ETF Prophet

If this looks a lot like the Lazy Man metrics dashboard, that’s because it is.  What I’m trying to do is determine which of my target ETFs display the greatest momentum, strength of trend and relative strength.  I’ve built all the metrics in Worden Bros. Telechart 2011, the mothership of FreeStockCharts.  I can do more [...]

Here’s a little update on the DBC DBA pair trade that I’ve mentioned previously.  Currently LONG DBA this trade has a super smooth equity curve … expected with an 95% linearity.  The incremental P&L is just that…incremental, and the last 8 trades have all been winners.  This pair trade is somewhat unique in the regular [...]

Knowing if your system is performing as expected is one of the most crucial question for a systematic trader. This question is mostly raised in times when you “feel” that your returns aren’t in line with what you had expected. However, I strongly think that a reality check should be part of a periodic system [...]

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Following up on yesterday’s XLF / TBT pair trade, here’s a few more trade descriptors to help understand the setup.  First of all its important to understand that this is a correlated pair, since TBT is the 2x inverse of TLT, which typically trades contrary to the S&P, while XLF trades in sync with the [...]

With this post I want to share some research I’ve done in the area of rotational trading (RT). In RT systems stocks or ETFs are ranked according to one or more properties. You ride the best stocks as long as they are among the best stocks, then you change horses and go again. So far so [...]

The newly introduced Gaps tab had already being beefed up!  See tonight’s excerpt from ETF Rewind Pro: “Speaking of which, by request, I have added a “Hold Until” feature to the Gap tab so that you can test either holding until the subject Gap/Lap target has closed, or through to the market close.  The first [...]

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 [...]

This is a follow up to my May 2oth Rotation Blend post and reflects a completely new “blended” model containing 7 ETFs.  The model invests in the top 3 performers each week, re-assessing rotational relative strength each week to determine the projected top 3 performers for the coming week.  By holding the top 3 ETFs [...]

The Mrkt_Seasonality spreadsheet is a new ETF Prophet feature released this morning in beta under the ‘Tools’ menu.  It actually provided a hint of today’s sell-off with the month and day of month column both in the red.  I have been to seminars and seen company’s that charge for this type information.  It is another [...]

Last week I released a post about the groundwork for a market neutral strategy. Since then I continued my research. With this post I want to share with you some of the interesting highlights and inspire you to kick-off your own research. As I wrote at the end of the last post: my main focus [...]

With this post I want to share some of the groundwork I did for preparing a market neutral strategy. I’m a big fan of having only a very few strategies that have a constant exposure while an edge exists. Rather than having many strategies that wait for an extremely strong edge. As of today my [...]

Key performance indicators (KPI) play a crucial role in trading. KPIs guide us through the system development process and help us to take the right conclusions from a given backtest. A backtest is likely to produces a couple of hundred or even up to thousands of trades. The only way to evaluate the outcome is to look [...]

It’s time for a review! A couple of month ago I had a few posts on rotational trading.  The essence of these posts is summarized here.  In this post I want to give you an update how the strategy has been doing since then. Furthermore I’ll release an updated version of the source code.

The back tested results of your strategies can only be as good as the data you run it on.  A time series is a representation how the past looked like. If your strategy is trading index-stocks you need to consider how the index looked like at any given time in the past. Testing your strategies [...]

Dear Subscriber,  As presented as a better than even possibility last night, we got very good follow through today to the upside led by Energy and Materials.  In fact, the move was enough to push the short-term trend back around.  However, our mean reversion bias increased in strength, and we now sit at the top [...]