Category Archives for "ETFs"

March 18, 2015

ETF Sector Rotation

My recent research has been in ETFs which I have not explored in several years. ETF sector rotation has always intrigued me. The idea seems so simple that it should work. Always be in the sector that has been doing the best. I like simple but does it work? If not, can we make it work?

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Developing Leveraged ETF Strategies

How should one develop a strategy for leveraged ETFs? Do you develop the strategy on the unleveraged ETF and then apply the rules to the leveraged ETF? Or do you develop the strategy on the leveraged ETF directly? Or do you develop the strategy on the unleveraged ETF then use signals on that to trade the leveraged ETF? On first blush one would think that all three methods would produce identical results. But as we know, the obvious is rarely the right thing for strategy development.

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December 17, 2014

Day of month pattern or luck for a monthly ETF rotation strategy?

From my post on Heikin-Ashi Charts, another researcher wrote Luck: The Difference Between Hired or Fired about how luck of the draw could account for the difference in returns depending on the starting date. This is a completely valid question. Are three better returns for a strategy in a particular area of the month or is it random? I do believe that luck plays a large part in our trading results, which is a future blog post. But from previous work on 5 day holds, I know that the end of the month and beginning on the month tend to be better times for ETF mean reversion.

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November 19, 2014

Heikin-Ashi Charts

A reader recently introduced me to Heikin-Ashi charts. Popular with forex traders for showing trends which at first look of chart sure seems that way. Look at these two daily charts. The top one is a standard Candlestick chart while the bottom is Heikin-Ashi chart.

141119A

The trend of unbroken green sure seems more obvious and stronger in the Heikin-Ashi chart. Will testing confirm this?

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November 25, 2013

Percent S&P500 Stocks Trading Above MA50 as Market Timing Indicator

Does the percent of S&P500 stocks trading above their 50 day moving average predict future market returns? Over the last several weeks, I have seen several charts of the percent of S&P500 stocks trading above their 50 (or 200) day moving average overlaid on the S&P500. From these charts, it appears one could build a market timing indicator. The concept really looks like it has promise.

SP500-MA50Perc1

Chart from April to November 2013.

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October 1, 2013

Which S&P500 stocks to focus on when the SPX has 5 higher closes

Rob Hanna had a good post recently; titled What the String of 5 Higher Closes Under These Circumstances is Suggesting .  With mean reversion trading, you are expecting stock prices to snap back towards their mean, like a rubber band stretched too far.  But, sometimes, that rubber band can be stretched so far that it breaks (and therefore, won’t snapback).  For some time, I have been searching for how to tell when that rubber band is stretched so far that it is broken.  Rob’s post had several key concepts that might help us to solve this puzzle and possibly even be the foundation of a stock strategy.

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