ETFTRENDANALYZER

Monday, June 13, 2011

Updated Intermediate Model Results Table

I added two new ETFs to my Intermediate Mean Reversion Model. If anyone wants any more details on results for any of the individual ETFs feel free to ask me.

Saturday, June 11, 2011

Results For Intermediate Models

Above find the results for my "Intermediate Mean Reversion Models". This is a summary using data back to Feb 2 2002. The reason I chose that date was for consistency. All of the ETFs considered had data going back to at minimum this date and they were among the most liquid actively traded ETFs. The reason I of course select the most liquid ETFs is for ease of scalability. In each instance the Strategy Volatility for the Model is considerably less than for the underlying ETF. I also include the returns of a long only position in the SPY ETF for comparisons sake. I have more data available for each individual model upon request.

Friday, June 3, 2011

My New Model

I realize it has been a while since I have posted but I have been focussing my attention on developing a short/medium model. I started with the oil market and I am using an extreme mean reversion model with stops. Overall in a highly trending market the longer dated models work very well. If the model is too short dated it takes the trader out of trends are they are being established. However on the way up it is never a smooth path so I sought to develop a model with about half the volatility of the ETF but that trades more frequently than my long dated model. This model has a 70% winning ratio (ie the number of winning trades exceeds the number of losers). The overall volatility of this model is half that of the underlying ETF. The model traded three times in the month of may exiting on 05/20/2011.

Wednesday, April 6, 2011

Results For Shorter Dated Oil Model Through March 2011

Below find the results for my shorter dated model applied to the OIH ETF. The goal in this endeavor was to find a much shorter dated model that would trade more frequently than the long dated models that I use. The other goal was to develop a model that is much less volatile than the underlying ETF. In this case the volatility of the model is 12% vs over 50% for the underlying ETF. Additionally the number of uptrades to down trades is 12:2 which is extremely high and the dollar value of an up trade is over two times the dollar value of a down trade. This indicates that the model is fairly robust. It should be noted that the model has not made as much money as the underlying ETF but has eliminated some of the huge draw-downs associated with the ETF. In 2008 for example the model was up over 9% while the underlying OIH ETF was down 60%.

	*Trading Statistics*

	Model
UpTrade	12
AvgUpTradepnl	*$100,472.21*
DnTrade	2
AvgDnTradepnl	*-$38,366.28*
AvgTotTradepnl	*$80,638.14*
Total Trades	14
WinRatio	*%85.71*


StratVol	*%12.24*
MktVol	%50.94