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Germany - My articles cover financial research using quantitative methods and technical analysis. They focus on stocks and ETFs traded in the United States, as well as the German DAX / Bund. I have chosen the name Engineering Returns, because it entails what this is about for me.

Portfolio Trader Sept. 6th, 2011 ~ April 27th, 2012

Posted on April 28th, 2012

. Portfolio Trader started 6th of September 2011. With this post I want to share my performance review of the first  seven month. Typically seven month isn’t enough time to fully judge the performance of a trading system. However I feel ok sharing it now as we have been going through a few distinct market types [...]

Weekly 360° View ~ 16 / 2012

Posted on April 14th, 2012

Summary Last week’s call worked out partially. We saw the expected weakness early in the week followed by two up-days. SPY finished the week with -0.64%. For the coming week we’ve got a rather bullish setup. I do expect a positive week. Price Action [bullish] Direction: long term up, intermediate-term slightly positive Historical ranked volatility: long-term above [...]

Weekly 360° View ~ 15/2012

Posted on April 9th, 2012

Summary Last week’s call worked out only partially as we saw a minor dip though we stayed within my range of no more than 2%. For this week we’ve got a mixed signal on the board. Due to last Friday’s non-farm payroll numbers futures are in the red. I do expect weakness to continue early in [...]

Weekly 360° View ~ 14 / 2012

Posted on April 1st, 2012

Summary Last week’s call worked out well: higher close with a mild pullback. For next week we’ve got a mildly bullish signal. In case of a pull-back no more than 2%. Price Action [bullish] Direction: long term up, intermediate-term up Historical ranked volatility: 0.25 – 0.50, bellow mid-point Trend-health: long-term trending environment (TSI >1.65) and intermediate trend [...]

Weekly 360° View ~ 13 / 2012

Posted on March 24th, 2012

Summary Last week’s call worked out  almost as predicted: “sideways move with the low in the range of 1-2%”. We saw the low of the week bellow 1.18% of the opening. The week closed with a loss -0.4%. Setup for week 13 is  positive, hence I do expect a higher close. In case we see a pull-back [...]

Weekly 360° View ~ 12 / 2012

Posted on March 19th, 2012

Summary Last week’s call worked out almost as predicted: a higher close, unfortunately we didn’t see the pull back of ~1% as expected. Setup for week 12 is mixed with a slightly bullish bias. I do expect a sideways move with a low in the range of  1.0 – 2.0%. Price Action [bullish] Direction: long term up, [...]

Weekly 360° view ~ 11 / 2012

Posted on March 11th, 2012

Summary For last week I’ve been neutral to slightly bearish as written (link) seven days ago. Until Tuesday the market showed a considerable pull-back (2.15%) . Though the week showed a gain of 0.19%. Setup for week 11 is bullish, hence I expect a higher close for the week. Furthermore I’m expecting a mild pull-back [...]

Weekly 360° view ~ 10 / 2012

Posted on March 5th, 2012

Summary Last week’s call worked out, again!  The market closed higher while we got a mild pull back of almost 1%, as written last week. Setup for week 10 is neutral to slightly bearish, hence I expect a lower close. This call remains valid until Thursday. Friday’s non-farm payroll numbers can be game changing.   [...]

SPY: Impact of Correlation

Posted on March 2nd, 2012

With this post I want to share some very interesting research insight from the world of correlation.  Correlation metrics get a lot of attention during severe bear markets. That’s because most markets go down together, hence correlation is raising among the various markets and asset classes. Conventional market wisdom says: high correlation among markets and [...]

Get a 30 days FREE Trial of Portfolio Trader

Posted on February 29th, 2012

Sign-up for free! Portfolio Trader has been in public beta for about 6 month. In the coming month Portfolio Trader will become a subscription based service. Until then it remains FREE for all subscribers. Please fill-out the form bellow in order to receive the 30 days FREE trial. Furthermore let us know if you are interested in [...]

Portfolio Trader ~ Week 09 / 2012

Posted on February 26th, 2012

Update Last week the portfolio saw a dip of -1.98% after 9 consecutive up-weeks. For the coming week two position changes are going to take place. Portfolio Profile Stocks (long)  86% Real Estate 14% Cash 0% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found here ( 2011 / 2012 ). This page will be [...]

Weekly 360° view ~ 09 / 2012

Posted on February 26th, 2012

Summary Last week’s call worked out, again!  The market closed above it’s weekly opening. Setup for week 9 is positive, hence I expect slightly higher week. Though a bull-back in the range of 1% bellow the weekly open can be expected. . Price Action [bullish] Direction: long term up, intermediate-term up Volatility: very low,  ranked [...]

Weekly 360° view ~ 08 / 2012

Posted on February 21st, 2012

. 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 [...]

Portfolio Trader ~ Week 08 / 2012

Posted on February 19th, 2012

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 [...]

Portfolio Trader ~ Week 07/2012

Posted on February 12th, 2012

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 [...]

Weekly 360° View ~ 06 / 2012

Posted on February 6th, 2012

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 [...]

Portfolio Trader ~ Week 06 / 2012

Posted on February 4th, 2012

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 [...]

Weekly 360° view ~ 05 / 2012

Posted on February 1st, 2012

  (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 [...]