3309 Drysdale Ct
Edwardsville, IL 62025
regarding the reversion to mean systems I said last week that I
was looking to add these systems to a collective group of ETF's
instead of just SPY.
As I stated this is a big project to do, adding all these sub
systems to each of these ETF's will take a long time to test. Over
the weekend I've tested the Bear Long sub system to most of these,
but you can see how many more systems I have left, again it's going
to take a month or two in order to complete this; for example it's
taking since Friday through the weekend just to do the Bear Long
tests with my computer running all day and night, big project. Then
of course I have to see how much overlap there is, for example on a
pullback in an uptrend I really don't want 10 or 15 of the ETF's to
trigger long at once, ideally a few would at most, but we'll have
to see how the data looks as I get more of it.
Anyway this is the list of ETF's I'm looking out. I also threw
in EEM and IWM index ETF's. I may consider GLD and FXE and maybe
TLT as well as those are pretty uncorrelated
I would like to see GLD in your R2M system.
Thanks for the innovation and hard work, Matt. Those
should be very useful. I know there are scope creep
concerns, and this usually has high correlation with the S&P
500 (I believe), but DM ex-U.S. (e.g., VEA or SPDW) /or its two
main constituents, Europe (e.g., FEZ) and Japan (e.g., EWJ) would
be interesting, at least to me. That, along with EEM, would
cover most of the world. I remember that rundown you did of
all the country / regional ETFs and it was interesting.
Here's an updated table, this is the ETF's I'm testing, at the
bottom you can see 'other' which are non correlated to the general
been working on these, mostly done with one sub system LOL.
So much more to go
anyway the bottom ETF's are pretty non correlated to the index
and sector ETF's.
looks like there would have been a FXE Euro reversion to mean
trade last week.
trying to get the bear long finished on GLD, tough to get good
numbers on that ETF
Thanks, I like some of those like FEZ makes sense, SPDW and VEA
interesting. Though I"m trying to stick with ETF's with data back
as far as possible
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