks" were generated on: 020212
***
The QQQQ Voted Signal was calculated as: BUY
*** "Day"
Trades (Open-->Close) were made on: 020312
Type 1: Voted
Signal (confirmed: Grail/Preproc)
Type 2: Voted Signal (confirmed:
Grail System only)
Type 3: Voted Signal (confirmed: Preprocessor
only)
Type 4: Voted Signal (unconfirmed)
Type 5: Preprocessor
"New Pick" (confirmed: Grail)
Type 6: Preprocessor "New
Pick" (unconfirmed)
Type 7: Grail System Signal (confirmed:
Preproc)
Type: 1 TRADE: QQQQ
BUY GAIN: 0.44% BUY
@ 61.78 SELL @ 62.05
Type: 1 TRADE:
VRSN BUY GAIN:
-0.22% BUY @ 37.12 SELL @
37.04
Type: 1 TRADE: CTXS BUY
GAIN: 1.15% BUY @ 68.00
SELL @ 68.78
Type: 1 TRADE: IWM
BUY GAIN: 0.58% BUY
@ 82.47 SELL @ 82.95
Type: 1 TRADE:
MRVL BUY GAIN:
-0.66% BUY @ 16.75 SELL @
16.64
Type: 1 TRADE: QCOM BUY
GAIN: 0.11% BUY @ 60.99
SELL @ 61.06
Type: 1 TRADE: TNA
BUY GAIN: 1.76% BUY
@ 62.04 SELL @ 63.13
Type: 2
TRADE: RIMM BUY GAIN:
-0.18% BUY @ 16.91 SELL @
16.88
Type: 2 TRADE: IYW BUY
GAIN: 0.45% BUY @ 70.75
SELL @ 71.07
Type: 2 TRADE: WFC
BUY GAIN: 0.62% BUY
@ 30.44 SELL @ 30.63
Type: 2 TRADE:
UYG BUY GAIN:
1.53% BUY @ 54.73 SELL @
55.57
Type: 2 TRADE: VRTX BUY
GAIN: -3.00% BUY @ 37.52
SELL @ 36.39 Protective Stop at:
36.39
Type: 2 TRADE: SBUX BUY
GAIN: 0.79% BUY @ 47.94
SELL @ 48.32
Type: 2 TRADE: IBB
BUY GAIN: -0.15% BUY
@ 120.82 SELL @ 120.64
Type: 2 TRADE: MAT
BUY GAIN: 1.19% BUY
@ 31.16 SELL @ 31.53
Type: 2 TRADE:
SMH BUY GAIN:
0.55% BUY @ 34.43 SELL @
34.62
Type: 2 TRADE: CAT BUY
GAIN: 1.58% BUY @ 112.17
SELL @ 113.94
Type: 2 TRADE: INFY
BUY GAIN: 0.25% BUY
@ 56.95 SELL @ 57.09
Type: 2 TRADE:
DISH BUY GAIN:
1.01% BUY @ 28.62 SELL @
28.91
Type: 2 TRADE: RF BUY
GAIN: 1.62% BUY @
5.55 SELL @ 5.64
Type: 2 TRADE:
IACI BUY GAIN:
-1.46% BUY @ 46.48 SELL @
45.80
Type: 2 TRADE: IWZ BUY
GAIN: 0.49% BUY @ 51.12
SELL @ 51.37
Type: 2 TRADE: CSCO
BUY GAIN: 0.65% BUY
@ 19.96 SELL @ 20.09
Type: 2 TRADE:
IYY BUY GAIN:
0.34% BUY @ 67.58 SELL @
67.81
Type: 2 TRADE: MNST BUY
GAIN: -0.80% BUY @ 106.56 SELL
@ 105.71
Type: 2 TRADE: VTI BUY
GAIN: 0.45% BUY @ 69.17
SELL @ 69.48
Type: 2 TRADE: IYJ
BUY GAIN: 0.51% BUY
@ 70.14 SELL @ 70.50
Type: 2 TRADE:
XLE BUY GAIN:
0.46% BUY @ 72.44 SELL @
72.77
Type: 2 TRADE: CELG BUY
GAIN: -1.33% BUY @ 74.20
SELL @ 73.21
Type: 2 TRADE: IWV
BUY GAIN: 0.49% BUY
@ 79.73 SELL @ 80.12
Type: 2 TRADE:
BIIB BUY GAIN:
-0.29% BUY @ 122.24 SELL @ 121.88
Type:
2 TRADE: IYZ BUY
GAIN: 0.14% BUY @ 21.95
SELL @ 21.98
Type: 2 TRADE: BBBY
BUY GAIN: 1.25% BUY
@ 62.37 SELL @ 63.15
Type: 2 TRADE:
CVX BUY GAIN:
0.56% BUY @ 104.91 SELL @ 105.50
Type:
2 TRADE: ESRX BUY GAIN:
-0.08% BUY @ 52.12 SELL @
52.08
Type: 2 TRADE: CHKP BUY
GAIN: 1.04% BUY @ 58.50
SELL @ 59.11
Type: 2 TRADE: ERX
BUY GAIN: 1.80% BUY
@ 51.75 SELL @ 52.68
Type: 2 TRADE:
PFE BUY GAIN:
0.05% BUY @ 21.19 SELL @
21.20
Type: 3 TRADE: NVDA BUY
GAIN: 0.76% BUY @ 15.70
SELL @ 15.82
Type: 3 TRADE: YHOO
BUY GAIN: -0.25% BUY
@ 15.96 SELL @ 15.92
Type: 3 TRADE:
NTAP BUY GAIN:
1.51% BUY @ 39.75 SELL @
40.35
Type: 3 TRADE: XLK BUY
GAIN: 0.40% BUY @ 27.61
SELL @ 27.72
Type: 3 TRADE: LRCX
BUY GAIN: -0.99% BUY
@ 44.63 SELL @ 44.19
Type: 3 TRADE:
SPY BUY GAIN:
0.40% BUY @ 134.00 SELL @ 134.54
Type:
3 TRADE: BRCM BUY GAIN:
0.78% BUY @ 37.38 SELL @
37.67
Type: 3 TRADE: MDY BUY
GAIN: 0.30% BUY @ 176.10
SELL @ 176.63
Type: 3 TRADE: DIA
BUY GAIN: 0.23% BUY
@ 128.07 SELL @ 128.37
Type: 3 TRADE: EBAY
BUY GAIN: -0.15% BUY
@ 33.00 SELL @ 32.95
Type: 3 TRADE:
MCHP BUY GAIN:
0.37% BUY @ 38.28 SELL @
38.42
Type: 3 TRADE: LIFE BUY
GAIN: -0.32% BUY @ 49.73
SELL @ 49.57
Type: 3 TRADE: DELL
BUY GAIN: -0.79% BUY
@ 17.80 SELL @ 17.66
Type: 3 TRADE:
CA BUY GAIN:
-0.26% BUY @ 26.60 SELL @
26.53
Type: 3 TRADE: DIS BUY
GAIN: 1.45% BUY @ 39.43
SELL @ 40.00
Type: 3 TRADE: GILD
BUY GAIN: 2.40% BUY
@ 53.41 SELL @ 54.69
Type: 3 TRADE:
SRCL BUY GAIN:
0.81% BUY @ 86.20 SELL @
86.90
Type: 3 TRADE: PAYX BUY
GAIN: -0.37% BUY @ 32.07
SELL @ 31.95
Type: 3 TRADE: CERN
BUY GAIN: 1.41% BUY
@ 62.21 SELL @ 63.09
Type: 3 TRADE:
BGU BUY GAIN:
1.23% BUY @ 74.58 SELL @
75.50
Type: 4 TRADE: JNPR BUY
GAIN: 2.78% BUY @ 21.94
SELL @ 22.55
Type: 4 TRADE: JOY
BUY GAIN: 3.25% BUY
@ 92.70 SELL @ 95.71
Type: 4 TRADE:
AA BUY GAIN:
1.70% BUY @ 10.58 SELL @
10.76
Type: 4 TRADE: XLF BUY
GAIN: 0.96% BUY @ 14.59
SELL @ 14.73
Type: 4 TRADE: IXN
BUY GAIN: 0.39% BUY
@ 64.15 SELL @ 64.40
Type: 4 TRADE:
AMAT BUY GAIN:
-0.16% BUY @ 12.81 SELL @
12.79
Type: 4 TRADE: GRMN BUY
GAIN: 0.46% BUY @ 43.90
SELL @ 44.10
Type: 4 TRADE: ISRG
BUY GAIN: 1.16% BUY
@ 486.35 SELL @ 492.01
Type: 4 TRADE: APOL
BUY GAIN: -0.81% BUY
@ 52.84 SELL @ 52.41
Type: 4 TRADE:
GE BUY GAIN:
0.11% BUY @ 19.00 SELL @
19.02
Type: 4 TRADE: ADBE BUY
GAIN: 0.47% BUY @ 31.70
SELL @ 31.85
Type: 4 TRADE: COST
BUY GAIN: -0.76% BUY
@ 86.01 SELL @ 85.36
Type: 4 TRADE:
DD BUY GAIN:
0.02% BUY @ 52.00 SELL @
52.01
Type: 4 TRADE: IWW BUY
GAIN: 0.46% BUY @ 88.57
SELL @ 88.98
Type: 4 TRADE: ORCL
BUY GAIN: -0.07% BUY
@ 29.13 SELL @ 29.11
Type: 4 TRADE:
T BUY GAIN:
-0.07% BUY @ 29.97 SELL @
29.95
Type: 4 TRADE: INTU BUY
GAIN: 0.38% BUY @ 58.25
SELL @ 58.47
Type: 4 TRADE: BAC
BUY GAIN: 2.35% BUY
@ 7.66 SELL @ 7.84
Type: 4
TRADE: AMGN BUY GAIN:
-0.47% BUY @ 69.61 SELL @
69.28
Type: 4 TRADE: AXP BUY
GAIN: 0.77% BUY @ 51.85
SELL @ 52.25
Type: 4 TRADE: ADP
BUY GAIN: 0.20% BUY
@ 55.40 SELL @ 55.51
Type: 4 TRADE:
SIAL BUY GAIN:
0.78% BUY @ 70.22 SELL @
70.77
Type: 4 TRADE: MSFT BUY
GAIN: 0.43% BUY @ 30.11
SELL @ 30.24
Type: 4 TRADE: HD
BUY GAIN: 0.78% BUY
@ 44.82 SELL @ 45.17
Type: 4 TRADE:
LOGI BUY GAIN:
1.84% BUY @ 8.16 SELL @
8.31
Type: 4 TRADE: NWSA BUY
GAIN: 0.42% BUY @ 19.20
SELL @ 19.28
Type: 4 TRADE: XLNX
BUY GAIN: 0.96% BUY
@ 36.57 SELL @ 36.92
Type: 4 TRADE:
SPLS BUY GAIN:
0.82% BUY @ 14.65 SELL @
14.77
Type: 4 TRADE: KFT BUY
GAIN: 0.18% BUY @ 38.81
SELL @ 38.88
Type: 4 TRADE: ORLY
BUY GAIN: 0.49% BUY
@ 82.43 SELL @ 82.83
Type: 4 TRADE:
XRAY BUY GAIN:
-0.29% BUY @ 38.35 SELL @
38.24
Type: 4 TRADE: MRK BUY
GAIN: -0.34% BUY @ 38.50
SELL @ 38.37
Type: 4 TRADE: MMM
BUY GAIN: -0.40% BUY
@ 88.08 SELL @ 87.73
Type: 4 TRADE:
HSIC BUY GAIN:
-0.44% BUY @ 73.48 SELL @
73.16
Type: 4 TRADE: PG BUY
GAIN: -0.93% BUY @ 63.36
SELL @ 62.77
Type: 5 TRADE: CLF
BUY GAIN: 0.15% BUY
@ 75.01 SELL @ 75.12
Type: 5 TRADE:
OTEX BUY GAIN:
-0.16% BUY @ 60.91 SELL @
60.81
Type: 6 TRADE: MDCO BUY
GAIN: 0.05% BUY @ 21.89
SELL @ 21.90
Type: 6 TRADE: BBY
BUY GAIN: -3.00% BUY
@ 24.55 SELL @ 23.81 Protective Stop
at: 23.81
Type: 6 TRADE: DDS
BUY GAIN: 4.62% BUY
@ 45.85 SELL @ 47.97
Type: 6 TRADE:
URBN BUY GAIN:
0.00% BUY @ 27.68 SELL @
27.68
Type: 6 TRADE: BIOS BUY
GAIN: -3.00% BUY @ 6.80
SELL @ 6.60 Protective Stop at:
6.60
Type: 6 TRADE: RDEN BUY
GAIN: -3.00% BUY @ 38.70
SELL @ 37.54 Protective Stop at:
37.54
Type: 7 TRADE: INFA BUY
GAIN: 2.38% BUY @ 44.59
SELL @ 45.65
Type: 7 TRADE: IWP
BUY GAIN: 0.30% BUY
@ 60.84 SELL @ 61.02
Type: 7 TRADE:
CNX BUY GAIN:
-1.23% BUY @ 38.14 SELL @
37.67
Type: 7 TRADE: IVW BUY
GAIN: 0.24% BUY @ 71.48
SELL @ 71.65
Type: 7 TRADE: IWS
BUY GAIN: 0.28% BUY
@ 46.82 SELL @ 46.95
Type: 7 TRADE:
TIBX BUY GAIN:
1.78% BUY @ 27.50 SELL @
27.99
Type: 7 TRADE: ING BUY
GAIN: 1.13% BUY @
9.73 SELL @ 9.84
Type: 7 TRADE:
THO BUY GAIN:
1.71% BUY @ 31.67 SELL @
32.21
Type: 7 TRADE: PGI BUY
GAIN: -0.63% BUY @ 9.55
SELL @ 9.49
Type: 7 TRADE: TROW
BUY GAIN: 1.72% BUY
@ 58.30 SELL @ 59.30
Type: 7 TRADE:
IEV BUY GAIN:
1.31% BUY @ 36.61 SELL @
37.09
Type: 7 TRADE: OVTI BUY
GAIN: 1.35% BUY @ 15.56
SELL @ 15.77
Type: 7 TRADE: WAT
BUY GAIN: -0.13% BUY
@ 89.61 SELL @ 89.49
Type: 7 TRADE:
EP BUY GAIN:
0.04% BUY @ 27.04 SELL @
27.05
Type: 7 TRADE: M
BUY GAIN: 1.40% BUY
@ 35.62 SELL @ 36.12
Type: 7 TRADE:
HSC BUY GAIN:
3.57% BUY @ 23.00 SELL @
23.82
Type: 7 TRADE: GT BUY
GAIN: 2.74% BUY @ 13.49
SELL @ 13.86
Type: 7 TRADE: SKX
BUY GAIN: 3.15% BUY
@ 12.68 SELL @ 13.08
Type: 7 TRADE:
HLIT BUY GAIN:
0.16% BUY @ 6.38 SELL @
6.39
Type: 7 TRADE: MEOH BUY
GAIN: 1.64% BUY @ 28.59
SELL @ 29.06
Type: 7 TRADE: ELP
BUY GAIN: -1.24% BUY
@ 23.40 SELL @ 23.11
Type: 7 TRADE:
CDNS BUY GAIN:
-0.09% BUY @ 11.74 SELL @
11.73
Type: 7 TRADE: XLI BUY
GAIN: 0.59% BUY @ 37.04
SELL @ 37.26
Type: 7 TRADE: CSGP
BUY GAIN: 1.93% BUY
@ 58.10 SELL @ 59.22
Type: 7 TRADE:
NOV BUY GAIN:
4.34% BUY @ 78.72 SELL @
82.14
Type: 7 TRADE: BTU BUY
GAIN: 0.03% BUY @ 37.98
SELL @ 37.99
Type: 7 TRADE: SPYG
BUY GAIN: 0.39% BUY
@ 61.74 SELL @ 61.98
Type: 7 TRADE:
MKSI BUY GAIN:
-0.83% BUY @ 32.44 SELL @
32.17
Type: 7 TRADE: MOGA BUY
GAIN: -0.07% BUY @ 45.00
SELL @ 44.97
Type: 7 TRADE: RHI
BUY GAIN: 2.99% BUY
@ 28.74 SELL @ 29.60
Type: 7 TRADE:
AON BUY GAIN:
1.95% BUY @ 47.14 SELL @
48.06
Type: 7 TRADE: FDS BUY
GAIN: 0.41% BUY @ 90.67
SELL @ 91.04
Type: 7 TRADE: GPS
BUY GAIN: 1.07% BUY
@ 21.48 SELL @ 21.71
Type: 7 TRADE:
AMCC BUY GAIN:
-1.42% BUY @ 7.75 SELL @
7.64
Type: 7 TRADE: WHR BUY
GAIN: 5.52% BUY @ 65.07
SELL @ 68.66
Type: 7 TRADE: RBC
BUY GAIN: 1.45% BUY
@ 60.75 SELL @ 61.63
Type: 7 TRADE:
EWC BUY GAIN:
0.17% BUY @ 28.73 SELL @
28.78
Type: 7 TRADE: VCLK BUY
GAIN: 0.60% BUY @ 18.31
SELL @ 18.42
Type: 7 TRADE: PAAS
BUY GAIN: 0.92% BUY
@ 23.80 SELL @ 24.02
Type: 7 TRADE:
GCO BUY GAIN:
-0.25% BUY @ 62.77 SELL @
62.61
Type: 7 TRADE: UBS BUY
GAIN: 0.89% BUY @ 14.54
SELL @ 14.67
Type: 7 TRADE: CBT
BUY GAIN: 0.58% BUY
@ 41.70 SELL @ 41.94
Type: 7 TRADE:
BPFH BUY GAIN:
2.27% BUY @ 8.82 SELL @
9.02
Type: 7 TRADE: IYR BUY
GAIN: 0.49% BUY @ 61.72
SELL @ 62.02
Type: 7 TRADE: XLP
BUY GAIN: 0.00% BUY
@ 32.48 SELL @ 32.48
Type: 7 TRADE:
IR BUY GAIN:
2.18% BUY @ 36.72 SELL @
37.52
Type: 7 TRADE: IYG BUY
GAIN: 1.31% BUY @ 51.32
SELL @ 51.99
Type: 7 TRADE: IWB
BUY GAIN: 0.50% BUY
@ 74.40 SELL @ 74.77
Type: 7 TRADE:
SFY BUY GAIN:
0.24% BUY @ 33.03 SELL @
33.11
Type: 7 TRADE: WDR BUY
GAIN: 2.46% BUY @ 28.90
SELL @ 29.61
Type: 7 TRADE: ELON
BUY GAIN: 1.02% BUY
@ 5.87 SELL @ 5.93
Type: 7
TRADE: RDC BUY GAIN:
-2.48% BUY @ 37.54 SELL @
36.61
Avg. Gain (All):
0.57% #equities: 153
Avg. Gain (#
1):
0.45% #equities: 7
Avg. Gain (#
2):
0.34% #equities: 31
Avg. Gain (#
3):
0.45% #equities: 20
Avg. Gain (#
4):
0.50% #equities: 35
Avg. Gain (#
5):
0.00% #equities: 2
Avg. Gain (#
6):
-0.72% #equities: 6
Avg. Gain (#
7):
0.98% #equities: 52
4.4 Daily Results for Signal Type 1 PAIRS Trades
=================================================
The
following Table shows the actual gain/loss for each of the Trading
Pairs
that had been previously identified for the current day.
When using Trading
Pairs, however, we 'always' make the trade,
whether Long or Short, regardless
of what the QQQQ signal might
have been. The reason for this is that Pairs
Trading 'should' be
safer than trading individual equities, and additionally
we are
interested in tracking the accuracy of Shorts and hedged trading
pairs
(one Long and one Short), and these would not normally be
tracked if we were
keying off the QQQQ signal (or some other
Master Trading Switch).
The current statistics assume,
however, that each Long trade is protected by
a Stop set -3% below
the Open price, and that all Short trades are protected
by a Stop
set +3% above the Open price.
In our current implementation,
all Trading Pairs are constructed ONLY from
our Type 1 Signals
(fully confirmed Voted Signals), and this is already
sufficient to
produce a long list of candidate pairs.
The following Table is
broken up into 3 subtables according to whether the
Trading Pair
is a Long-only (BUY/BUY), Short-only (SHORT/SHORT), or Hedged
trade
(BUY/SHORT or SHORT/BUY). An additional assumption is made that
equal
dollar amounts are allocated to each equity so that their
individual gains
and losses can be simply averaged. A future
extension of this Pairs Trading
system will be to calculate more
optimal equity ratios for each
pair.
Actual Day's Performance Data
==============================
Pair
Individual
Equity Pair Signals
G/d Gain/Loss
Gains/Losses
=========== =========== ======
========= ==============
(1)
=== LONG Pairs: BUY/BUY ===
TNA /VRSN BUY
/BUY 75.91
0.77% 1.76%
-0.22%
MRVL /TNA BUY /BUY
64.26 0.55%
-0.66% 1.76%
CTXS /TNA BUY /BUY
63.61 1.45%
1.15% 1.76%
IWM /VRSN BUY /BUY
57.69 0.18%
0.58% -0.22%
QCOM /VRSN BUY /BUY
52.45 -0.05%
0.11% -0.22%
CTXS /IWM BUY /BUY
50.58 0.87%
1.15% 0.58%
CTXS /VRSN BUY /BUY
50.54 0.46%
1.15% -0.22%
QQQQ /VRSN BUY /BUY
48.75 0.11%
0.44% -0.22%
CTXS /QQQQ BUY /BUY
47.84 0.79%
1.15% 0.44%
CTXS /MRVL BUY /BUY
45.95 0.24%
1.15% -0.66%
QCOM /TNA BUY /BUY
45.67 0.94%
0.11% 1.76%
IWM /TNA BUY /BUY
45.24 1.17%
0.58% 1.76%
QQQQ /TNA BUY /BUY
44.32 1.10%
0.44% 1.76%
IWM /QQQQ BUY /BUY
41.37 0.51%
0.58% 0.44%
MRVL /VRSN BUY /BUY
40.86 -0.44%
-0.66% -0.22%
CTXS /QCOM BUY /BUY
39.84 0.63%
1.15% 0.11%
IWM /QCOM BUY /BUY
39.21 0.34%
0.58% 0.11%
IWM /MRVL BUY /BUY
37.90 -0.04%
0.58% -0.66%
QCOM /QQQQ BUY /BUY
35.83 0.28%
0.11% 0.44%
MRVL /QCOM BUY /BUY
34.22 -0.28%
-0.66% 0.11%
MRVL /QQQQ BUY /BUY
33.91 -0.11%
-0.66% 0.44%
(2) === Hedged Pairs: BUY/SHORT or
SHORT/BUY ===
*** No PAIRS found in this Category
(3) ===
SHORT Pairs: SHORT/SHORT ===
*** No PAIRS found in this
Category
4.5 Global Statistics for All Trades Grouped by Signal
Types
=============================================================
H I S T O R I C A L T R A C K I N G D A T
A
(since 7/17/09)
The following Report presents performance
summaries based upon our published
history of stock/ETF daily
'picks', and separate data lines are shown for each
of the 7 types
of signals that we are currently tracking. This information
is
being used to determine: (1) which of the 7 signal types produce the
highest
G/d ratio (annualized gain divided by maximum drawdown),
(2) whether SHORT
trades are equally as profitable as Long trades,
and (3) whether the current
strategy of trading ONLY when the QQQQ
Voted Signal is a BUY or a SHORT is an
effective strategy or not.
In considering #3, it might be more profitable to
trade based upon
MTI value, MSI (Market Strength Indicator) values, our
Generalized
Japanese Candlestick neural networks, or something
else...
KEY:
====
Note 1: The 'Avg. Gain per trade'
takes into account ONLY those market days
when we actually make
trades, i.e., when the QQQQ Voted Signal is a BUY or a
SHORT.
These figures combine both the Long and Short trades, and separate
values
for BUY and SHORT trades are shown in the adjacent two
columns.
Note 2: The 'Avg. Gain per BUY' only looks at days
when BUYs are made, and it
averages the net gain or loss made for
all BUY trades on those days, and these
figures are maintained by
Signal 'Type'. The idea is to compare the 'Avg. Gain
per BUY'
value with the 'Avg. Gain per SHORT' value to see how well our
BUY
profits compare to our Shorting profits -- for each of our 7
signal Types.
Corresponding to the 'Avg. Gain per BUY' is the
'Avg. Accuracy per BUY'. This
shows the percentage of BUY signals
for that 'type' that produced winning
trades for the day.
Note
3: The 'Avg. Gain per SHORT' only looks at days when SHORTs are made,
and
it averages the net gain or loss made for all SHORT trades on
those days, and
these figures are maintained by Signal 'Type'.
Corresponding to the 'Avg. Gain
per SHORT' is the 'Avg. Accuracy
per SHORT'. This shows the percentage of SHORT
signals for that
'type' that produced winning trades for the day.
Note 4: The
'Total Gain' counts ALL market days, even those on which no
trades
were made (QQQQ Voted Signal = Cash). Since we base all
statistics upon buying
(or shorting) at the Open, and Selling (or
Covering) at the Close price, we
are always in cash on the 'off
days'. This gain is compounded, and is thus not
equal to the 'Avg.
Gain per trade' multiplied by the '# of days trades were
made'.
Although these values don't account for commissions or slippage,
they
represent the Actual percentage gains that might be
realistically made if ALL
signals for the given TYPE were
traded.
Note 5: The 'Annualized Gain' takes the 'Total Gain'
values and annualizes
them to a full trading year. Since 'Total
Gain' is maintained for all market
days -- even those days when we
make no trades at all -- it is easy to
annualize.
Average Gain per Trade/BUY/SHORT
Trading Portfolio Performance
=======================================================
===================================
Signal Avg. Gain
Avg. Gain Avg. Acc. Avg. Gain Avg.
Acc. Total
Annualized Maximum
Type per
trade per BUY per BUY
per SHORT per SHORT
Gain Gain
Drawdown
===== ========= =========
========== ========= ==========
======== ========== =========
All
0.04% 0.07%
52.53% -0.05%
45.14% 21.31%
7.88% -13.63%
# 1
0.04% 0.06%
54.14% -0.04%
46.09% 20.42%
7.57% -16.11%
# 2
-0.01% 0.02%
52.93% -0.10%
43.66% -9.31%
-3.77% -24.72%
# 3
0.05% 0.05%
51.01% 0.06%
45.79% 29.89%
10.81% -12.47%
# 4
0.03% 0.07%
52.42% -0.09%
35.85% 17.30%
6.46% -12.46%
# 5
0.03% 0.05%
50.88% -0.02%
33.33% 13.64%
5.15% -26.89%
# 6
0.01% 0.00%
48.54% 0.04%
27.27% 0.15%
0.06% -31.12%
# 7
0.05% 0.07%
53.07% 0.00%
0.00% 30.14%
10.89% -15.35%
# of market days:
642; # of days trades were made: 572
4.6 Global Statistics for All Pairs Trades Grouped by G/d
Range
=================================================================
The
purpose of this subreport is to track the actual performance of all
of
the Trading Pairs generated since tracking was initiated on
7/17/09. The
Pairs are grouped into 3 categories: LONG-only Pairs
(BUY/BUY), SHORT-only
Pairs (SHORT/SHORT), and Hedged Pairs
(BUY/SHORT or SHORT/BUY). Within each
Pair category, there are 5
breakdowns determined by the back-tested G/d values
associated
with each Pair (G/d = Annualized Gain divided by Maximum
Drawdown):
Top Pair Only
Only the top (largest G/d) pair is traded each day.
All G/d Pairs All pairs
within that category are traded each day
G/d >=
60.0 Only pairs
having G/d values of 60.0 or greater are
traded each day.
60.0 > G/d >= 40.0
Only pairs having G/d values between 40.0 and 60.0
are
traded each day.
40.0 > G/d >= 20.0
Only pairs having G/d values between 20.0 and 40.0
are
traded each day.
Within each of the 5 G/d breakdowns within
each of the three Trading Pair
categories, the number of
historical trades is shown that were averaged
together.
Note
that all trades were made with Protective Stops set at -3.0% for
Longs
(Open price - 3.0%), and at +3.0% for Shorts (Open price +
3.0%).
At the present time our focus is on gathering data, and
on learning which
types of Pairs Trades -- and which G/d value
ranges -- produce the best
returns. We will eventually add the
usual tracking parameters to this Table:
(a) total compounded
gain, (b) annualized gain, and (c) maximum
drawdown.
Avg.Gain # trades
G/d Range
per trade averaged
================== =========
========
(1) === LONG Pairs: BUY/BUY ===
Top Pair Only
0.34% 358
All G/d
Pairs 0.43%
33583
G/d >= 60.0
0.21% 846
60.0 > G/d >=
40.0 0.40%
9069
40.0 > G/d >= 20.0 0.45%
23210
(2) === Hedged Pairs: BUY/SHORT or SHORT/BUY ===
Top
Pair Only
0.00% 258
All G/d
Pairs
0.01% 6268
G/d >= 60.0
0.00% 229
60.0 > G/d >=
40.0 0.00%
1685
40.0 > G/d >= 20.0 0.01%
4162
(3) === SHORT Pairs: SHORT/SHORT ===
Top Pair
Only -0.25%
373
All G/d Pairs
-0.26% 97088
G/d >= 60.0
-0.29% 3426
60.0 > G/d >=
40.0 -0.28% 22358
40.0 >
G/d >= 20.0 -0.26%
63462
===============
END OF REPORT
4
===============
============ Forecast Reports
============
Report 1: Differential
Signals
Report 2: Pairs Trading
Report
3: Voted Signals
Report 4: Day Trades
Report
5: Prediction Table
Report 6: Primary
Indicators
Report A: Major
Strategies
==========================================
================================================================================
FORECAST Report 5: Intra-Day Tactics Using MOS/MCS (as of the
Close on 2/04/12)
================================================================================
The following two Tables have been extracted from the Report
predtabl.htm, and
they share the common theme of using
"signatures", plus the current MTI value,
in an attempt
to predict how 3 key ETFs will Close based upon the morning's
Open
price, or will Open tomorrow based upon today's Close price.
The
"signatures" are based upon the changes in the prices of
QQQQ, SMH, and
DIA, and in that specific order. The MOS (Market
Open Signature) depicts how
QQQQ, SMH, and SPY 'opened' in
comparison to the previous day's Close, and
the MCS (Market Close
Signature) depicts how QQQQ, SMH, and SPY 'closed' in
comparison
to the current day's Open. In Table I-A we use the MOS (which
must
be determined at the market Open) to try to forecast what
might be expected
to happen at the Close, and in Table I-B we
look at the MCS (which we project
for the market Close) to try to
forecast what might be expected to happen at
the next market
Open.
The use of these Tables is still experimental, but the
next logical step is
to use the probabilities to help decide
whether to commit to a short-term
trade during the current day,
or to keep a trade overnight.
Table I-A (extracted from predtabl.htm)
=======================================
Probabilities that
QQQQ, SMH, and SPY will close higher based upon the MOS
(Market
Open Signature) value. The idea is to use historical values of
the
MTI and MOS to determine the most likely outcome for QQQQ,
SMH, and SPY
Closing prices.
MOS = (xyz) where x = '+' if
QQQQ Opens higher than previous Close, otherwise '-'
y = '+' if SMH Opens higher than previous Close, otherwise '-'
z = '+' if SPY Opens higher than previous Close, otherwise '-'
Key:
====
CL>OP% Probability
that the ETF will Close higher than its Open price
CL>CL%
Probability that the ETF will Close higher than the Preceding Close
price
MTI (MOS) #cases
ETF CL>OP% CL>CL%
-------------------------------------------
1.35
(+++) 285 QQQQ
54.04% 71.58%
SMH 51.58% 67.02%
SPY 50.53% 73.68%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(++-) 41 QQQQ
68.29% 75.61%
SMH 60.98% 73.17%
SPY 75.61% 60.98%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(+-+) 50 QQQQ
50.00% 60.00%
SMH 52.00% 50.00%
SPY 48.00% 68.00%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(+--) 25 QQQQ
52.00% 64.00%
SMH 44.00% 36.00%
SPY 60.00% 44.00%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(-++) 15 QQQQ
80.00% 66.67%
SMH 66.67% 66.67%
SPY 73.33% 73.33%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(-+-) 42 QQQQ
61.90% 52.38%
SMH 45.24% 52.38%
SPY 64.29% 52.38%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(--+) 28 QQQQ
57.14% 57.14%
SMH 60.71% 53.57%
SPY 53.57% 57.14%
MTI
(MOS) #cases ETF CL>OP%
CL>CL%
-------------------------------------------
1.35
(---) 250 QQQQ
58.00% 40.00%
SMH 53.60% 32.40%
SPY 59.60% 40.00%
Table I-B (extracted from predtabl.htm)
=======================================
Probabilities that
QQQQ, SMH, and SPY will Open higher on the following trading
day
based upon the MCS (Market Close Signature) value at today's Close --
and
at the current MTI (Market Timing Indicator) value.
MCS
= (xyz) where x = '+' if QQQQ Closes higher than today's Open,
otherwise '-'
y = '+' if SMH Closes higher than today's Open, otherwise '-'
z = '+' if SPY Closes higher than today's Open, otherwise '-'
Key:
====
OP>CL% Probability
that the ETF will Open higher than today's Close price.
There
are two probabilities given that depend upon whether today's Close
was
higher than today's Open (case 1), or today's Close was lower
than today's
Open (case 2).
1:ETF Close > Open 2:ETF Close < Open
MTI
(MCS) ETF (#cases OP%>CL%)
(#cases OP%>CL%)
---------------------------------------------------------
1.35
(+++) QQQQ 257
50.19% 36
52.78%
SMH 261 46.36%
32 53.12%
SPY 250 44.80%
43 55.81%
1.35 (++-) QQQQ
30 66.67%
8 62.50%
SMH 31
54.84% 7
57.14%
SPY 16
56.25% 22
63.64%
1.35 (+-+) QQQQ
57 42.11%
11 36.36%
SMH 19
42.11% 49
55.10%
SPY 55
45.45% 13
69.23%
1.35 (+--) QQQQ
23 56.52%
6 66.67%
SMH 6
50.00% 23
56.52%
SPY 11
63.64% 18
55.56%
1.35 (-++) QQQQ
9 66.67%
12 58.33%
SMH 18
50.00% 3
0.00%
SPY 16
62.50% 5
40.00%
1.35 (-+-) QQQQ
4 25.00%
26 42.31%
SMH 20
55.00% 10
30.00%
SPY 3
0.00% 27
48.15%
1.35 (--+) QQQQ
9 55.56%
37 51.35%
SMH 6
50.00% 40
60.00%
SPY 30
40.00% 16
56.25%
1.35 (---) QQQQ
29 55.17%
181 62.98%
SMH 27
51.85% 183
58.47%
SPY 34
58.82% 176
62.50%
===============
END OF REPORT 5
===============
============ Forecast Reports ============
Report
1: Differential Signals
Report 2: Pairs
Trading
Report 3: Voted Signals
Report
4: Day Trades
Report 5: Prediction
Table
Report 6: Primary Indicators
Report
A: Major Strategies
==========================================
===============================================================================
FORECAST Report 6: Primary Indicators and Signals (as of the Close on 02/03/12)
===============================================================================
The following Table shows all of our PRIMARY indicators, drawn from all
components of our System.
++/--/?? symbols are used to indicate whether the indicator (or CHANGE in the
indicator) is favorable for Longs (++), unfavorable for Longs (--), or
ambiguous (??). We utilize this Table to help us gauge the overall condition
of the market, and as a checklist to ensure that we don't overlook any
pertinent factor.
Indicator 02/03/12 02/02/12
-----------------------------------------------------
?? MutFnd MFTI: hold <-- hold
++ MutFnd Score: 8.21 <-- 7.82
++ GrailSys Buy%: 58.86% <-- 50.25%
++ 80+%Club Buy%: 48.48% <-- 48.39%
++ MTI (MktTim): 1.3500 <-- 1.2500
?? MktColorCode: ORANGE <-- RED
++ LSI/SSI: 6.88/ 0.24 <-- 6.21/ 0.76
++? TSI ("techs"): 28.6 <-- 28.0
++ Preproc. TOT: 294 <-- 296
++ Preproc. #L: 11 <-- 10
++ Preproc. #S: 0 <-- 0
++ #LongRawSigs: 5 <-- 4
++ NN1 (1-day): 5.66% <-- 0.71%
++ NN3 (3-day): -2.13% <-- -3.42%
-- NN8 (8-day): 1.75% <-- 3.38%
?? CNNI (avg.): 3.20% <-- 3.39%
-- QQQQ 5-day: ----- <-- -----
-- Prudent A.V.: ( 0, 0,100)% <-- ( 0, 0,100)%
++ AllocVec #0: ( 31, 0, 69)% <-- ( 28, 0, 72)%
++ AllocVec #1: ( 40, 60, 0)% <-- ( 35, 65, 0)%
++ AllocVec #2: ( 39, 61, 0)% <-- ( 32, 68, 0)%
++ Recommended: 0-31% LONG <-- 0-28% LONG
++ Preproc. L/1: 1 <-- 1
++ MRI Indicator: 0.05 <-- 0.10
++ PredTablSigs: ****/SS <-- */S
-- PredTablQQQQ: DN <-- DN
-- PredTablSMH: DN <-- DN
?? PredTablSPY: ?? <-- UP
-- PredTablDIA: DN <-- DN
++ VotedClA QQQQ: BUY <-- BUY
++ VotedClA SPY: BUY <-- BUY
++ VotedClA DIA: BUY <-- BUY
++ VotedClA IWM: BUY <-- BUY
++ VotedClA MDY: BUY <-- BUY
++ VotedClA SMH: BUY <-- BUY
++ VotedClA XLK: BUY <-- BUY
++ VotedClA IYW: BUY <-- BUY
++ VotedClA IXN: BUY <-- BUY
++ VotedClA IYY: BUY <-- BUY
++ VotedClA IYZ: BUY <-- BUY
++ VotedClA IWZ: BUY <-- BUY
++ VotedClA IWW: BUY <-- BUY
++ VotedClA IBB: BUY <-- BUY
++ VotedClA IYJ: BUY <-- BUY
++ VotedClB QQQQ: BUY <-- BUY
++ VotedClB SPY: BUY <-- BUY
++ VotedClB DIA: BUY <-- BUY
++ VotedClB IWM: BUY <-- BUY
++ VotedClB MDY: BUY <-- BUY
++ VotedClB SMH: BUY <-- BUY
++ VotedClB XLK: BUY <-- BUY
++ VotedClB IYW: BUY <-- BUY
++ VotedClB IXN: BUY <-- BUY
++ VotedClB IYY: BUY <-- BUY
++ VotedClB IYZ: BUY <-- BUY
++ VotedClB IWZ: BUY <-- BUY
++ VotedClB IWW: BUY <-- BUY
++ VotedClB IBB: BUY <-- BUY
++ VotedClB IYJ: BUY <-- BUY
++ VotedClC QQQQ: BUY <-- BUY
++ VotedClC SPY: BUY <-- BUY
++ VotedClC DIA: BUY <-- BUY
++ VotedClC IWM: BUY <-- BUY
++ VotedClC MDY: BUY <-- BUY
++ VotedClC SMH: BUY <-- BUY
++ VotedClC XLK: BUY <-- BUY
++ VotedClC IYW: BUY <-- BUY
++ VotedClC IXN: BUY <-- BUY
++ VotedClC IYY: BUY <-- BUY
++ VotedClC IYZ: BUY <-- BUY
++ VotedClC IWZ: BUY <-- BUY
?? VotedClC IWW: $$$$ <-- $$$$
?? VotedClC IBB: $$$$ <-- $$$$
?? VotedClC IYJ: $$$$ <-- $$$$
?? $NQ-RU: +/- <-- +/-
?? $NQ-SP: +/- <-- +/-
?? $NQ-DW: +/- <-- +/-
Definitions:
============
MutFnd MFTI Mutual Fund Timing Indicator (BUY/SELL/HOLD)
MutFnd Score (0=Hard Sell, 5=Hold, 10=Strong Buy)
GrailSys Buy% Percentage of 1000 Grail System equities in the BUY state
80+%Club Buy% Percentage of BUYS among Grail models with accuracies >= 80%
MTI (MktTim) Market Timing Indicator (calculated by Preprocessor)
MktColorCode Market Color Code (GREEN,BLUE,YELLOW,ORANGE,RED)
LSI/SSI Long Strength Indicator/Short Strength Indicator
TSI ("techs") Technical Strength Indicator ('tech' stocks)
Preproc. TOT Preprocessor Value: Total # of equities held LONG
Preproc. #L Preprocessor Value: # of new LONGs for tomorrow
Preproc. #S Preprocessor Value: # of new SHORTs for tomorrow
#LongRawSigs Preprocessor Value: # of 'Raw' (unvoted) Long Signals (0-10)
NN1 (1-day) Neural Network: 1-day projection for QQQQ
NN3 (3-day) Neural Network: 3-day projection for QQQQ
NN8 (8-day) Neural Network: 8-day projection for QQQQ
CNNI (avg.) Neural Network: Combined (avg.) n-day projection for QQQQ
QQQQ 5-day QQQQ 5-day 'Weather Forecast'
Prudent A.V. Prudent Asset Allocation Vector: (%Long, 0, %Cash)
AllocVec #0 Long/Cash Asset Allocation Vector: (%Long, 0, %Cash)
AllocVec #1 "Official" Asset Allocation Vector: (%Long,%Short,%Cash)
AllocVec #2 Aggressive Asset Allocation Vector: (%Long,%Short, 0)
Recommended Recommended LONG% Allocation Range (Prudent to Aggressive)
Preproc. L/1 Preprocessor L/1 Portfolio: 0 if NO holding; 1 if FULL
MRI Indicator MRI Indicator (negative values can portend major movements)
PredTablSigs Prediction Table (PREDTABL) Class 1/2 QQQQ Signals
PredTablQQQQ Prediction Table (PREDTABL) 'Probable' Direction of QQQQ (UP/DN)
PredTablSMH Prediction Table (PREDTABL) 'Probable' Direction of SMH (UP/DN)
PredTablSPY Prediction Table (PREDTABL) 'Probable' Direction of SPY (UP/DN)
PredTablDIA Prediction Table (PREDTABL) 'Probable' Direction of DIA (UP/DN)
VARPORT Buy% VARPORTA-G (Intermediate-Term) portfolios: Max Long%
"H" Buy% PORTSTAT (Grail System) portfolios: Avg Long% of "H" portfolios
"N" Buy% PORTSTAT (Grail System) portfolios: Avg Long% of "N" portfolios
"C" Buy% PORTSTAT (Grail System) portfolios: Avg Long% of "C" portfolios
"E" Buy% PORTSTAT (Grail System) portfolios: Avg Long% of "E" portfolios
"U" Buy% PORTSTAT (Grail System) portfolios: Avg Long% of "U" portfolios
VotedSigQQQQ Voted QQQQ Signal (from voteqqqq.htm report)
$NQ-RU Differential Signal (from diffhist.htm): QQQQ vs. IWM
$NQ-SP Differential Signal (from diffhist.htm): QQQQ vs. SPY
$NQ-DW Differential Signal (from diffhist.htm): QQQQ vs. DIA
$NQ-AU Differential Signal (from diffhist.htm): QQQQ vs. GLD (Gold)
===============
END OF REPORT 6
===============
============
Forecast Reports ============
Report 1:
Differential Signals
Report 2: Pairs
Trading
Report 3: Voted Signals
Report
4: Day Trades
Report 5: Prediction
Table
Report 6: Primary Indicators
Report
A: Major Strategies
==========================================
=============================================================================
FORECAST
Report A: Portfolio/Strategy Directory (as of the Close on
02/03/12)
=============================================================================
The
following Table organizes many of the more effective strategies
supported
by the myriad reports of the Strategist Newsletter, and
organizes them into
families and subfamilies of similar
strategies. For each type of strategy,
the Directory points you to
the Reports that are necessary to support that
strategy, and lists
some examples of the 'best' specific strategy within
the
subfamily. Symbolic names are used for families, subfamilies, and
strategy
variations in order to facilitate future discussions and
studies.
The 'top' strategy at the present time is considered
to be E2PH:{QQQQ/DIA},
a high-performing, but conservative
strategy that is fully hedged during weak
market conditions, and
which trades QQQQ aggressively during strong market
conditions.
E2PH:{QQQQ/SPY} runs a very close second in performance and
safety.
Whenever it is clear that subscribers need further
information in order to
choose the strategy that is best for them,
or to actually 'run' the strategy,
then we will add more
explanatory text -- or hyperlinks to more detailed
instructions.
Please let us know what you need.
3 Fundamental
Proprietary Techniques
====================================
The
Schulenberg Stock Strategist System is constructed using 3 powerful
and
unique mathematical modeling concepts:
1. MTI (Market
Timing Indicator). The MTI is an accurate 'predictor' of the
strength
of the market -- not just an estimate of its current strength, but
an
indicator of short-term 'future' market strength. The MTI might also
be
called the 'Market Temperature Indicator' because it is
analogous to the
equations in Physics by which the temperature of
a gas can be determined by
looking at the distribution of speeds
(momenta) of gas molecults. Rather than
counting the number of
molecules contained within various speed partitions,
however, we
construct a spectrum of stock portfolios that vary in size, and
that
have very special (and rather surprising) buy and sell rules. We
then
gauge the temperature of the market by looking at the number
of stocks that
are currently contained within each portfolio, as
well as looking at the
overall 'curve' that is produced by looking
across the spectrum of portfolios
from the smallest to the largest
portfolios.
2. Generalized Japanese Candlestick Neural
Networks. What we do here is to
convert the four prices for each
day (Open, High, Low, Close) to a transformed
set of four
dimensionless numbers -- rather than converting them directly
to
Japanese candlesticks. We call this the RaDiSH Transform
because the four
prices become the dimensionless and
time-invariant R, D, S, and H parameters.
We then incorporate
these 4 parameters with the previous 2 days of values,
throw in
the recent time history of the MTI as well as some commodities
prices
(gold, oil, etc.), and train a neural network to predict the price
of
QQQQ 1 day in advance. What this effectively does is to find
the Japanese
Candlestick patterns that actually have predictive
power, and we obtain the
prediction -- without ever actually
knowing what kind of a pattern had been
detected. Since the R, D,
S, and H parameters are both dimensionless and
time-invariant,
they produce neural networks that have predictive power not
only
over QQQQ, but also over other stocks and ETFs -- and over wide
ranges
of price histories.
3. Mutual Fund Timing Indicator.
Our MFTI is constructed based upon our MTI
value, and it produces
a mutual fund buy/sell signal that is not only highly
accurate,
but that also switches (buy > sell, sell > buy) fairly
infrequently.
Another proprietary idea, however, is that we
develop a relative strength for
1000 different mutual funds by the
following process:
a. Determine the current
composition of each mutual fund by finding the
weighted sum of 5 ETFs (or key stocks) whose price history over
the
past N market days most
closely matches the actual price history of
the mutual fund. This is done by a Monte Carlo (Darwinian)
process
and it generates
surprisingly good results -- generally developing
decompositions into ETFs that match closely the stated
'objectives'
of the mutual
fund.
b. Use the estimated composition of
each mutual fund as a weighted sum
of equities for which we have timing signals, and then calcule a
net
timing signal for the
entire mutual fund. The resulting timing
information is contained within the MUTFUNDS.TXT report, and
the
decompositions can be
provided upon request (because of the size of
the decomposition report it is not included in the daily report
archive).
I. E1 Work
with 1 ETF
exclusively.
=======================================
Method: We
use our Voted Signals for each ETF, and these take into account
not
only the recent price history for a particular ETF, but also
factor in the
Voted Signals for related ETFs -- and for the market
as a whole.
(1) E1LS
Trade 1 ETF both Long and Short (we have over 20 ETF
signals)
Relevant Reports: TRKVOTEB.TXT, ALLVOTES.TXT
Tracked by TimerTrac(TM): QQQQ, SPY, DIA, SMH, MDY, IWM
>>>
Favorites: E1LS:QQQQ, E1LS:IWM, E1LS:SMH
See Forecast Report 3 for 2x and 3x ETF
equivalents
(QLD, QID, SSO, SDS, DDM, DXD, ...)
Stops/Exits: See TRKVOTEB.TXT
(2) E1LO Trade 1 ETF Long-Only (more
conservative)
Relevant Reports: TRKVOTEB.TXT, ALLVOTES.TXT
>>>
Favorites: E1LO:QQQQ, E1LO:IWM, E1LO:SMH
Stops/Exits: See TRKVOTEB.TXT
II. E2
Work with 2 ETFs as a
portfolio.
===========================================
Method
(E2FH/E2PH): We construct a 'pseudo-ETF' whose price history is
the
ratio of ETF1 to ETF2 (the quotient), and whose daily trading
volume is the
harmonic mean of the two ETFs. We then generate a
Voted Signal (utilizing
our MTI value and related Voted Signals)
for this 'differential' ETF and
it accurately generates the
BUY/SHORT or SHORT/BUY signals for the ETF pair.
Method
(E2TP): We analyze all possible pairs of our 140 Voted Signals
(this
is 9730 possible 2-equity portfolios), and we back-test all
pairs over a
7 year trading history in order to determine the
pairs that have the highest
G/d ratio (annualized gain divided by
maximum drawdown). This analysis is
summarized in the STKPAIRS.TXT
report. We then select the 20 best pairs of
ETFs, and we back-test
these again, but this time varying the equity ratio
between the
two ETFs in order to find the optimum percentages of ETF1 and
ETF2
that produce the maximal G/d ratio. This analysis is summarized in
the
TRKPAIRS.TXT report.
(1) E2FH Trade 2 ETFs in a Fully Hedged fashion (ALL the
time)
Relevant Reports: Forecast Report 1
>>>
Favorites: E2FH:QQQQ/DIA, E2FH:QQQQ/SPY,
E2FH:SMH/SPY
See Forecast Report 3 for 2x and 3x ETF
equivalents
(QLD, QID, SSO, SDS, DDM, DXD, ...)
(2) E2PH Trade 2 ETFs in a Partially Hedged
fashion
Relevant Reports: Forecast Report 1
>>>
Favorites: E2PH:{QQQQ/DIA}, E2PH:{QQQQ/SPY}
See Forecast Report 3 for 2x and 3x ETF
equivalents
(QLD, QID, SSO, SDS, DDM, DXD, ...)
(3) E2TP Trade 2 ETFs as a Trading Pair
Relevant Reports: Forecast Report 2, STKPAIRS.TXT,
TRKPAIRS.TXT, ALLVOTES.TXT
>>>
Favorites: E2TP:IWM/SMH
III. En Work
with a portfolio of 'n'
ETFs.
=============================================
(1) En Trade 'n' ETFs as a
portfolio
Relevant Reports: Forecast Report 2, STKPAIRS.TXT,
TRKPAIRS.TXT, ALLVOTES.TXT
Method: Use Forecast Report 2 to construct
portfolios
of 3 ETFs (by selecting two Trading Pairs with an
ETF
in common) or 4 ETFs (by selecting two Trading
Pairs
with no ETFs in common). Use the Equity Ratios for
the
Trading Pairs to determine the overall portfolio
equity
ratios. Construct portfolios of 5 or more ETFs in
a
similar fashion. Trade the portfolio by following
the
signals in the ALLVOTES.TXT Report.
IV. S1
Work with a single
stock.
====================================
Method: We use our
Voted Signals for each stock, and these take into account not
only
the recent price history for a particular stock, but also factor in
the
Voted Signals for related stocks -- and for the market as a
whole.
(1) S1LS
Trade 1 stock both Long and Short (we have 120 stock
signals)
Relevant Reports: ALLVOTES.TXT, TRKQSTKA.TXT,
TKQ1STKA.TXT,
TKQ2STKA.TXT, TKQ3STKA.TXT, TRKDSTKA.TXT, TKM1STKA.TXT
>>>
Favorites: S1LS:AMZN, S1LS:ATVI, S1LS:MSFT,
S1LS:AAPL
also, S1LS:FAS(FAZ). Use TKM1STKA.TXT for tracking
of
FAS, and TRKQSTKA.TXT for AMZN, ATVI, MSFT, and AAPL
Stops/Exits: See appropriate tracking report,
e.g.,
TRKQSTKA.TXT.
(2) S1LO
Trade 1 stock Long-Only (more conservative)
Trade only on BUY signals
Stops/Exits: See appropriate tracking report,
e.g.,
TRKQSTKA.TXT.
(3) S1LOHZ Trade
1 stock Long-Only and only in the MTI High-Zone
(most conservative). Trade only on BUY signals and only
if
the MTI is >= 1.0 (trading only on MTI > 1.0 signals
would
result in protracted stays in Cash).
Stops/Exits: See appropriate tracking report,
e.g.,
TRKQSTKA.TXT.
V. S2 Work
with a pair of stocks as a
portfolio.
=====================================================
(1) S2TP Trade 2 stocks, both Long and Short, as a
Trading Pair.
Relevant Reports: STKPAIRS.TXT, ALLVOTES.TXT
Good Candidates: S2TP:ALTR/JNPR, S2TP:ALTR/VRTX,
S2TP:JPM/LRCX, S2TP:AXP/NTAP, ...
VI. Sn
Work with a portfolio of 'n'
stocks.
===============================================
(1) Sn Trade 'n' stocks as a
portfolio.
Relevant Reports: STKPAIRS.TXT, ALLVOTES.TXT
Method: Use STKPAIRS.TXTE Report to construct
portfolios
of 3 stocks (by selecting two Trading Pairs with a
stock
in common) or 4 stocks (by selecting two Trading
Pairs
with no stocks in common). Use an even equity
distribution
that assigns equal funds to each stock. Construct
portfolios
of 5 or more stocks in a similar fashion. Trade
the
portfolio by following the signals in the
ALLVOTES.TXT
Report.
VII. Mutual Funds (see MUTFUNDS.TXT Report
and keep an eye on the Mutual
Fund Timing Indicator,
MFTI).
==============================================
===============
END
OF REPORT A
===============
============ Forecast Reports
============
Report 1: Differential
Signals
Report 2: Pairs Trading
Report
3: Voted Signals
Report 4: Day Trades
Report
5: Prediction Table
Report 6: Primary
Indicators
Report A: Major
Strategies
==========================================
Section A: Introduction and Overview
We believe that our ‘thermally-based’ market timing method (based on an analogy with the Maxwell-Boltzmann distribution law of thermal physics) is able to ‘measure’ the most fundamental of market forces, and is thus relatively immune to shifts in market behavior over time. After almost seven years of development and back-testing, the evidence continues to suggest that this method really does provide a high predictive accuracy. However, there is no way to be certain that it will always be able to anticipate the direction of the market with such high precision.
A.4 Report Structure
Report Summary
==============
TRKQQ-DW.TXT: Tracking report for the hedged strategy using QQQQ and DIA
TRKQQDW1.TXT: Tracking report for 1x ETF variation of hedging strategy (PSQ and DOG)
TRKQQDW2.TXT: Tracking report for 2x ETF variation of hedging strategy (QID/QLD/DXD/DDM)
TRKYW-DW.TXT: Tracking report for the hedged strategy using IYW and DIA
TRKQQ-AU.TXT: The Hedging Report for QQQQ vs. GLD ETF trades
TRKQQ-FN.TXT: The Hedging Report for QQQQ vs. XLF ETF trades
TRKQQ-SP.TXT: The Hedging Report for QQQQ vs. SPY ETF trades
TRKQQ-LE.TXT: The Hedging Report for QQQQ vs. XLE ETF trades
TRKQQ-LP.TXT: The Hedging Report for QQQQ vs. XLP ETF trades
TRKQQ-LU.TXT: The Hedging Report for QQQQ vs. XLU ETF trades
TRKQQ-RU.TXT: The Hedging Report for QQQQ vs. IWM ETF trades
TRKSP-DW.TXT: The Hedging Report for SPY vs. DIA ETF trades
TRKSM-DW.TXT: The Hedging Report for SMH vs. DIA ETF trades
TRKSM-BB.TXT: The Hedging Report for SMH vs. IBB ETF trades
TRKSM-YJ.TXT: The Hedging Report for SMH vs. IYJ ETF trades
TRKSM-SW.TXT: The Hedging Report for SMH vs. SWH ETF trades
TRKVOTEB.TXT: Tracking report for 20 principal ETF signals (see also TRKVOTEA and C)
TRKQSTKA.TXT: Tracking report for the top 20 stocks that make up QQQQ
TKQ1STKA.TXT: Tracking report for #21-40 of QQQQ-based stocks
TKQ2STKA.TXT: Tracking report for #41-60 of QQQQ-based stocks
TKQ3STKA.TXT: Tracking report for #61-80 of QQQQ-based stocks
TKM1STKA.TXT: Tracking report for FAS and UYG, 7 QQQQ component stocks, and 11 DIA component stocks.
TRKDSTKA.TXT: Tracking report for the top 20 stocks that make up DIA.
predtabl.htm: The Prediction Table (MOS/MCS Analysis; predicting the Close based upon the Open)
selector.htm: The Day Trading signals list (lists all preprocessor signals plus Grail/Voted Signals).
ALLVOTES.TXT: Summary Report that summarizes all 140 Voted Signals.
STKPAIRS.TXT: The relative performance of 7140 2-equity portfolios.
TRKPAIRS.TXT: The actual performance of 20 2-ETF portfolios since 9/4/08.
MUTFUNDS.TXT: The current signals (and past performance) for 1000 mutual funds.
A.5 Downloads and Key Links
End of Report