ETF Bullish Crossovers w/MomentumCurrent Strategy SummaryBuys: 0 Sells: 1 Performance2022 ytd: +5.9% |
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The ETF Bullish Crossover w/Momentum Portfolio trading strategy:
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BUY a qualifying Exchange Traded Fund (ETF) when:
tagged with a “Bullish Crossover” indicator, and
13-week Relative Strength Indicator (RSI) >= 110, and
weekly RSI +/- is +, and
weekly trading volume >= 1,000,000 shares
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SELL a stock when:
tagged with a “Bearish Crossover” indicator
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* This strategy has been applied on a select group of over 1,000 U.S.-listed exchange-traded funds.
The money management rules for the portfolio are as follows:
Exposure to each position is limited to $10,000.
Transaction costs are factored into the cost of purchases and the net proceeds of sales at 1% in and 1% out, or 2% commission on a round trip.
Applying this very simple trading system on the Stock Trends historical data of a select group of US-listed exchange-traded funds generates the following results:
Trading Statistics
| Total # of positions taken: | 226 |
| # of winning positions (winning %): | 131 (58%) |
| Average gain(%) per winning position: | 27% |
| Average loss(%) per losing position: | 16% |
| Profit factor**: | 2.3 |
| Maximum gain(%) on a position: | 170% |
| Maximum loss(%): | -81% |
| Annualized return on average invested capital: | 9.5% |
| Average invested capital: | $198,604 |
| Average # of positions held: | 16 |
| Average # of weeks invested in each position: | 48 |
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* trading stats compiled at December 31, 2021 **Profit Factor = (% of winning trades X average $ gains on winning trades) / ABSOLUTE VALUE[(% of losing trades X average $ losses on losing trades)] |
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The current ETF Bullish Crossover w/Momentum Portfolio report is published weekly. It shows current holdings, as well as current buy and sell transactions. Investors can follow the report to emulate the performance of the portfolio or use this model portfolio to adjust their own holdings in exchange-traded funds.