I am not yet officially bearish, but I am near to it. Neither breadth nor volume is confirming this latest rally, and while we could certainly see new highs, any stalling or consolidation is likely to lead to a small to moderate correction. Most traders are sitting on decent profits for the year, seasonality is looming large, and I get the sense that there is a skittishness developing. Failure to make definitive new highs I believe will push skittish traders into the fearful category.
All that being said, it is nice to have a quiver of setups in a confirmed downtrend to jump on when the time is right. I have linked each symbol for ease of analysis.
Hi Wood:
I have been a reader of your blog for a long time.
I am starting a research project on trading Fidelity sector funds. Can you post a performance update containing annual returns as well as performance stats on you latest model, so I will know if I am getting a good result.
I know your ranking model is proprietary. Is it possible to send me your Amibroker code net of anything proprietary?
It looks like you force the system to hold for 30 days but can sell/rebalance after the 30 day period is up. Getting some good rotational code will save me many hours of frustration.
Thanks for your help and your excellent blog.
John
John, in Amibroker formula language, rotational code is very, very simple.
If you are using Amibroker, then I will send you some basic rotational code, but you should know that there is some automatically included with the software.
I do force the system to hold each for at least 30 calendar days, but that is because there is a 0.75% fee if it is sold before the 31st day, per Fidelity.
Thanks for your comment, and I’m very glad you are enjoying the blog. I’ll post a system update, soon.
I am lax in not posting this link:
http://dynamichedge.com/2013/04/05/mamox-rolling-over/
This model (apparently) looks at bond vs stock returns and decides whether stocks are a good investment based on historical data. The model is very close to flipping to bearish on stocks. It doesn’t switch very often, and it would be unusual for it to recover. Just one more negative for a market that continues to make new highs.
Thanks my friend! I will certainly take a look at it.