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Posted by on May 7, 2006, 4:16 pm
Wanted some opinions on the below strategy. This can be done with any
account balance, but lets say $100,000 cash balance to start.
Trader uses below data, and using "best performer for one month"
information, keeps his 100K invested in the top 2 performing ETF's at
all times. Trader could also use 90-day data.
Trader could choose to limit his universe to whatever trading volume
ETF, say those which trade 1M or more a day, for liquidity.
SEE:
http://screen.morningstar.com/etf/Lists/ETFReturns.html
(sort 1-month return column)
also:
http://stockcharts.com/webcgi/perf....RKH,EWS,EWY,EWW
(adjust scroll bar to whatever time period)
As we know, trend following does not predict, it just responds, but we
also know the #1 ETF will not drop to #50 in one month. Things happen
gradually. We also know that things in motion tend to stay in motion.
Above strategy would require the trader to buy/sell ETFs every month to
few months to remain in the top performer.
Thoughts?
Not saying this is the Holy Grail or even a good idea, just wanted to
get some discussion going.
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Posted by G3 on May 7, 2006, 5:30 pm
read thru this site to see how it works, etc.
http://customer.wcta.net/roberty/
then go to the etf section--
http://customer.wcta.net/roberty/ETF.HTM
free site, no registration, no hype, just the momentum/volatility stats
put up by Bob.
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Posted by az21 on May 7, 2006, 8:46 pm
I use nothing but momentum investing. I only own 1 etf, GCH. All the rest is
at Profunds and in a variable annuity. I've put out a chart on the funds I
own, which are the ones in blue.
www.freewebs.com/timer-stuff
az21
.
> Wanted some opinions on the below strategy. This can be done with any
> account balance, but lets say $100,000 cash balance to start.
>
> Trader uses below data, and using "best performer for one month"
> information, keeps his 100K invested in the top 2 performing ETF's at
> all times. Trader could also use 90-day data.
>
> Trader could choose to limit his universe to whatever trading volume
> ETF, say those which trade 1M or more a day, for liquidity.
>
> SEE:
>
> http://screen.morningstar.com/etf/Lists/ETFReturns.html
>
> (sort 1-month return column)
>
> also:
>
> http://stockcharts.com/webcgi/perf....RKH,EWS,EWY,EWW
>
> (adjust scroll bar to whatever time period)
>
> As we know, trend following does not predict, it just responds, but we
> also know the #1 ETF will not drop to #50 in one month. Things happen
> gradually. We also know that things in motion tend to stay in motion.
>
> Above strategy would require the trader to buy/sell ETFs every month to
> few months to remain in the top performer.
>
> Thoughts?
>
> Not saying this is the Holy Grail or even a good idea, just wanted to
> get some discussion going.
>
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Posted by Flasherly on May 7, 2006, 9:09 pm
http@spamhole.com wrote:
> Wanted some opinions on the below strategy. This can be done with any
> account balance, but lets say $100,000 cash balance to start.
>
> Trader uses below data, and using "best performer for one month"
> information, keeps his 100K invested in the top 2 performing ETF's at
> all times. Trader could also use 90-day data.
I'm not going to look at your links - but at your idea. An idea
already in practice by a certain person in here, and implemented
through a different methodology.
Two funds - as you say. One of two funds, fund one, must best
approximate a total universe of the stock market, American, and the
second fund, also American, must represent everything that's negative
about fund one, in order to be its antithesis.
Monthly scheduled updates, good discussions - forget that. It's too
fast for all that. Trades are daily, real life, realtime, real
position, noholds guts-in-teeth trading. It's counter trading for a
contrarian position and goes head-to-head with capitalistic efficiency
theory. Timing is its model. It's also difficult to implement over a
group of conventionally adjusted traders, traders not betting against
market efficiency for a method, when someone is allowed and
comparitively incorporated, to short/long at every conceivable daily
turn of economic momentum. The mechanics of informal trading practices
appear to be too stressed for anything less than stringently apparent
bylaws with which to govern such an individual.
The mechanics of market timing may no less intense - professionally,
it's lightspeed computer datum triggers and security trading rules.
Another individual told me he believes the FED adjusts national rates
by a timing model. Whatever. Back to the first instance and individual
I mentioned. His tools for trading timed funds are two ProFund
instruments, and he uses a personal computer model to time. What I
suspect his portfolio value may have risen upwards to, since last I
looked at his home, precludes him from being an investor I should
regarded less seriously from profit endeavour - or by failings
necessarily to be put off by heresy from potential insight to
investment techniques in general. Passion for takings may personally
tax a professionalism of even the most inured investors, though, by
methods directly corresponding to how investors perceive to express
their net value.
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Posted by kaspakhine on May 8, 2006, 3:59 pm
You may want to start with some paper trading. Just set up a yahoo
portfolio, follow your signals and 'trade' accordingly. My feeling is
that
such a simple strategy will lead to large volatility. The largest
momentum
funds also tend to be a little volatile in the short term. If your
strategy
appears to be working, start with a small amount, say 5% of your
portfolio
and slowly increase the percentage as you gain more confidence.
My strategy is a little refined version of yours. Using some
computations
I rank ETFs/CEFs and stay in the top few of them. One caveat is that
I do this only with about 30-40% of my portfolio. Rest is in
buy-and-hold
mode.
Kaspa
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