Building Predictive Models: Starting with 1’s and 0’s

SYNOPSIS

Last Week… All multi-week winning streaks come to an end… just as last week’s losses offset some of the previous five weeks of gains. The one-week losses weren’t major — most less than 1% — but losses all the same. The trend values for all of the major indexes remain positive. The Canadian small cap indexes (S&P/TSX Small Cap Index and S&P/TSX Venture Index) continue to lead the way to produce the most rapid price appreciation.

PTA Perspective & Research… Building Predictive Models: Starting with 1’s and 0’s

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As it stands, the new levitra cialis viagra research may encourage more doctors to prescribe either drug as a preventive as well as a treatment pattern to resolve the acidic complications. So what’s the best way to resolve problems and get rid of the smoking and its consequences. viagra 100 mg http://robertrobb.com/the-tax-that-democrats-dare-not-name/ You need to increase intake of shrimp to boost cheap cialis from india vitamin D that in turn increases the hunger of sex. Maybe you would like to have a soothing and better love making session with your partner and react according to the circumstances. commander viagra robertrobb.com Relative trend analysis™ (RTA) has been designed in such a way that you don’t really need to forecast the future. You just go with the flow (the prevailing trends) until they end. But that doesn’t mean that you can’t experiment with other ways to make money… especially in times when there are few solid trends to be found. Although the current market environment remains positive, it can’t hurt to plan for the future. Besides, do-it-yourself investors should always have some back-burner activities going. Reading about other strategies helps, but it’s definitely more fun to do some of your own research. This time we offer some tips on building and testing investment models based solely on probability considerations. After all, the initial goal is predicting market direction. Everything else builds on that foundation.

Seasonality… With March behind us, we’re into coverage of calendar effects for April. We’ve mentioned before that April is normally not a great month for Canadian stocks, but the major US indexes normally perform well. In fact it’s the #1 month of the year for the Dow Jones Industrial Index which rises almost 70% of the time based on a long trail of historical data. This week we share some stats on the best performing sectors to keep an eye on.

Investor Confidence… The March results are now in for the State Street Investor Confidence Index (SSICI). The Global ICI increased to 114.6, up 8.0 points from February’s revised reading of 106.6. Investors across all regions expressed a renewed appetite for risk, with the North American ICI increasing from 109.4 to 123.6, the European ICI rising from 90.2 to 95.3, and the Asian ICI from 111.5 to 112.2. These are quite substantial gains on a month-over-month basis. The “smart money” (institutional investors) have had the confidence to sink many more billions of dollars into stocks over the course of March. And remember, this is not an opinion poll on where money managers might put their money in the future (which is the case with almost all other confidence indexes). The SSICI measures real money flows in real time into and out of stocks.

Premium Service Update… Premium Service subscribers will be happy to hear that we’ve added another 550 stocks to the Canadian database and 1321 stocks to the US database. That brings our totals to 2066 and 7888 respectively. For those who may have forgotten, our Weekly Premium Services are for power users who want to go beyond the more conservative S&P 500 and S&P/TSX Composite Index constituent stocks that you find at our web site now for free. Check here for details and pricing. If you’re not currently a PTA 2.0 member, click here instead.

Sizing Up the Latest Rally & A Look at Commodities

SYNOPSIS

Last Week… We’ve had a 5-week winning streak now (for the S&P 500 anyway… and most other major indexes have followed suit). This is the first such sustained rally since a 6-week streak last October/November. Although we may be due for a pause this week or next, there is no reason yet to question the favourable market trends we’re experiencing now.

ProfiTrend Portfolio (PTP)… After some shopping late last week, the PTP is now down to 59% in cash. And, there’s a very good chance that our shopping will continue this coming week. We’re not predicting how long this rally will last, but when conditions are this good, we need to deploy a lot more cash to capitalize on the opportunity.

Unfortunately, our PTP rating relative to the benchmarks has suffered temporarily. Not every newly purchased stock charges out of the gate like a race horse. We added three new stocks on Thursday (St. Patrick’s Day for good luck) so the holding time on those is one day! Annualize two small one-day declines on Friday and that really takes its toll on the PTP average. It’s a consequence of a very small portfolio right now with an average holding time of one week.
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PTA Perspective… Sizing Up the Latest Rally & A Look at Commodities
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With five weeks of gains, memories of the media reporting impending bear markets and a global recession are starting to fade away. Is it a rally in a bear market, or resurgence of the bull? It doesn’t matter really. When conditions are this favourable, we have to be invested on the long side for as long as it lasts. But it is worthwhile sizing up just what has happened over the past month or so. There’s the oil price myth and the interesting way that gold bullion appreciation has led to even faster price gains in gold stocks. What’s more, the phenomenon has spilled over into the mining sector as a whole. We have that and much more in this week’s edition.

Seasonality… With half of March behind us, we begin our coverage of calendar effects for April. It’s normally not a great month for Canadian stocks, but the major US indexes normally perform well. In fact it’s the #1 month of the year for the Dow Jones Industrial Index which rises almost 70% of the time based on a long trail of historical data.

Data & Charts Upgrade… Don’t forget that we now have a new major workbook to join the others in the Data & Charts Workbooks section of the web site. It’s a database of trend and consistency data on ADRs from around the world. Now you can diversify globally in individual stocks with the comfort of knowing which potential equities are rising fastest in price. Read more in the March 7 edition of TrendWatch Weekly.

The “Cat Came Back” Trade on Volatility – The Sequel

SYNOPSIS

Last Week… While last week’s gains weren’t as substantial as those a week before in the major indexes, they’ve driven the trend values higher. What’s more, the broader measures that we follow are really doing well too! All of the 37 countries and geographies that we follow via regional ETFs now have positive trend values, and 80% of the 10,000+ stocks and ETPs that we follow now have positive trend values. Regardless of what the media are still preaching about global recession and bear markets, we’re planning a shopping expedition this week!

ProfiTrend Portfolio (PTP)… The PTP is 70% in cash, and we’re itching to go shopping! We don’t try to predict how long a rally will last, but when the conditions are this good, we need to expand our portfolio beyond the three positions we’re currently holding.

New name, same math… Our PTP annualized price appreciation (APAR) index has improved to 72% from 57% a week earlier, tied with the Canadian market index. We hope to improve that situation soon with new acquisitions. And, yes, we previously used the label “annualized growth rate (AGR)”. We didn’t realize that there was any possibility of confusion, but it’s been pointed out that AGR is a metric that is normally applied to a company’s earnings growth rate. That is quite different from our use of the term meaning price growth rate. So now we’re making it clear with a new name and acronym… APAR. We actually still prefer to call it the “speedo chart”. It truly is a speedometer indicating how fast we are making money with our investments. It’s unique to our PTA 2.0 service and TrendWatch Weekly newsletter.
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You may recall our four-year track record with the PTP shown in the following chart. As the “4 Year” implies, that’s an average of 4 x 52 weeks of APAR data. wpid-bar_speedo_160311mdn-2016-03-14-22-35.png
PTA Perspective… The “Cat Came Back” Trade on Volatility – The Sequel
In the February 15 edition of TrendWatch Weekly, we discussed an interesting trade that falls outside the realm of trend tracking. It’s a volatility play that we dubbed the “Cat Came Back (CCB) Strategy”. It’s simple… (1) when the volatility index (VIX) rises from the teens to above 20 (no matter how much higher) and starts to turn lower again, buy an inverse VIX ETN appropriately labelled XIV (VIX backwards) at whatever level it is trading at. Then, (2) when VIX returns to its long-term median (about 16), sell XIV. Our research study based on the past five years shows an average return of 12% with an average holding time of 11 trading days. 17 of 19 round-trips over the past five years would have been profitable with our fairly rigid algorithm. This week we are revealing the results of the latest trade, and offer some tips on making this trade even more profitable, based on our personal experience with real dollars involved.

Data & Charts Upgrade… Don’t forget that as of last week we now have a new major workbook to join the others in the Data & Charts Workbooks section of the web site. It’s a database of trend and consistency data on ADRs from around the world. Now you can diversify globally with the comfort of knowing which potential opportunities are rising in price most rapidly. Read more in last week’s edition of TrendWatch Weekly.

Depositary Receipts Are the Best Way to Maximize Profits from Investing in Non-North American Equities

SYNOPSIS

Last Week… This rally is really looking real! Aside from our major indexes surging ahead once again, the more important broader measures that we follow are performing very well too.The S&P/TSX Small Cap Index actually jumped 7% over the past week, with the S&P/TSX Venture Index just behind it with a 5% gain. Both of those have the highest positive trend values among the major North American indexes that we report weekly. The Russell 2000 picked up as well and joined the Canadian small cap indexes in third place trend-wise. You know something important is happening when money is shifting from the “safe” large caps to the smaller stocks that historically provide the best returns.

ProfiTrend Portfolio (PTP)… The PTP is 70% in cash. We’re still finding that the proportion of stocks with attractive trend/consistency pairs has not grown as much as we’d like, although the overall number of stocks switching over from negative trends to positive trends continues to grow substantially. We added two consumer stocks late last week, based on sector performance data from last weekend. As you’ll see, however, other sectors have shifted up since then. Our PTP price appreciation index has improved to 57% from 31% a week earlier, but at the moment the S&P/TSX Composite Index AGR is outperforming our small portfolio. We expect that to change soon.
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Investor Confidence… Perhaps institutional investors were anticipating the current rally, because they continued to pump billions of dollars into equities, even as we were watching them decline during the first two months of this year. One day soon we’ll be running a research exercise on the predictive value of the State Street Investor Confidence Index. It’s the only confidence we’re aware of that tracks real money flows instead of investors’ opinions on surveys. Money speaks louder than surveys!

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Featured Video… We always like to check into Jim Rogers latest thoughts on the markets when he’s interviewed on BizTV. We found one such interview on Bloomberg TV last week and share it with you in the main edition. But there’s also put together a very short version as well, and you can find that synopsis right here.

PTA Perspective… Depositary Receipts Are the Best Way to Maximize Profits from Investing in Non-North American Equities
We’ve talked about American Depositary Receipts (ADRs) before, but we approach the subject in much more depth this time. Essentially, ADRs are one of the most convenient ways for Americans to invest in foreign equities markets. But in fact anyone who can trade equities on US stock exchanges has access to this opportunity too. We describe the pros and cons of ADRs vs regional ETFs, and some features that are unique to ADRs.

Data & Charts Upgrade… In keeping with the theme of this week’s topic, we’re also pleased to announce a new major workbook to join the others in the Data & Charts Workbooks section of the web site. You probably guessed it… it’s a database of trend and consistency data on ADRs from around the world. Now you can diversify globally with the comfort of knowing which potential opportunities are rising in price most rapidly. Read more in the main edition of TrendWatch Weekly.