Timing Breakthrough Adopted
New Timing Module Adds 2026%
To Original System
7.5 years April 26, 2002--November 30, 2009
Mostly USA ETFs Portfolio
Hypothetical--Weekly
See Important Note* below regarding the validity of this page
This updates the system described last month in System Tips. Additional back testing has been completed. The test-data sample was expanded to the earliest available date for the most recent portfolio component. Satisfactory, positive results enable the upgrade and release of the Mostly USA ETFs Portfolio from version 1.0 to version 2.0 effective November 27, 2009.
COMPLETE LIST OF TRADES
Mostly USA ETFs Portfolio
New Timing Module Results
Hypothetical
Seven Years 2002-2009
Statistics & Notes below
USA=Top 2 ETFs sshrt=Short SP500
|
Dates |
|
Switch |
|
wks |
|
cum |
exit |
|
Entry |
Exit |
to |
Entry |
Exit |
held |
%P/L |
tot% |
SP500 |
|
4/26/2002 |
5/3/2002 |
USA |
100.0 |
102.1 |
1 |
2.1 |
102 |
1084 |
|
5/3/2002 |
7/5/2002 |
sshrt |
102.1 |
120.7 |
9 |
18.3 |
121 |
989 |
|
7/5/2002 |
7/19/2002 |
USA |
120.7 |
123.7 |
2 |
2.5 |
124 |
848 |
|
7/19/2002 |
8/2/2002 |
sshrt |
123.7 |
127.1 |
2 |
2.7 |
127 |
864 |
|
8/2/2002 |
8/30/2002 |
USA |
127.1 |
128.6 |
4 |
1.3 |
129 |
916 |
|
8/30/2002 |
10/11/2002 |
sshrt |
128.6 |
153.3 |
6 |
19.2 |
153 |
835 |
|
10/11/2002 |
12/6/2002 |
USA |
153.3 |
161.0 |
8 |
5.0 |
161 |
912 |
|
12/6/2002 |
1/3/2003 |
sshrt |
161.0 |
167.7 |
4 |
4.2 |
168 |
909 |
|
1/3/2003 |
1/17/2003 |
USA |
167.7 |
165.0 |
2 |
-1.6 |
165 |
902 |
|
1/17/2003 |
2/21/2003 |
sshrt |
165.0 |
178.8 |
5 |
8.4 |
179 |
848 |
|
2/21/2003 |
3/7/2003 |
USA |
178.8 |
182.7 |
2 |
2.2 |
183 |
829 |
|
3/7/2003 |
3/21/2003 |
sshrt |
182.7 |
180.7 |
2 |
-1.1 |
181 |
896 |
|
3/21/2003 |
4/4/2003 |
USA |
180.7 |
179.5 |
2 |
-0.7 |
179 |
879 |
|
4/4/2003 |
4/11/2003 |
sshrt |
179.5 |
184.0 |
1 |
2.5 |
184 |
868 |
|
4/11/2003 |
6/27/2003 |
USA |
184.0 |
234.6 |
11 |
27.5 |
235 |
976 |
|
6/27/2003 |
7/11/2003 |
sshrt |
234.6 |
230.1 |
2 |
-1.9 |
230 |
998 |
|
7/11/2003 |
7/25/2003 |
USA |
230.1 |
232.9 |
2 |
1.2 |
233 |
999 |
|
7/25/2003 |
8/15/2003 |
sshrt |
232.9 |
248.3 |
3 |
6.6 |
248 |
991 |
|
8/15/2003 |
9/26/2003 |
USA |
248.3 |
252.3 |
6 |
1.6 |
252 |
997 |
|
9/26/2003 |
10/3/2003 |
sshrt |
252.3 |
265.7 |
1 |
5.3 |
266 |
1030 |
|
10/3/2003 |
10/17/2003 |
USA |
265.7 |
261.9 |
2 |
-1.4 |
262 |
1039 |
|
10/17/2003 |
10/31/2003 |
sshrt |
261.9 |
271.8 |
2 |
3.8 |
272 |
1051 |
|
10/31/2003 |
11/14/2003 |
USA |
271.8 |
263.6 |
2 |
-3.0 |
264 |
1050 |
|
11/14/2003 |
11/28/2003 |
sshrt |
263.6 |
258.1 |
2 |
-2.1 |
258 |
1058 |
|
11/28/2003 |
1/30/2004 |
USA |
258.1 |
277.3 |
9 |
7.5 |
277 |
1131 |
|
1/30/2004 |
2/6/2004 |
sshrt |
277.3 |
279.1 |
1 |
0.6 |
279 |
1143 |
|
2/6/2004 |
2/20/2004 |
USA |
279.1 |
279.7 |
2 |
0.2 |
280 |
1144 |
|
2/20/2004 |
3/5/2004 |
sshrt |
279.7 |
268.8 |
2 |
-3.9 |
269 |
1157 |
|
3/5/2004 |
3/12/2004 |
USA |
268.8 |
277.2 |
1 |
3.1 |
277 |
1121 |
|
3/12/2004 |
4/2/2004 |
sshrt |
277.2 |
283.3 |
3 |
2.2 |
283 |
1142 |
|
4/2/2004 |
4/16/2004 |
USA |
283.3 |
287.2 |
2 |
1.4 |
287 |
1135 |
|
4/16/2004 |
4/23/2004 |
sshrt |
287.2 |
276.6 |
1 |
-3.7 |
277 |
1141 |
|
4/23/2004 |
4/30/2004 |
USA |
276.6 |
284.7 |
1 |
2.9 |
285 |
1107 |
|
4/30/2004 |
5/28/2004 |
sshrt |
284.7 |
288.1 |
4 |
1.2 |
288 |
1121 |
|
5/28/2004 |
7/2/2004 |
USA |
288.1 |
304.9 |
5 |
5.8 |
305 |
1125 |
|
7/2/2004 |
7/30/2004 |
sshrt |
304.9 |
294.5 |
4 |
-3.4 |
294 |
1102 |
|
7/30/2004 |
8/6/2004 |
USA |
294.5 |
304.6 |
1 |
3.4 |
305 |
1064 |
|
8/6/2004 |
8/20/2004 |
sshrt |
304.6 |
307.4 |
2 |
0.9 |
307 |
1098 |
|
8/20/2004 |
9/24/2004 |
USA |
307.4 |
345.9 |
5 |
12.5 |
346 |
1110 |
|
9/24/2004 |
10/1/2004 |
sshrt |
345.9 |
351.3 |
1 |
1.5 |
351 |
1132 |
|
10/1/2004 |
10/15/2004 |
USA |
351.3 |
343.9 |
2 |
-2.1 |
344 |
1108 |
|
10/15/2004 |
10/29/2004 |
sshrt |
343.9 |
347.8 |
2 |
1.1 |
348 |
1130 |
|
10/29/2004 |
1/7/2005 |
USA |
347.8 |
343.8 |
10 |
-1.2 |
344 |
1186 |
|
1/7/2005 |
2/4/2005 |
sshrt |
343.8 |
353.9 |
4 |
2.9 |
354 |
1203 |
|
2/4/2005 |
2/18/2005 |
USA |
353.9 |
365.6 |
2 |
3.3 |
366 |
1202 |
|
2/18/2005 |
2/25/2005 |
sshrt |
365.6 |
371.4 |
1 |
1.6 |
371 |
1211 |
|
2/25/2005 |
3/11/2005 |
USA |
371.4 |
359.4 |
2 |
-3.2 |
359 |
1200 |
|
3/11/2005 |
4/8/2005 |
sshrt |
359.4 |
342.2 |
4 |
-4.8 |
342 |
1181 |
|
4/8/2005 |
4/15/2005 |
USA |
342.2 |
353.4 |
1 |
3.3 |
353 |
1143 |
|
4/15/2005 |
4/29/2005 |
sshrt |
353.4 |
357.9 |
2 |
1.3 |
358 |
1157 |
|
4/29/2005 |
5/13/2005 |
USA |
357.9 |
341.7 |
2 |
-4.5 |
342 |
1154 |
|
5/13/2005 |
5/20/2005 |
sshrt |
341.7 |
356.3 |
1 |
4.3 |
356 |
1189 |
|
5/20/2005 |
6/24/2005 |
USA |
356.3 |
370.1 |
5 |
3.9 |
370 |
1201 |
|
6/24/2005 |
7/8/2005 |
sshrt |
370.1 |
378.4 |
2 |
2.2 |
378 |
1212 |
|
7/8/2005 |
8/5/2005 |
USA |
378.4 |
402.3 |
4 |
6.3 |
402 |
1226 |
|
8/5/2005 |
9/2/2005 |
sshrt |
402.3 |
418.3 |
4 |
4.0 |
418 |
1218 |
|
9/2/2005 |
9/23/2005 |
USA |
418.3 |
415.7 |
3 |
-0.6 |
416 |
1215 |
|
9/23/2005 |
9/30/2005 |
sshrt |
415.7 |
383.1 |
1 |
-7.8 |
383 |
1229 |
|
9/30/2005 |
10/7/2005 |
USA |
383.1 |
393.3 |
1 |
2.7 |
393 |
1196 |
|
10/7/2005 |
10/28/2005 |
sshrt |
393.3 |
410.1 |
3 |
4.3 |
410 |
1198 |
|
10/28/2005 |
12/9/2005 |
USA |
410.1 |
446.5 |
6 |
8.9 |
446 |
1259 |
|
12/9/2005 |
12/16/2005 |
sshrt |
446.5 |
455.7 |
1 |
2.1 |
456 |
1267 |
|
12/16/2005 |
12/30/2005 |
USA |
455.7 |
455.0 |
2 |
-0.2 |
455 |
1248 |
|
12/30/2005 |
1/6/2006 |
sshrt |
455.0 |
468.1 |
1 |
2.9 |
468 |
1285 |
|
1/6/2006 |
1/20/2006 |
USA |
468.1 |
478.6 |
2 |
2.3 |
479 |
1261 |
|
1/20/2006 |
1/27/2006 |
sshrt |
478.6 |
469.2 |
1 |
-2.0 |
469 |
1284 |
|
1/27/2006 |
2/10/2006 |
USA |
469.2 |
452.1 |
2 |
-3.6 |
452 |
1267 |
|
2/10/2006 |
2/17/2006 |
sshrt |
452.1 |
466.7 |
1 |
3.2 |
467 |
1287 |
|
2/17/2006 |
3/3/2006 |
USA |
466.7 |
469.4 |
2 |
0.6 |
469 |
1287 |
|
3/3/2006 |
3/17/2006 |
sshrt |
469.4 |
475.5 |
2 |
1.3 |
475 |
1307 |
|
3/17/2006 |
3/31/2006 |
USA |
475.5 |
491.0 |
2 |
3.3 |
491 |
1295 |
|
3/31/2006 |
4/21/2006 |
sshrt |
491.0 |
485.9 |
3 |
-1.0 |
486 |
1311 |
|
4/21/2006 |
5/12/2006 |
USA |
485.9 |
499.2 |
3 |
2.7 |
499 |
1291 |
|
5/12/2006 |
5/26/2006 |
sshrt |
499.2 |
516.3 |
2 |
3.4 |
516 |
1280 |
|
5/26/2006 |
6/9/2006 |
USA |
516.3 |
482.9 |
2 |
-6.5 |
483 |
1252 |
|
6/9/2006 |
6/23/2006 |
sshrt |
482.9 |
510.2 |
2 |
5.7 |
510 |
1245 |
|
6/23/2006 |
7/14/2006 |
USA |
510.2 |
506.8 |
3 |
-0.7 |
507 |
1236 |
|
7/14/2006 |
7/28/2006 |
sshrt |
506.8 |
505.3 |
2 |
-0.3 |
505 |
1279 |
|
7/28/2006 |
8/11/2006 |
USA |
505.3 |
508.8 |
2 |
0.7 |
509 |
1267 |
|
8/11/2006 |
8/18/2006 |
sshrt |
508.8 |
508.7 |
1 |
0.0 |
509 |
1302 |
|
8/18/2006 |
9/15/2006 |
USA |
508.7 |
472.1 |
4 |
-7.2 |
472 |
1320 |
|
9/15/2006 |
9/22/2006 |
sshrt |
472.1 |
478.1 |
1 |
1.3 |
478 |
1315 |
|
9/22/2006 |
11/3/2006 |
USA |
478.1 |
492.2 |
6 |
2.9 |
492 |
1364 |
|
11/3/2006 |
11/10/2006 |
sshrt |
492.2 |
505.3 |
1 |
2.7 |
505 |
1381 |
|
11/10/2006 |
12/1/2006 |
USA |
505.3 |
499.7 |
3 |
-1.1 |
500 |
1397 |
|
12/1/2006 |
12/8/2006 |
sshrt |
499.7 |
504.5 |
1 |
1.0 |
505 |
1410 |
|
12/8/2006 |
12/22/2006 |
USA |
504.5 |
496.1 |
2 |
-1.7 |
496 |
1411 |
|
12/22/2006 |
1/12/2007 |
sshrt |
496.1 |
483.6 |
3 |
-2.5 |
484 |
1431 |
|
1/12/2007 |
1/26/2007 |
USA |
483.6 |
482.8 |
2 |
-0.2 |
483 |
1422 |
|
1/26/2007 |
2/2/2007 |
sshrt |
482.8 |
480.8 |
1 |
-0.4 |
481 |
1448 |
|
2/2/2007 |
3/2/2007 |
USA |
480.8 |
483.2 |
4 |
0.5 |
483 |
1387 |
|
3/2/2007 |
3/16/2007 |
sshrt |
483.2 |
497.7 |
2 |
3.0 |
498 |
1387 |
|
3/16/2007 |
6/8/2007 |
USA |
497.7 |
551.4 |
12 |
10.8 |
551 |
1508 |
|
6/8/2007 |
6/15/2007 |
sshrt |
551.4 |
550.6 |
1 |
-0.1 |
551 |
1533 |
|
6/15/2007 |
6/29/2007 |
USA |
550.6 |
539.0 |
2 |
-2.1 |
539 |
1503 |
|
6/29/2007 |
7/6/2007 |
sshrt |
539.0 |
546.3 |
1 |
1.4 |
546 |
1530 |
|
7/6/2007 |
7/20/2007 |
USA |
546.3 |
560.0 |
2 |
2.5 |
560 |
1534 |
|
7/20/2007 |
8/10/2007 |
sshrt |
560.0 |
587.4 |
3 |
4.9 |
587 |
1454 |
|
8/10/2007 |
9/7/2007 |
USA |
587.4 |
637.1 |
4 |
8.5 |
637 |
1454 |
|
9/7/2007 |
9/14/2007 |
sshrt |
637.1 |
670.3 |
1 |
5.2 |
670 |
1484 |
|
9/14/2007 |
10/19/2007 |
USA |
670.3 |
675.1 |
5 |
0.7 |
675 |
1501 |
|
10/19/2007 |
11/2/2007 |
sshrt |
675.1 |
645.4 |
2 |
-4.4 |
645 |
1510 |
|
11/2/2007 |
11/9/2007 |
USA |
645.4 |
669.3 |
1 |
3.7 |
669 |
1454 |
|
11/9/2007 |
11/30/2007 |
sshrt |
669.3 |
700.4 |
3 |
4.6 |
700 |
1481 |
|
11/30/2007 |
12/14/2007 |
USA |
700.4 |
709.4 |
2 |
1.3 |
709 |
1468 |
|
12/14/2007 |
12/28/2007 |
sshrt |
709.4 |
666.8 |
2 |
-6.0 |
667 |
1478 |
|
12/28/2007 |
1/4/2008 |
USA |
666.8 |
697.0 |
1 |
4.5 |
697 |
1412 |
|
1/4/2008 |
2/1/2008 |
sshrt |
697.0 |
718.3 |
4 |
3.1 |
718 |
1395 |
|
2/1/2008 |
2/8/2008 |
USA |
718.3 |
751.3 |
1 |
4.6 |
751 |
1331 |
|
2/8/2008 |
2/22/2008 |
sshrt |
751.3 |
751.9 |
2 |
0.1 |
752 |
1353 |
|
2/22/2008 |
2/29/2008 |
USA |
751.9 |
764.3 |
1 |
1.7 |
764 |
1331 |
|
2/29/2008 |
3/20/2008 |
sshrt |
764.3 |
810.8 |
3 |
6.1 |
811 |
1330 |
|
3/20/2008 |
5/9/2008 |
USA |
810.8 |
879.2 |
7 |
8.4 |
879 |
1388 |
|
5/9/2008 |
5/16/2008 |
sshrt |
879.2 |
851.9 |
1 |
-3.1 |
852 |
1425 |
|
5/16/2008 |
5/23/2008 |
USA |
851.9 |
881.4 |
1 |
3.5 |
881 |
1376 |
|
5/23/2008 |
7/18/2008 |
sshrt |
881.4 |
936.0 |
8 |
6.2 |
936 |
1261 |
|
7/18/2008 |
8/1/2008 |
USA |
936.0 |
940.4 |
2 |
0.5 |
940 |
1260 |
|
8/1/2008 |
8/8/2008 |
sshrt |
940.4 |
945.3 |
1 |
0.5 |
945 |
1296 |
|
8/8/2008 |
8/22/2008 |
USA |
945.3 |
927.7 |
2 |
-1.9 |
928 |
1292 |
|
8/22/2008 |
9/19/2008 |
sshrt |
927.7 |
966.6 |
4 |
4.2 |
967 |
1255 |
|
9/19/2008 |
9/26/2008 |
USA |
966.6 |
999.0 |
1 |
3.4 |
999 |
1213 |
|
9/26/2008 |
10/31/2008 |
sshrt |
999.0 |
1304.6 |
5 |
30.6 |
1305 |
969 |
|
10/31/2008 |
11/14/2008 |
USA |
1304.6 |
1359.9 |
2 |
4.2 |
1360 |
873 |
|
11/14/2008 |
11/28/2008 |
sshrt |
1359.9 |
1468.6 |
2 |
8.0 |
1469 |
896 |
|
11/28/2008 |
12/12/2008 |
USA |
1468.6 |
1489.2 |
2 |
1.4 |
1489 |
880 |
|
12/12/2008 |
12/19/2008 |
sshrt |
1489.2 |
1477.9 |
1 |
-0.8 |
1478 |
888 |
|
12/19/2008 |
12/26/2008 |
USA |
1477.9 |
1503.0 |
1 |
1.7 |
1503 |
873 |
|
12/26/2008 |
1/2/2009 |
sshrt |
1503.0 |
1470.4 |
1 |
-2.2 |
1470 |
932 |
|
1/2/2009 |
1/16/2009 |
USA |
1470.4 |
1557.5 |
2 |
5.9 |
1557 |
850 |
|
1/16/2009 |
2/6/2009 |
sshrt |
1557.5 |
1588.6 |
3 |
2.0 |
1589 |
869 |
|
2/6/2009 |
2/13/2009 |
USA |
1588.6 |
1665.0 |
1 |
4.8 |
1665 |
827 |
|
2/13/2009 |
3/13/2009 |
sshrt |
1665.0 |
1960.3 |
4 |
17.7 |
1960 |
757 |
|
3/13/2009 |
5/15/2009 |
USA |
1960.3 |
2060.7 |
9 |
5.1 |
2061 |
883 |
|
5/15/2009 |
5/29/2009 |
sshrt |
2060.7 |
2161.7 |
2 |
4.9 |
2162 |
919 |
|
5/29/2009 |
6/19/2009 |
USA |
2161.7 |
2072.1 |
3 |
-4.1 |
2072 |
921 |
|
6/19/2009 |
7/17/2009 |
sshrt |
2072.1 |
2269.7 |
4 |
9.5 |
2270 |
940 |
|
7/17/2009 |
9/4/2009 |
USA |
2269.7 |
2276.0 |
7 |
0.3 |
2276 |
1016 |
|
9/4/2009 |
9/11/2009 |
sshrt |
2276.0 |
2315.9 |
1 |
1.7 |
2316 |
1043 |
|
9/11/2009 |
9/25/2009 |
USA |
2315.9 |
2316.4 |
2 |
0.0 |
2316 |
1044 |
|
9/25/2009 |
10/9/2009 |
sshrt |
2316.4 |
2346.9 |
2 |
1.3 |
2347 |
1071 |
|
10/9/2009 |
10/23/2009 |
USA |
2346.9 |
2352.2 |
2 |
0.2 |
2352 |
1080 |
|
10/23/2009 |
11/6/2009 |
sshrt |
2352.2 |
2434.4 |
2 |
3.5 |
2434 |
1069 |
|
11/6/2009 |
|
USA |
2434.4 |
open |
|
|
|
|
Notes & Statistics
Compound average return 53% per year
Position still open as of 12/4/2009
Average holding period 3 weeks
Average profit per trade 4.3%
Average loss per trade -2.5%
Wins 7.2 out of 10 trades
Profit factor 4.44
Biggest win 30.6%
Largest loss -7.8%
4-week max string of losses -4.7%
Worst drawdown -9.0%
Average 19 trades per year
Succeeding trades will be posted
on the Real-time Returns page
The development of this version of Mostly USA ETFs is described here.
The price of higher profits and lower risk is increased trading.
A chart of trade frequency is here**. The volatility component which the new timing module identifies is here.
An unexpected benefit of the upgrade lies in the realm of stop-loss usage. Long-term subscribers know that I do not advocate their use. However, I know that some (or many?) do, with satisfactory results. The low levels of reported v.2.0 'realized' losses suggest a possible strategy of using your own placed stop-loss just below the seven-and-a-half record level of the system, -7.8%. Put yours, say, at -8 or -9%, or so. That way, you will be operating close to system parameters and presumably get closer to system results--whatever they may turn out to be--than otherwise.
Every system has caveats. All systems undergo periods of poor relative performance. In the current case, please note the 25-week period from August '06 through January 07. The system results are down a benign -5.5%. That's tolerable. But when you notice that the S&P500 is up +11% during the same period, your unhappiness may overcome your prudent patience, and you throw in the towel just before the great two-year leap ahead.
** This version of the system is much more active than the previous one, a characteristic I personally do not like. But clearly: If leverage is the father of profits, a high repetition count is their mother.
*Note After publication, I discovered that several weeks of corrupt, early, historical S&P index data had been used in development. This affected final outcome statistics, rendering them invalid. The process, however, is valid and in current use.
Why do I acknowledge this and not just remove this page from the website? Because these are 'experimental notes to myself.' I prefer that you, the reader, should be as aware of flaws as I am, should any occur.
Written
11/24 to 12/6/2009
Posted
12/6/2009 11:46 a.m. ET
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