IMPORTANT NOTE:
In the process of performing system maintenance on July 3rd, the system suffered a complete system hard drive failure,
which took the server down through late July 4th. Fortunately, complete backup files were available, but still it took
until late on the 4th to physically replace the hard drive, replicate the operating system, and restore the data... we
hope your holiday weekend has been more enjoyable!
Although all Strategies were restored, there is one technical anomaly you may notice. A few Strategies may have generated a
new trade alert. Here is the reason why: Unfortunately, historical fund data is not set in stone and can be adjusted over
time when stocks or funds make accounting adjustments at some later time. Normally, these adjustments are of no consequence
because we freeze history over 5 days old. However, in this kind of restore, the complete trading history is recreated from
scratch, and if the history of any of the candidate funds was changed even a tiny bit for any reason at all, it could result in
a different momentum leader at some point, which then can affect the progressive tuning and, in the end, produce a different
selection for July.
While this may sound terrible, it is not. It just means there is more than one sequence of selections that produces very
similar results. Here is what to do: (A) just ignore the new trade alert and click the red Acknowledge Trade button and
sync up next month, or (B) make the new trade to sync up now and then click the red Acknowledge Trade button.
Please contact me should you have any further questions at sjuds@sumgrowth.com
Have a great holiday weekend,
Scott Juds
Market Direction/Sentiment Indicators Daily Charts, Data
Download, and Performance Comparison
Introduction
There's no shortage of
Market Indicators
available online — all intended to reveal important
characteristics of the market to help you make better
investment decisions. Although their documentation
generally includes descriptions teaching the
proper interpretation and use, actual trading examples
are generally quite limited and virtually never show
trading proficiency over long periods of time. However,
occasionally a technical author will seriously put an
indicator to test, as was done by (1) Rob Hanna in "A Look At The S&P 500 Death Cross"
where his tests of the famously hated
Death Cross Indicator
show it has
erratically poor performance, and (2) Steve LeCompte in
"AAII
Investor Sentiment as a Stock Market Indicator" where tests of the
AAII
Sentiment Survey shows it has great hindsight
correlation, but is
negatively correlated to future returns.
This page was designed to provide (a) daily charts for
nine of the better market direction indicators and (b)
provide comparative testing of them over multiple
decades and three different asset class strategies.
While some of these indicators are available through
AlphaDroid's StormGuard option, others are included
only
because of their notoriety, in spite of their relatively
marginal
performance. While these indicators were designed to
measure and react to the market in different ways (such
as maximum return, maximum safety, quick reaction,
momentum, breadth, or highs/lows) none of
them come
close to the performance provided by
StormGuard-Armor!
• StormGuard-Armor:
Adds volume, highs/lows and fuzzy logic analysis to StormGuard-Standard.
SG
triggers month-end only. • StormGuard-AQR:
Same as StormGuard-Standard with a 3x acceleration when
rebounding from a crash. SG triggers any day. • StormGuard-Standard:
Double EMA 50-day of daily returns (x21), offset by .55%.
SG triggers month-end only.
• Market Momentum:
A component of StormGuard-Armor.
Double EMA 50-day of daily returns, modified by
relative daily volume. • Value
Sentiment:
A component of StormGuard-Armor. Double EMA 15-day of ratio
adjusted new highs and new lows. • Death
Cross 50/200:
The classic S&P500 SMA 50/200-day price crossover going
down or up. SG triggers month-end only.
• Dr. Don's Double Cross:
The EMA 75/300-day crossover for market exit, and the
50/200-day for entry. SG triggers month-end only.
•
McClellan AD Oscillator:The difference
between the EMA-19d and EMA-39d of the ratio adjusted
(RA) NYSE advances - declines. • Delta Market Sentiment:The position of ~3,600 stocks relative to a
medium-term moving average. SG triggers month-end
only.
In the table and charts
below, the performance of seven market direction
indicators is evaluated for each of three major
classifications of ETFs (broadly diversified, US sectors
and world regions). The market direction indicator
determines whether it is a bull market (risk-on) or a
bear market (risk-off). During a bull market the
Strategy selects the trend leader to own at the end of
each month from among the Strategy's candidate ETFs.
During a bear market, the Strategy will either move to
the safety of CASH or alternatively own a long-term
treasury ETF, depending on its configuration.
Performance for both of these Bear Market Strategy
configurations is detailed below. Please review the
Bear Market Strategies page for a
discussion on how hindsight selection bias can be
avoided during bear markets using a well-designed
Strategy that selects from a diverse set of asset
classes that often (but not always) do well during a
market crash.
• US Diversified ETFs Strategy
True Sector Rotation Strategy using IVE, IVV,
IVW, IWB, IWV, RSP, SPY, SPYG, MDYG and MDY.
(TLH bear symbol)
Notice: Your use of this site is
considered evidence that you accept our Terms of Use and Privacy
Policy, and is considered equivalent to your signature.
AlphaDroid, True Sector Rotation, StormGuard, SwanGuard, Polymorphic
Momentum and Temporal Portfolio Theory are registered trademarks of SumGrowth, Inc. All materials copyrighted 2014
SumGrowth, Inc. AlphaDroid's
automated investment analysis tool provides no financial investment advice specific to
anyone's life situation. SumGrowth, Inc. is not a
registered investment
advisor.
