Contents of TR-INI57.ZIP

This file includes:

ndxsig.ini (redo), Terry Steffen , 12/07/2008, Here's a redo of old quickie zero-delay signal for trading the Q's. It bought on Friday and it's 7 for 10 so far this year. It does OK back to '03 but this shows only the best years.

nochange.ini, Harry Larson , 12/08/2008, Here is a little script that will scan the ft database and make a family of funds that have not changed in price for three days. This might give you a heads up before ft removes discontinued funds and prevent you from using flat-lined funds in any further analysis.

com.ini, Joel Williams , 12/12/2008, This is the best Joel has been able to do trading commodities. Not bad results, but he does not like the drawdown. Still, it is the nature of the beast to be volatile.

etflist50update.ini, Mark Keitel , 12/13/2008, Mark ran through the ETF's again and updated the ETF50 list. This will make a ETF family for you with ETF's that have an average volume of 50,000 or more average over the last 14 days.

rsi2.ini, Terry Steffen , 12/17/2008, Here's a strategy that scales in and out of long and short positions based on RSI levels. The results use 2x S&P500 funds and the MDD is high. The idea comes from a Blog to which you can find the link in the file. The details are also in the file on top. Perhaps someone from Las Vegas can improve on it. .

gold2.ini (revised), Terry Steffen , 12/29/2008, Gold is up 2% tonight because of the Middle East violence. Here is a gold2 version that will flip to a Buy tomorrow if gold is up 0.45%. The backtest results are changed very little.

amhyx.ini (fixed), phiyx.ini (fixed), famadsiga.ini (fixed), Mel Collart , 12/31/2008, FT dropped mkhix from tonights download. After adjusting 3 signal files this has no effect on jnatmix,since mkhix was excluded from the computation of junk bond family averages for 3 signals used in jnatmix. These are the revised files.

rsi2x.ini, Terry Steffen , 01/02/2009, Terry says he mucked up Rsi2 a little to go short at Rsi = 95.9% and hold for 4 cdays. 18/23 winners from 11/5/04. CAR while invested is 207%. Mdd is not much.

Roy-Ash.ini (revised), Terry Steffen , 01/11/2009, In honor the Roy Ashworth report just received from Mike Burk here is a revised roy-ash.ini. Terry actually did the revision on 11/29 (see Sell condition).

grain.ini (fixed), Terry Steffen , 01/27/2009, According to the latest headlines, the demand for food is expected to continue for the foreseeable future. Here's a fix for grain.ini. The December buy was nice but it gave it all back and more before a sell triggered. These futures move fast. Terry added an overbought sell condition. This is trading DBA with grain.ini. It has plenty of trading volume. Here is a version with a longer backtest using a simulated fund index provided by Powershares, the DBA people.Here's a signal to trade grain futures funds. Unfortunately, the only 2 Terry is aware of are low volume ETF's (GRU & JJG).

hlthht.ini, John Cody , 01/28/2009, Went short.

hftrt.ini, John Cody , 01/30/2009, Needed to run the above script.

rv.ini (revised), Ferrell McCollough, 02/03/2009, Ferrell added the "And" clause to the Buy and Sell on the long trade. This was suggested by Terry S. but used UWM rather than Rut-I. RV.ini uses Rsi2 and the Volatility Indexes Vix-x and Vxn-x to trade the two ETF's UWM - Ultra Russell and SDS - Ultrashort. For the long trade it uses Rsi2 of the vix-x and the short trade it uses Vxn-x. Note that Delay=0. For less Mdd change UWM to NDX-x (or similar)and(Rsi3 BuyLevel=90). The market changed dramatically post Sept 1 with a huge increase in volatility. This strategy worked well during high volatility see moret Sept - Jan09. Ferrell imagines combining the long/short of these two pairs would give some useful data .

direxproxypro.ini, direxfam.ini, Bob Stevens , 02/10/2009, Using Bill Bernard's ProxyPro as the template, here's DirexProxyPro.ini used to generate the eight X 3.0 pos ETF fnu equivalents as well as the eight X 3.0 neg ETF fnu equivalents for those thinking of hedging or augementing. 15% in a neg X 3.0 will give you a 45% hedge. Also, here's DirexFam.ini to create the Direx.fam of ETFs and FNU equivalents.

ileev.ini (updated), Rich Schiebel , 02/17/2009, Here's the file to create ILFEV, ADREV & IAEEV, updated from last summer.

emgla.ini, Ferrell McCollough, 02/18/2009, Speaking of Latin America, here's one using ETF's. Uses Rsi=2 of ILF (Latin America) to buy ILF when Long and EEV when short. This is Delay=0 so watch the NxtRsi's (Ed Gilbert) one is Long and two are short (Rsi2 & Rsi4). The second short NxtRsi uses Rsi4 for a lower Mdd however the SinglePairTrade (short) you see is based on Rsi2. Ferrell did a real time trade on 2/6/09 but didn't see it to the end and made 8% instead of 11%. He chickened out.

5bb.ini, Terry Steffen , 02/24/2009, Yesterday was the 5th day in a row that the S&P closed below the lower Bolinger. Here's an interesting study that goes back to 1960. http://quantifiableedges.blogspot.com/.. Based on this file, we've had 15 winners out of 18 trades since '88.

bondetf.ini, Bob Stevens , 02/26/2009, Here's a script that will create five Bond ETF families. Mortgage, TIPs, Munis, Corporates, and a family of all the above. ATOIX and various benchmarks thrown in as well. ATOIX has highest Sharpe.

laintx2.ini, Terry Steffen , 02/28/2009, Here's another version using Direxion funds. Since these funds came out in Feb '06, this has produced gains during 26 out of 31 calender months or 84% of the time. The median monthly gain is 2.4%. The only catch is that this assumes daily rebalancing. In Terry's testing, when you are using leveraged funds like this, you MUST rebalance often, or it will not work and risk goes through the roof. Ideally this should be traded at the fund company where you can easily rebalance daily.

cboe.ini (updated), Terry Steffen , 03/13/2009, This is a version that takes a 50% position in SDS and does not have HoldMinDays. Now with a rocket booster added. (comment out line 16 to remove). Here's an Equity Put/Call Ratio signal that has worked recently. The fnu has to be updated manually using the website in the file. It might be interesting to use the CBOE level as a confirm against the Rsi2 for a combo signal.

emjetf.ini, Rich Schiebel , 03/14/2009, Emerging Market Junk using ETFs. Wanting to be able to trade emerging market junk but outside of JeffNat (i.e., using PEBAX) Rich experimented with some combos of the available EM junk ETFs (PCY and EMB) and a cash equivalent (he used ATOIX). What he found was that a combo of 20% EMB, 30% PCY, and 50% ATOIX gave roughly similar results to PEBAX (using Don's EMJnkS.sig) over the period starting 12/19/07 (EMB start date): Combo: AnnRet 11.1%, Mdd 4.2% on 01/06/09 PEBAX: AnnRet 9.8%, Mdd 4.2% on 12/05/08 Changing the start date will change the results a bit (it's in mid-signal) but not the overall result. One could wish for a longer time period (and a less volatile year than 2008), but it's what we have to work with. It will be interesting to see if the combo continues to track PEBAX.

emjetf2.ini, Rich Schiebel , 03/14/2009, The Combo works better for Holdmindays less than 8. The 4% rule changes one trade from selling on 11/14/08 to 11/10/08 - that helps the drawdown for PEBAX and the return for both PEBAX and the 20/30/50 combo. Results (from 12/19/07): Combo: AnnRet 11.9%, Mdd 4.2% on 01/06/09 PEBAX: AnnRet 12.7%, Mdd 3.0% on 01/21/09 The Combo still seems to be a reasonable swag for PEBAX.

roc30.ini, Terry Steffen , 03/28/2009, Here's what's working now and not working. Terry sorted the higher vol ETF's but you can use any family.

jeffnat.ini (updated), Bob Stevens , 03/31/2009, Here's a trade script producing three families using Dale's spreadsheet. JeffNat.fam (all funds), JN7.fam (7 day funds), JNHY.fam (7 day junk), JNsector.fam (1d Rydex Sectors) as well various JN Asset Classes JNasset.fam .

endx5.ini, Terry Steffen , 05/16/2009, Here's a version of NDX5 for Emerging Mkt funds.

vto.ini, Terry Steffen , 05/16/2009, Here is one with the parameters used on the kanuti.com website. The results are not exactly the same.

ibjnk.ini, Terry Steffen , 05/25/2009, Here's IBOX reworked for JNK. This one works off HYG only since JNK doesn't go back that far. When Terry attempted to trade JNK last year, it didn't work because the volume was low. It might work OK now cause the volume is huge. Uncomment this line for this to work ;WriteFile(Jnksig, IBOXT, "iboxx, Ema14, B: .5%up, S: -.1% dn")

testr.ini, Terry Steffen , 05/27/2009, Yesterday the market closed at a 10 day high, 1 day after closing at a 5 day low. According to these folks, the next 5 days or so have a negative bias. http://quantifiableedges.blogspot.com/2009/05/from-5-day-low-to-10-day-high-in-1-day.html This proves their theory. This has happen 15 times in the last 20 years. 50% winners but the winners didn't win much compared to the losers losses. Terry notices that Friday was a 4 day low not a 5 day low on sp-cp. If you change the five to 4, the results are similar only twice as common. Changing the index in the buy/sell statements to DJ-65 works also.

cropduster.ini, Terry Steffen , 05/27/2009, Crops Seasonality information. http://www.agmanager.info/crops/insurance/price_risk/SeasonalityOfFuturesPrices (July2006).pdf Summer months can be good for grain.

graincombo.ini, Terry Steffen , 05/27/2009, Here is a combination of cropduster and grain.ini. Cropduster overrides for the harvest season.

cbi_ft2.ini, Dave Howarter , 06/02/2009, Dave created a Trade ini file for the Coppock Breadth Indicator that Ken Scanlon posted a few days ago. This is a standalone file that does not need any other data other than the FastTrack database. Results of trading HRTVX from 9/15/2000 to 6/1/2009 are: AnnRet 19.9%, Mdd 15.2% on 08/12/04

mamfam.ini, Terry Steffen , 06/05/2009, This file creates a family of the top "x" number of funds ranked by Most Anchored Momentum. You can change the number of funds included in the family near the end of the file.

cbi_ft3.ini, make_fgrxd.ini, Dave Howarter , 06/11/2009, Fred Tonetti came up with an additional idea to apply to the Coppock Breadth Indicator (cbi) which Ken Scanlon had brought to our attention. The idea is to apply a similar AMA or EMA to the NYSE Up Volume and Down Volume as the cbi applies to the NYSE Advancing and Declining data and then buy if both the adv/decl and the volume indicators are on buy or sell if either goes to sell. Of course the moving average must be optimized to use different parameters for each of the two moving averages. This gave quite a bit better Mdd with only a small decrease in CAR. Trading HRTVX versus FGRXX from the start of the FastTrack database to 6/9/2009 gives: AnnRet 17.8%, Mdd 7.8% on 02/23/05. The Make_FGRXd.ini Trade file generates a money market FNU.

gaso.ini, Terry Steffen , 06/22/2009, The best way to handle the gasoline trade would be to put a trendline under UGGG and sell it when it crosses down. Then, here's another possibility.

combomk.ini, Mark Keitel , 06/22/2009, Here is a combo signal that you may want to look at. Has been short the RUT since 6/15/09./P>

profund1.ini, Harry Larson , 06/25/2009, Here is a file that will make a family of investor class profunds with the bears added back in.

sob6_ab.ini (modified), Dave Howarter , 06/28/2009, By opromization, Dave was able to increase the Ann by 1.4% with the same Mdd as Dave Serbin's original version. His original results were very good and these are even a bit better.

e-sysm.ini, Dale Dann , 07/10/2009, E-sys.ini only has the 6 quarter "Sweet Spot" and not the Thanksgiving and Christmas holidays. Dale added the holidays by taking them from mowinhol.ini. He has set it to trade 50% NDX plus 50% SP-DA for the fund and 50% PTTRX plus 50% PTLAX for the index. He also optimized the Buy and Sell dates for the holiday times in the two years that are not in the "sweet spot".

vixsp.ini, Terry Steffen , 07/18/2009, Normally Vix-x moves in the opposite direction of the market. The theory is, on days they both go up, something's fishy. This signal buys a short fund on those days and sells on the first down day for the S&P so it's only in for a day or 2. It's zero delay but it's easy to monitor.

xr.ini, Terry Steffen , 07/21/2009, Today marks 10 days up in a row for the NDX. According to this file, this has never happened before in the last 20 years.

two7s.ini (revised), Terry Steffen , 07/27/2009, Here's another SPY signal that is eligible for a buy now that SPY is above the 240Ema. It buys when the SPY closes on a seven day low so it will only require 5 points down to buy. It sells on a close at the seven day high.

vixsp2.ini (revised), Terry Steffen - 08/05/2009, Vixsp.ini hit a new MDD high on the last trade. Here's a version that will not buy if the one day ROC of the S&P > 2%. Maybe this helps or maybe it's just move curve fitting. Time will tell.

seasmomo.ini (fixed), Terry Steffen - 08/14/2009, As originally posted seasmomo.ini had some holiday tweaks. This one has none. Increase the Stretch to 4 in 417 to increase returns, albeit at a higher MDD. The month end seasonal trades are working this year because the funds are painting their books. Here's a version with a couple of filters added: 1) SP-CP must be positive for the prior 11 market days (cherry picked but 10 & 12 work also). 2) Vix-x must be not be up >1% on the day of the Buy.