Aggregating For Expectations: Reset and Restart

2014-04-22

Reset and Restart

It appears the Yahoo Financial corrected its historical database over the past Easter weekend. So I am going to restart the model reports.

Other changes: the DRN 3X Real Estate is replaced by UGLD - VelocityShares 3x Long Gold ETN
and RETL 2X Retail is replace by UGAZ - VelocityShares 3x Long Natural Gas ETN

All 10 models are rebuilt and as of today all models are sold.

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The Process

This model creates a short to medium term indicator - generally one to four weeks.

We select several leveraged ETFs that best represent the overall market or industry they represent.

For each ETF the process finds the best 50 or so stocks that correlate to the ETF's price movement. Then it finds the average Momentum indicator value for all 50 over 3, 4 and 5 day periods. We accumulate all possible cross-over values or buy/sell points.

Finally a series of back-tests are run that determine the best choice of each period and buy/sell points that occur over the past year.

These best choices are then used daily to calculate current buy/sell points for each ETF using data from the past 6 months.

Aggregating For Expectations

What

2014-04-22

Reset and Restart

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The Process

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