ETF Prophet

. Summary Last week’s call worked out very well! The market closed above it’s weekly opening. Setup for week 8 is broadly positive, hence I expect another week higher. . Price Action / Benchmark [bullish] Direction: long term up, intermediate-term up Volatility: very low Trend: intermediate term trend is stretched, though not exhausted, long-term trend [...]

Update Last week the portfolio went sideways +0.08% due to a 14% earnings drop in $GILD. Though the system continues to hold the position for another week. A few position changes are going to take place in the coming week. Portfolio Profile Stocks (long)  82% Real Estate 13% Cash 5% About Portfolio Trader Read more about Portfolio [...]

Update Last week the portfolio went sideways +0.06% mainly due to a 12% earnings drop for $NUAN. Though the system continues to hold the position for another week. A few position changes for the coming week. Portfolio Profile Stocks (long)  69% Bonds   18% Real Estate 13% About Portfolio Trader Read more about Portfolio Trader [...]

The performance report has been re-done in order to provide you with better readability and higher consistency among the various setups. Furthermore  the trade statistics will have one additional piece of information: Sharpe ratio of trades. Usually Sharpe Ratio is calculated based on an equity curve (daily returns). As we are not looking at a complete [...]

Update Last week the portfolio saw an increase by 4.16%. For the coming week a few stocks will be replaced. As the market is improving the TAA system is turning from TLT into JNK (High Yield Bond) Portfolio Profile Stocks (long)  82 % Treasuries   18% About Portfolio Trader Read more about Portfolio Trader here [...]

  (click to enlarge) Seasonality [positive] Last week of January has a bullish bias (B/C). Price Action [positive] Trend conditions signal a positive environment (D/E). Volatility continues to decrease on multiple time-frames (F/G) as the market remains somewhat overbought (G). A combination of low volatility, positive trend as well as slightly overbought conditions signals a positive [...]

Update Last week the portfolio saw an increase by 2.76%. For the coming week a number of stocks will be replaced. TLT did quite well given the bullish stock market environment. I will further reduce my TLT exposure.   Portfolio Profile Stocks (long)  84 % Treasuries   16% About Portfolio Trader Read more about Portfolio [...]

. Price Action [neutral] Volatility continues to decrease on multiple time-frames (F) as the market remains overbought (E). A combination of very low volatility within an overbought market triggers a negative signal (J). .. Seasonality [positive] Seasonality is bullish for week 4 (C/D). . Breadth [negative] Market Breadth (J) is up, though significantly overbought. . [...]

Update Last week the portfolio saw an increase by 0.76%. For the coming week a number of stocks will be replaced. Portfolio Profile Cash  0% Commodities 0% Real Estates 0% Stocks (long)  78 % Stocks  (short)  0% Treasuries   22% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found [...]

Price Action [bullish] Volatility continues to decrease on multiple time-frames (C). The market remains overbought on intermediate-term levels, that can be seen as slightly bullish (B/D/E). The expected opening GAP of more than 0.75% provides a bullish edge especially in current trend and volatility conditions (F-H). . Seasonality [bearish] Seasonality is very bearish for week 3 [...]

Update Last week the portfolio increased by 0.42%. For the coming week a number of stocks will be replaced. Portfolio Profile Cash  0% Commodities 0% Real Estates 0% Stocks (long)  77 % Stocks  (short)  0% Treasuries   23% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found here ( [...]

Update Last week the portfolio saw an increase in equity (1.19%) . For the coming week a number of stocks will be replaced. I’m going to add a third system to the Portfolio Trader initiative – read more about it here. The main reason for adding a third system at this point: reducing risk per [...]

. Price Action [negative] The market remains overbought on intermediate-term levels, that can be seen as slightly bullish. Trendstrength continues to weaken, actually it’s at the lowest level (1.58) since the market bottom March 2009. In such an environment overbought levels are negative due to reversion to the mean. . Seasonality [negative] Seasonality is slightly [...]

Read more about [Weekly 360° view] here. Column A:  average weekly return (benchmark) B: intermediate overbought / oversold conditions (using DVI) C: same criteria as B incl. market trend strength filter (TSI) D: same criteria as B incl. volatility filter E: moving averages: close above MA50 and MA200,  MA50 bellow MA200 F: overbought market DVI > 0.5, market opens [...]

Update Last week the portfolio saw an increase in equity (0.42%) while being hedged for a good part of it. ISRG is going to be sold due to it’s very good run recently. The TAA modell is turning from being most bearish into a slightly less bearish setup by adding IYR  (real estates)  to the [...]

With this post I’m going to close 2011.  Bellow you find a list of the most popular posts. Let me know what you want me to write about in 2012 by sharing your thoughts in the comments section. I want to take the opportunity and wish all readers and fellow traders a happy new year! [...]

Update Last week the portfolio saw an increase in equity (1.74%) while being hedged. The MOM system added past momentum losers to the portfolio. They are going to be sold with a good profit this week. Hence three new stocks will be added ( WFM, STX and NUAN). In case of RIMM I did a Twitter update [...]

Update Last week the portfolio saw a decrease in equity (-2.42%) while SPY lost (-2.93%). TLT trade worked out well by protecting the portfolio. Unfortunately GLD dropped significantly and therefore has to go. The TAA (Tactial Asset Allocation) part of the portfolio is going to turn into the most bearish setup. To it’s already bearish TLT holding [...]