ETF Prophet

I am periodically asked to update the performance of the two S&P 500-based models that are published at each close in the ETF Rewind Pro newsletter.  Here are the original posts from over two years ago discussing the construction of these signals: Mrkt_MACD – Seeking Linearity (Chart 1) Mrkt_RSI – Relative Volatility & Mean Reversion I have updated the runs, [...]

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

Last fall I spoke at an active money management conference, where I introduced about a half-a-dozen or more weekly inter-market ETF models designed to measure “risk acceptance” in equities. The subject of this post features one of the more basic models, which was partially inspired by the highly recommended “The Lawyer Trader” blog.

The Omega ratio http://en.wikipedia.org/wiki/Omega_ratio is a relatively new performance metric  invented by Keating and Shadwick. It was designed to be a better way to capture all moments of the distribution to give a fair accounting of the upside versus the downside risk that is superior to the Sharpe Ratio. From a semantic perspective it does truly [...]

I’ve been working on bigger projects till about a week ago then I got real curious about a trading idea: what happens to S&P 500 next week when commodity currencies are aligned up or down the same day? What happens if I want to reduce the drawdown periods and increase the run-up periods? what happens [...]

The market’s been on a good tear these past few weeks, and I find it instructive and insightful to see where we’ve been. So, below you’ll find the Weekly Bull-Bear chart. It appears the first of the year was our cross into a Bull phase. Although, some market watchers are expecting a dip from this [...]

In my on going quest to find the building blocks of a better, more adaptive Parabolic Search and Rescue Stop and Reversal system, I was coached by David Varadi of CSS Analytics and Jeff Pietsch, aka Market Rewind, to develop a Walk Forward Test on futures markets across several different asset classes using various performance measures. I [...]

The downward cross of the 50 SMA over the 200 SMA, euphemistically known as the Death Cross for its ominous bearish implications, has popped up recently in many technical sites as a foregone conclusion. In this light it’s worth a quick look at the VXX (VIX ETN proxy) on 130 minute bars for a possible [...]

Overbought is a tough condition – because the market can continue to be overbought for however long the market decides.  But on Friday one of my overbought/oversold indicators reached an extreme I haven’t seen in a while.  And that is why I sold into strength and also hedged my remaining positions.  Let’s take a look.

“Today’s big U.S. Dollar move versus the Euro on the threat of French bank downgrades and riots in the streets of Greece has me thinking about the currencies’ respective Exchange Traded Fund proxies, UUP and FXE. Of course, all currency trades inherently involve the concept of long|short pairs, but using the ETF basket proxies does [...]

In the May 13th blog post I introduced the TICK Tomoscillator. I named it the TICK Tomoscillator because it is the brainchild of Tom McClellan of McClellan Financial Publications. It uses the NYSE closing TICK readings to measure recent end-of-day sent…

“Currencies, Bonds and Commodities are known for having particularly consistent trend components to their daily price behaviour. Trend components in the New Zealand Dollar (NZ) have been particularly strong during the last several years, and consistently so. The trick for savvy swing traders, is to identify when the trend may have become too much of [...]

I spoke with my friend Scott Andrews from MasterTheGap.com the other day and learned that he is currently offering a detailed study on SPY gaps on his website. The study is free and available for the next few days. When I last saw Scott in February at …

This is continuation of yesterday’s RM model…in this view SPY is shown as the background (shaded) chart while the RM components are shown as daily bar line charts. I know you only want to know what these mystery ETFs are but your patience will be rewarded in the long run. The important feature of the [...]

To gain a full picture of TLT momentum we simultaneously monitor 2 charts on 2 minute bars…one of TLT with a VIX overlay and one of TBT with a NYAD overlay. We also use a 8/8 hi/lo channel and an SAR on each price chart.  The trading triggers are the convergence and confirmation signals of [...]

With this post I want to share a simple GAP fading strategy. In my never ending desire to find complementary strategies to my existing portfolio of strategies. I looked into GAP fading. What’s GAP fading: Assuming a stock or ETF opens higher than yesterday’s close, you got a GAP. To fade a GAP you essentially [...]

I’ve been taking a look at gaps recently, specifically putting some numbers on David Varadi’s Normalised Gap/ Lap Indicator. First, it’s good to set some benchmarks with regard to the performance of gap fades on SPY (S&P 500 ETF). I’ve…

The red tide washed in this morning leaving few ETFs in the green.  SMH was the exception, continuing to show resilience and driven largely by the vagaries in INTC.  The VIX, which is always a study in head scratching, is down 3%+ as of this post but VIX options are showing a ho-hum response, probably a [...]