Friday, February 12, 2016

Model Pushes Utilities To The Bottom

Yahoo
Symbol
Tue 16 Wed 17 Thu 18 Fri 19 Mon 22 Average VSD
^HUI -0.82% 1.02% 5.32% 3.53% 6.34% 3.08%
^XAU -0.50% 0.40% 2.85% 2.57% 3.28% 1.72%
^IXTC -0.05% 0.53% 4.12% 3.70% -1.98% 1.26%
^IXCO 0.09% 0.64% 0.65% 1.90% -1.47% 0.36%
^TRAN 0.37% 1.10% -0.30% 0.81% -0.91% 0.21%
^INDS 0.49% 0.80% 1.65% -0.27% -2.20% 0.09%
^HGX -0.95% 0.41% 2.96% -0.52% -2.99% -0.22%
^GSPC 0.37% 0.97% 0.87% -0.08% -3.23% -0.22%
^XNG 0.36% 1.51% 1.38% -0.47% -4.01% -0.25%
^RUT 0.50% 0.62% 0.79% -0.03% -3.29% -0.28%
^IXIC -0.09% 0.67% 0.27% -0.16% -2.43% -0.34%
^INSR -0.62% -0.22% -0.26% -1.32% -1.31% -0.75%
^NBI -0.76% -0.53% 0.99% 0.63% -6.55% -1.24%
^XOI -0.49% 0.52% -4.52% 0.46% -2.53% -1.31%
^UTY -0.52% -1.18% -2.61% -2.23% -3.05% -1.92%

Top 10 Positive Moving Leveraged ETFs.

Symbol Tue 16 Wed 17 Thu 18 Fri 19 Mon 22 Average VSD
NUGT 1.49% 3.83% 17.41% 9.43% 12.79% 8.99%
BZQ 3.17% 4.79% 2.99% 6.10% 15.57% 6.53%
dwti* 1.21% 4.89% -0.81% 5.83% 19.93% 6.21%
DGAZ -2.11% 7.76% 10.59% 13.27% 1.37% 6.18%
KOLD -2.35% 1.98% 7.02% 6.04% 5.65% 3.67%
JNUG -2.42% -5.40% 20.24% -4.08% 9.83% 3.64%
AGQ -2.28% -0.43% 4.37% 4.99% 9.50% 3.23% >
RETL 0.74% 2.72% -2.86% 12.02% 2.83% 3.09%
TQQQ 1.05% 4.46% 4.99% 4.95% -0.09% 3.07%
UGLD -1.25% -0.21% 3.26% 1.36% 8.47% 2.33%

2 comments:

douglas gammons said...

Hi, have you done any research on how well this model has performed?

usacoder said...

Yes I have. I back test only to get the correct direction (e.g. if the guess is positive and the expected result is positive...) The numbers tend to be around 60%. Here's a test run for the SP500

Symbol Days Out Error Rate Positive Directory Correct Error Rate Negative Direction Correct
^GSPC 1 0.00898 52.57% 0.00965 46.23%
^GSPC 2 0.00935 70.32% 0.01058 66.83%
^GSPC 3 0.00912 78.23% 0.01083 74.45%
^GSPC 4 0.00934 78.70% 0.01118 78.81%
^GSPC 5 0.00913 82.15% 0.01197 81.13%