Current Trading Signals

Below is a list of my current signals for each ETF that I currently follow and the date on which they were received.  Note that I get my signals on the close of a particular day and I follow highly liquid ETFs this makes for a scalable strategy.   The next phase of development is to come up with a tactical asset allocation model based on the ETFs I am tracking, Im not there yet but im giving a lot of thought as to the best way to implement it.  

XLF   Long on 06/01/2011   @ 15.31
EWJ   Long on 06/15/2011   @ 10
EWZ  Long on 06/06/2011   @ 73.01
FXI    Long on 06/01/2011   @ 44.48
SLV   Long on 06/01/2011   @ 35.75
SPY   Long on  06/15/2011  @ 126.39

QQQ, OIH, EEM, GLD are giving no signal at the moment.   I realize that there are a wide range of ETFs that are also fairly liquid but I have focussed my attention on some of the largest ones.   Also I cover a fairly broad spectrum of the markets for example Brazil, the emerging markets block, China, SP500, Nasdaq, Silver, Gold and Japan.   I hope to add a few bond and currency ETFs just to see how my models performs there.    Note these are signals determined based on my Intermediate Mean Reversion Methods. 

Note I should qualify that I am not a registered investment advisor and I am not making any recommendations to buy or sell securities.

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.

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.

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.    

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

An Article on FundFlows From IndexUniverse

http://www.indexuniverse.com/sections/features/8626-2010-etf-fund-flows-vanguard-leads-all-firms.html

An Interesting Article on Factor Models

Below find an interesting article on the use of Factor Models applied to ETF's from seeking alpha
http://seekingalpha.com/article/261570-a-simple-macro-factor-relative-strength-model?source=email_etf_daily.