http://www.etftrends.com/forum/ Keeping a grip on exchange-traded funds (ETFs) en Sat, 26 May 2012 14:49:51 +0000 http://www.etftrends.com/forum/topic/etf-trading-strategies#post-45 Tue, 31 Mar 2009 02:21:58 +0000 paulo.rego 45@http://www.etftrends.com/forum/ <p>RickT,</p> <p>The goal of this forum, an this particular post, is to share your strategies. You were very king to share it with us, but maybe your are kind enought to specify it a bit further (maybe some algorithm), or, at last, give us some examples of profits. </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-43 Thu, 26 Mar 2009 14:56:23 +0000 RickT 43@http://www.etftrends.com/forum/ <p>Thank you for a thorough answer. I am developing a fully automated system that tells me what to buy and sell based on the criteria. I am almost there. </p> <p>Currently, once I have analyzed my universe of ETF's to find the current buy/sell/hold candidates, I optimize my portfolio using a semi-variance methodology which is supposed to give me the best bang for the buck across the entire portfolio. This methodology can be looked up online as 'post modern portfolio theory'. The inputs to this methodology are the daily growth over the previous 50 days and the semi co-variance of that growth across all candidates. This area of optimization was the target of my question.</p> <p>The analysis itself consists of several trend following and reversion strategies. Currently in use are uptrending price channels, 50 day simple moving average, my homegrown automated trendlines system, a 2 period RSI strategy, and a simple reverse price channel that buys on pullbacks. And, some are filtered by the 200 day moving average and all are filtered by volume. They all find their candidates independently of one another. Sometimes there are overlaps and sometimes not. Every day I analyze 736 ETF's which are reduced to about 36 new buy and a larger number of subsequent buy candidates. A new buy is a buy of a security not currently owned while a subsequent buy is the additional purchase of one currently owned. The optimization method that I mentioned as well as my risk and portfolio management routines further reduces those to maybe a couple.</p> <p>I had been having trouble with my exit strategies, but I think I have that all worked out now. The last part is to research if there is a better optimization method than what I currently use. Hence my question.</p> <p>I am neither an investor nor a trader. I will hold a security until my system says to sell it. That could be a couple of days to months or longer. My risk management is sound as are the algorythms I use to determine how much to buy at any time. </p> <p>I apologize for being long winded presenting an outline of my strategies, but I could talk about this system for hours. </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-42 Thu, 26 Mar 2009 07:13:44 +0000 Donato 42@http://www.etftrends.com/forum/ <p>In the end, only you can decide where to put your money, especially since only you know your strategy. But I might be able to offer some ideas for you to consider.</p> <p>1) Which securities fit your strategy better, with less qualifications; which ones are easier to get into and out of when your strategy makes an indication to do so?</p> <p>2) If you're using technicals to pick your equities, look at the fundamentals. And vice versa.</p> <p>3) Are you "investing" or trading? Or, how long do you plan to own the security? Are you in front of the computer watching the movement all day, only the daily closing price, or just the weekly? Put your money where you can properly manage it with the time you have.</p> <p>4) If trading, what is the spread between the bid and the ask? Less is generally better, be sure to adjust for price; for example one cent on a fifteen dollar fund is the same as four cents on a sixty dollar fund.</p> <p>5) Volatility. What is your tolerance threshold? Are opening gaps common? Pick securities with a lower daily ATR (average true range) if you start sweating when the direction turns on you. Which securities have trend lines that are smoother, more consistent, and last longer?</p> <p>6) Understand tax implications. Some ETF's get better treatment by the IRS, like ETF's based on indexes, commodities, and futures (I think). Learn and understand the wash rule.</p> <p>That ought to give you some food for thought. Now, of course, we're all curious . . . What is your strategy? </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-41 Thu, 26 Mar 2009 05:01:33 +0000 RickT 41@http://www.etftrends.com/forum/ <p>The amount of money that I have to trade/invest is not infinite and the strategies that I use all seem to pick winners. However, the problem as I see it is not the basic strategy itself but rather when you have several securities that pass the strategy criteria, how do you choose which one to buy. </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-38 Thu, 19 Mar 2009 03:21:25 +0000 paulo.rego 38@http://www.etftrends.com/forum/ <p>Sunny and others,</p> <p>My strategy is to backtest the rules and let ProRealTime optimize the EMA period and the take profit percentage for the last year, and then, use those values and wait the entry and exit signs. Just to give you some numbers, if you had followed that strategy for the last year, the return would have be: SKF(327%), FXP(78%), SDS(88%), QID(16%), BXX.PA(272%), BX4.PA(154%). I always track the trackETF and the inverseETF, so using the same strategy and same periods and profit taking strategy you have: UYG(-21%), FXI(-34%), SSO(-19%), QLD(-25%), LXX(-33%), L40(-24%). So you can sum both track and inverse ETF and get you global profit. This strategy does not use the conservative "and EMA5 greater than EMA200". If you have further questions and want to discuss them in private you can contact me on <a href="mailto:paulo.rego@gmail.com">paulo.rego@gmail.com</a> </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-37 Tue, 17 Mar 2009 07:40:44 +0000 sunnyday 37@http://www.etftrends.com/forum/ <p>Ooops, forgot to sign my previous message. I was the one that asked for the time frame of the strategy you used.<br /> ~Sunnyday </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-36 Tue, 17 Mar 2009 07:38:34 +0000 sunnyday 36@http://www.etftrends.com/forum/ <p>Paulo,</p> <p>I want to look into your strategy. But what time frame do you use? thanks in advance. </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-33 Fri, 13 Mar 2009 11:46:26 +0000 Johnni 33@http://www.etftrends.com/forum/ <p>Paulo,</p> <p>Are you aware of the Dynamic Core-Satellite methodology? (Below I attach a survey from Edhec, that describe it and has example of an absolute return strategy using ETFs on page 59)<br /> The point of this mechanical allocation methodology, is that it produces a positive skewed return distribution.<br /> I realize this may not be exactly what you was looking for, but I believe it is a valid foundation, on top of what you can develop your timming methodology.</p> <p><a href="http://www.edhec-risk.com/site_edhecrisk/public/features/RISKArticle.2008-07-23.0926" rel="nofollow">http://www.edhec-risk.com/site_edhecrisk/public/features/RISKArticle.2008-07-23.0926</a> </p> <p>Johnni<br /> <a href="http://johnninielsen.wordpress.com/" rel="nofollow">http://johnninielsen.wordpress.com/</a> </p> http://www.etftrends.com/forum/topic/etf-trading-strategies#post-29 Thu, 12 Mar 2009 07:35:56 +0000 paulo.rego 29@http://www.etftrends.com/forum/ <p>Following the trend is for sure one of the best ways to profit on ETF trading, but how to understand the signs. Maybe that's time to share our strategies and do not be shy to publish them. Here is mine: BUY when EMA5 crosses over EMA40 with a little of personal trend analysis. SELL when profit reaches 30% or stoploss at 8%. If you are much conservative, add "and EMA5 greater than EMA200" to the buy signal. Be sure to fell confortable with your strategy, maybe by backtesting it extensibly, and stick to it, until you find a better one. </p>