mojoDallas (< 20)

My Current Investment Strategy

June 05, 2011 – Comments (2) | RELATED TICKERS: DIG , SPY , GLD

This year (i.e. the last 5 months) I have took a new approach to investing.  I have only been trading using ETFs. 

The basic approach came out of a set of studies done using historical data and Amibroker Technical Indiactors.  The idea was to be in the market either short or long on a number of different parts of the economy.  A mix of diversification, timing and being able to bet for or against an economic sector I found appealing.  I looked at a great number of potential asset classes represented by ETFs and narrowed it down to the following ten classes.  These classes I invest in utilizing fairly simple technical indicators (MACD and EMA45 crossovers) for buy/short timing signals. I utilize medium length timing as all my studies were based on weekly averages that I adjust every Monday and in some cases utilize Stops.  My study period was 2008 - 2010.  Here is my current strategy by asset class:

Oil: DIG (long) and DUG (short) as a proxy for oil.  I realize that it doesn't follow the crude oil price, but, it does tend to trend very well.  MACD with No Stops.  Study showed a three year 201% ROI.

Stocks: SPY (long) and SH (short) for Stocks.  MACD with 2% Stops.  Study showed a three year 58% return.

US Dollar: UUP (long) and UDN (short).  MACD with No Stops.  Study showed a three year 21% return.

Gold:  GLD (long) and DGZ (short).  Though the way things have gone this year, I haven't shorted gold yet.  EMA45 with No Stops.  Study showed a three year 80% return.

Real Estate:  VNQ (long) and SRS (short).  MACD with 2% Stops.  Study showed a three year 75% return.

International Stocks: EEM (long) and EUM (short).  MACD with No Stops.  Study showed a three year 80% return.   

Consumer Goods:  UGE (long) and SZK (short).  EMA45 with No Stops.  Study showed a three year 127% return.

Technology: ROM (long) and REW (short).  MACD with No Stops.  The study showed 145% return.

Basic Materials: UYM (long) and SMN(short).  MACD with No Stops.  The study showed a 179% return.

20 Year Treasuries: UBT (long) and TBF (short).  MACD with No Stops.  There has not been enough data since TBF is so new, so, I am taking a chance on this without a study.

So, how am I doing this year.  Not bad, but, not great.  I am up on the S&P 500 by about 3%.  Athough my volatility is not as great as the S&P.  I am sticking with it, as among other things my trading costs have been down versus what I had been doing.