+0.50 :: Weakly LONG Market
+0.75 :: Moderately LONG Market
+1.00 :: Strongly LONG Market
[info]
1b. Intermediate-Term Market Direction
RLP: 100.00% (Range: 50% to 100% :: Recommended Long Percentage for Stock Portfolios)
GSI: 0.96 (Range: 0.0 to 1.0 :: Grail Strength Indicator; Status of Grail System models)
MSI: 0.98 (Range: -1.0 to 1.0 :: Market Strength Indicator; Status of Voted Signals System models)
[info]
1c. Long-Term Market Direction
MFTI-A: BUY (Mutual Fund Timing Indicator "A")
MFTI-B: BUY (Mutual Fund Timing Indicator "B")
CNNI:   8.07 (Combined Neural Network Indicator; Average of NN1 thru NN10; critical value = 0.6127)
[info]
2. Daily Index ETF Signals (Full Subscription Only)
SPY Signal: +100% (BUY) (SPYPRED5 Model: S&P 500)
QQQ Signal: +100% (BUY) (QQQPRED2 Model: NASDAQ 100)
DIA Signal: +100% (BUY) (DIAPRED2 Model: DOW 30)
IWM Signal: +100% (BUY) (IWMPRED2 Model: RUSSELL 2000)
[info]
3. Collective2™ Strategies (collective2.com)
C2Star Hyperbolic SPY (an IRA-friendly conservative strategy for the S&P)
3X Hyperbolic SPY (an aggressive 3x strategy for the S&P)
3X Hyperbolic QQQ (an aggressive 3x strategy for the NASDAQ 100)
3X Hyperbolic DIA (an aggressive 3x strategy for the DOW 30)
3X Hyperbolic IWM (an aggressive 3x strategy for the RUSSELL 2000)
[info]
4. Subscriber-Generated Portfolios (using signals.csv)
RLP: 100.00% (Range: 50% to 100% :: Recommended Long Percentage for Stock Portfolios)
[info]
5. Grail System Portfolios (SUPER, NOVA)
[info]
***************************************************************************************
Trading Actions for Portfolio
NOVA05
for 02/11/2019:
Slot # | Current Holding | Action | New Holding | Description |
1 | CHKP | --- | CHKP | Check Point Software Technologie |
2 | CHRW | --- | CHRW | C.H. Robinson Worldwide |
3 | CMCSA | --- | CMCSA | Comcast Corp Cl A |
4 | CTAS | --- | CTAS | Cintas Corp |
5 | ORCL | --- | ORCL | Oracle Corp |
Back-Tested Performance of Portfolio: NOVA05
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2005 | 31.04% | -4.25% | 102705 | 7.30 | 85 |
2006 | 57.39% | -9.66% | 020606 | 5.94 | 202 |
2007 | 63.48% | -4.87% | 031307 | 13.03 | 196 |
2008 | 147.44% | -9.16% | 120108 | 16.09 | 226 |
2009 | 180.46% | -6.62% | 070809 | 27.28 | 254 |
2010 | 68.08% | -6.97% | 070610 | 9.76 | 180 |
2011 | 29.88% | -9.89% | 112511 | 3.02 | 202 |
2012 | 11.41% | -9.38% | 060412 | 1.22 | 114 |
2013 | 43.44% | -5.34% | 062413 | 8.13 | 114 |
2014 | 17.73% | -5.19% | 020314 | 3.42 | 104 |
2015 | 2.04% | -6.82% | 100115 | 0.30 | 140 |
2016 | 5.08% | -9.40% | 102716 | 0.54 | 122 |
2017 | 34.89% | -4.73% | 091517 | 7.37 | 93 |
2018 | 24.34% | -9.33% | 121718 | 2.61 | 118 |
2019 | 8.99% | -1.72% | 012219 | 5.24 | 17 |
Avgs. | 48.38% | -6.89% | | 7.02 | 144 |
***************************************************************************************
Trading Actions for Portfolio
NOVA07
for 02/11/2019:
Slot # | Current Holding | Action | New Holding | Description |
1 | BA | --- | BA | Boeing Co |
2 | CHKP | --- | CHKP | Check Point Software Technologie |
3 | CHRW | --- | CHRW | C.H. Robinson Worldwide |
4 | CTAS | --- | CTAS | Cintas Corp |
5 | DISH | --- | DISH | Dish Network Corp Cl A |
6 | ORCL | --- | ORCL | Oracle Corp |
7 | SYMC | --- | SYMC | Symantec Corp |
Back-Tested Performance of Portfolio: NOVA07
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2005 | 25.38% | -4.42% | 123005 | 5.74 | 112 |
2006 | 61.57% | -8.12% | 020606 | 7.58 | 245 |
2007 | 53.65% | -5.53% | 030507 | 9.71 | 266 |
2008 | 118.96% | -8.19% | 120108 | 14.52 | 276 |
2009 | 136.95% | -7.12% | 090209 | 19.24 | 340 |
2010 | 53.27% | -6.92% | 070610 | 7.69 | 252 |
2011 | 18.18% | -12.06% | 112511 | 1.51 | 259 |
2012 | 7.84% | -11.30% | 060412 | 0.69 | 142 |
2013 | 28.59% | -5.50% | 062413 | 5.20 | 145 |
2014 | 9.18% | -5.60% | 020314 | 1.64 | 154 |
2015 | 2.74% | -7.72% | 092915 | 0.35 | 167 |
2016 | 9.82% | -5.46% | 062716 | 1.80 | 160 |
2017 | 32.74% | -4.37% | 081117 | 7.49 | 101 |
2018 | 15.33% | -9.33% | 121718 | 1.64 | 132 |
2019 | 12.46% | -1.62% | 012219 | 7.67 | 22 |
Avgs. | 39.11% | -6.88% | | 5.68 | 184 |
***************************************************************************************
Trading Actions for Portfolio
NOVA10
for 02/11/2019:
Slot # | Current Holding | Action | New Holding | Description |
1 | ADSK | --- | ADSK | Autodesk Inc |
2 | BA | --- | BA | Boeing Co |
3 | C | --- | C | Citigroup |
4 | CHKP | --- | CHKP | Check Point Software Technologie |
5 | CHRW | --- | CHRW | C.H. Robinson Worldwide |
6 | CTAS | --- | CTAS | Cintas Corp |
7 | EXPD | --- | EXPD | Expeditors International of Wash |
8 | ORCL | --- | ORCL | Oracle Corp |
9 | SYMC | --- | SYMC | Symantec Corp |
10 | VRTX | --- | VRTX | Vertex Pharmaceuticals Inc |
Back-Tested Performance of Portfolio: NOVA10
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2005 | 19.84% | -3.96% | 123005 | 5.01 | 147 |
2006 | 45.76% | -5.59% | 020606 | 8.18 | 320 |
2007 | 43.79% | -4.47% | 022707 | 9.79 | 312 |
2008 | 89.46% | -8.29% | 120108 | 10.79 | 343 |
2009 | 92.64% | -6.83% | 012609 | 13.56 | 440 |
2010 | 49.55% | -7.01% | 070610 | 7.07 | 318 |
2011 | 18.91% | -9.40% | 112511 | 2.01 | 327 |
2012 | 9.33% | -8.92% | 060412 | 1.05 | 167 |
2013 | 29.13% | -5.55% | 062413 | 5.25 | 193 |
2014 | 12.71% | -5.76% | 081514 | 2.21 | 213 |
2015 | 0.02% | -7.49% | 090115 | 0.00 | 185 |
2016 | 11.26% | -5.37% | 062716 | 2.10 | 216 |
2017 | 33.17% | -4.68% | 081017 | 7.09 | 97 |
2018 | 7.71% | -8.72% | 102418 | 0.88 | 168 |
2019 | 8.81% | -1.27% | 010319 | 6.96 | 38 |
Avgs. | 31.47% | -6.22% | | 5.06 | 232 |
***************************************************************************************
Trading Actions for Portfolio
NOVA12
for 02/11/2019:
Slot # | Current Holding | Action | New Holding | Description |
1 | ADSK | --- | ADSK | Autodesk Inc |
2 | BA | --- | BA | Boeing Co |
3 | C | --- | C | Citigroup |
4 | CHKP | --- | CHKP | Check Point Software Technologie |
5 | CHRW | --- | CHRW | C.H. Robinson Worldwide |
6 | CTAS | --- | CTAS | Cintas Corp |
7 | EXPD | --- | EXPD | Expeditors International of Wash |
8 | GE | Sell & Buy | ADI | Analog Devices Inc |
9 | ORCL | --- | ORCL | Oracle Corp |
10 | SYMC | --- | SYMC | Symantec Corp |
11 | VRSN | --- | VRSN | Verisign Inc |
12 | VRTX | --- | VRTX | Vertex Pharmaceuticals Inc |
Back-Tested Performance of Portfolio: NOVA12
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2005 | 15.35% | -3.43% | 123005 | 4.48 | 175 |
2006 | 44.40% | -3.77% | 110306 | 11.77 | 379 |
2007 | 38.78% | -4.55% | 121707 | 8.52 | 343 |
2008 | 82.19% | -9.25% | 120108 | 8.89 | 395 |
2009 | 120.26% | -5.88% | 021009 | 20.46 | 518 |
2010 | 50.64% | -7.26% | 070610 | 6.97 | 354 |
2011 | 17.41% | -8.46% | 112511 | 2.06 | 377 |
2012 | 9.90% | -7.83% | 072412 | 1.27 | 177 |
2013 | 29.52% | -5.01% | 062413 | 5.89 | 213 |
2014 | 6.03% | -5.83% | 101314 | 1.03 | 231 |
2015 | -1.02% | -7.77% | 092915 | -0.13 | 200 |
2016 | 6.75% | -6.24% | 062716 | 1.08 | 248 |
2017 | 34.32% | -4.34% | 081717 | 7.91 | 96 |
2018 | 6.21% | -8.74% | 121718 | 0.71 | 209 |
2019 | 7.31% | -1.49% | 010319 | 4.92 | 39 |
Avgs. | 31.20% | -5.99% | | 5.21 | 263 |
***************************************************************************************
Trading Actions for Portfolio
SUPER15
for 02/11/2019:
Slot # | Current Holding | Action | New Holding | Description |
1 | ADI | --- | ADI | Analog Devices Inc |
2 | AMT | --- | AMT | American Tower Corp |
3 | BA | --- | BA | Boeing Co |
4 | CCI | --- | CCI | Crown Castle Intl Corp |
5 | HD | --- | HD | Home Depot Inc |
6 | HRS | --- | HRS | Harris Corporation |
7 | INTU | --- | INTU | Intuit Inc |
8 | LAMR | --- | LAMR | Lamar Advertising Co A |
9 | NFLX | --- | NFLX | Netflix Inc |
10 | ORCL | --- | ORCL | Oracle Corp |
11 | ORLY | --- | ORLY | O'reilly Automotive Inc |
12 | SBAC | --- | SBAC | Sba Communications Corp |
13 | SNPS | --- | SNPS | Synopsys Inc |
14 | TSCO | --- | TSCO | Tractor Supply Co |
15 | TSM | --- | TSM | Taiwan Semiconductor Manufacturi |
Back-Tested Performance of Portfolio: SUPER15
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2005 | 10.20% | -4.46% | 081905 | 2.29 | 115 |
2006 | 31.28% | -4.28% | 122206 | 7.30 | 172 |
2007 | 38.52% | -6.54% | 082807 | 5.89 | 194 |
2008 | 47.75% | -11.34% | 112008 | 4.21 | 398 |
2009 | 53.89% | -11.16% | 030209 | 4.83 | 312 |
2010 | 47.55% | -7.53% | 070210 | 6.32 | 148 |
2011 | 30.67% | -10.15% | 100311 | 3.02 | 300 |
2012 | 19.66% | -7.28% | 051812 | 2.70 | 88 |
2013 | 39.88% | -6.12% | 062413 | 6.52 | 82 |
2014 | 9.97% | -8.94% | 101614 | 1.12 | 114 |
2015 | 13.09% | -10.32% | 082515 | 1.27 | 76 |
2016 | 20.18% | -6.07% | 011316 | 3.32 | 125 |
2017 | 34.29% | -4.41% | 070617 | 7.78 | 15 |
2018 | 3.27% | -12.02% | 122018 | 0.27 | 218 |
2019 | 11.45% | -2.61% | 010319 | 4.38 | 40 |
Avgs. | 27.44% | -7.55% | | 3.64 | 159 |
6. Back-Tested Performance (Daily Index ETF Models)
[info]
Back-Tested Performance of Model: SPYPRED5
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2004 | 18.23% | -1.95% | 122804 | 9.37 | 33 |
2005 | 32.94% | -4.34% | 060105 | 7.59 | 102 |
2006 | 94.43% | -2.26% | 020706 | 41.73 | 154 |
2007 | 119.23% | -3.11% | 082807 | 38.34 | 118 |
2008 | 2307.73% | -4.14% | 072308 | 557.11 | 162 |
2009 | 609.38% | -5.01% | 070709 | 121.64 | 164 |
2010 | 212.25% | -4.18% | 070210 | 50.78 | 142 |
2011 | 271.58% | -4.92% | 062411 | 55.17 | 138 |
2012 | 65.17% | -5.19% | 030112 | 12.56 | 116 |
2013 | 46.46% | -3.07% | 022013 | 15.14 | 164 |
2014 | 49.62% | -4.96% | 120514 | 10.00 | 96 |
2015 | 84.18% | -4.47% | 110315 | 18.82 | 118 |
2016 | 73.93% | -3.72% | 110416 | 19.88 | 120 |
2017 | 33.33% | -3.07% | 032117 | 10.86 | 122 |
2018 | 132.05% | -5.39% | 121818 | 24.49 | 114 |
2019 | 13.76% | -1.33% | 012219 | 10.33 | 10 |
Avgs. | 260.27% | -3.82% | | 68.14 | 117 |
Back-Tested Performance of Model: QQQPRED2
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2004 | 29.68% | -2.65% | 102504 | 11.20 | 29 |
2005 | 84.82% | -2.88% | 102705 | 29.42 | 94 |
2006 | 160.68% | -5.26% | 030606 | 30.56 | 144 |
2007 | 146.09% | -6.58% | 121707 | 22.21 | 114 |
2008 | 2515.16% | -3.97% | 120508 | 634.13 | 178 |
2009 | 544.71% | -5.27% | 070709 | 103.41 | 170 |
2010 | 224.52% | -4.29% | 041510 | 52.38 | 134 |
2011 | 261.44% | -7.50% | 062411 | 34.88 | 148 |
2012 | 66.10% | -6.03% | 092412 | 10.96 | 124 |
2013 | 45.70% | -7.27% | 123113 | 6.28 | 144 |
2014 | 67.99% | -4.59% | 112814 | 14.82 | 118 |
2015 | 96.10% | -6.91% | 110415 | 13.90 | 104 |
2016 | 96.50% | -4.95% | 110416 | 19.49 | 96 |
2017 | 32.70% | -3.85% | 062717 | 8.50 | 104 |
2018 | 212.33% | -6.72% | 102418 | 31.62 | 116 |
2019 | 16.20% | -2.19% | 012919 | 7.41 | 4 |
Avgs. | 287.54% | -5.06% | | 56.87 | 113 |
Back-Tested Performance of Model: DIAPRED2
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2004 | 13.44% | -2.11% | 123004 | 6.37 | 29 |
2005 | 40.73% | -4.10% | 062405 | 9.92 | 102 |
2006 | 77.71% | -3.58% | 012006 | 21.73 | 132 |
2007 | 94.24% | -3.19% | 060107 | 29.55 | 96 |
2008 | 1808.78% | -3.65% | 071608 | 495.31 | 188 |
2009 | 426.44% | -4.34% | 070709 | 98.25 | 156 |
2010 | 183.34% | -3.10% | 070210 | 59.05 | 128 |
2011 | 249.66% | -4.30% | 102711 | 58.04 | 140 |
2012 | 60.53% | -4.46% | 091412 | 13.56 | 144 |
2013 | 26.95% | -4.01% | 022013 | 6.73 | 144 |
2014 | 43.68% | -3.51% | 120514 | 12.44 | 102 |
2015 | 79.89% | -4.56% | 110615 | 17.50 | 114 |
2016 | 59.80% | -3.66% | 012016 | 16.36 | 124 |
2017 | 39.19% | -3.18% | 032317 | 12.32 | 112 |
2018 | 160.24% | -5.24% | 121718 | 30.58 | 118 |
2019 | 12.64% | -1.22% | 012219 | 10.40 | 8 |
Avgs. | 211.08% | -3.64% | | 58.02 | 114 |
Back-Tested Performance of Model: IWMPRED2
Year | Avg. Gain% | Max. Drawdown | Date (Max. Drawdown) | G/d | #trades |
2004 | 27.23% | -1.70% | 102204 | 16.02 | 31 |
2005 | 65.49% | -7.24% | 061005 | 9.05 | 100 |
2006 | 209.36% | -3.27% | 021306 | 64.10 | 122 |
2007 | 167.02% | -4.90% | 060407 | 34.08 | 114 |
2008 | 3529.15% | -7.63% | 072308 | 462.27 | 174 |
2009 | 1154.70% | -6.69% | 070709 | 172.61 | 152 |
2010 | 293.43% | -8.03% | 070610 | 36.55 | 142 |
2011 | 494.64% | -5.56% | 061311 | 88.95 | 142 |
2012 | 66.17% | -8.42% | 091412 | 7.86 | 114 |
2013 | 79.23% | -3.47% | 100913 | 22.84 | 144 |
2014 | 55.84% | -3.82% | 020314 | 14.63 | 88 |
2015 | 56.62% | -8.13% | 072715 | 6.96 | 122 |
2016 | 77.98% | -7.70% | 110316 | 10.12 | 112 |
2017 | 32.37% | -6.07% | 051717 | 5.34 | 100 |
2018 | 80.55% | -7.98% | 102418 | 10.10 | 96 |
2019 | 16.53% | -1.83% | 012319 | 9.02 | 12 |
Avgs. | 400.40% | -5.78% | | 69.30 | 110 |
Detailed [INFO] for each Report Section
1a. **********************************************************
The "Z" Indicator is produced by weighting the output signals from our 4 Daily Index ETF Signals for the S&P, NASDAQ 100, DOW 30, and the Russell 2000.
Its value ranges from -1.0, which is very Bearish, up to +1.0, which is very Bullish for the entire US Stock Market.
It is quantized in units of 0.25, thus producing the following range of discrete values: -1.0, -0.75, -0.50, -0.25, 0, 0.25, 0.50, 0.75, and 1.0.
1b. **********************************************************
In order to gauge Market strength over the near term, we have several useful indicators:
(a) RLP (Recommended Long Percentage): This is generated by the Automatic Drawdown Control (ADC) logic in our Grail Portfolio System and indicates the
optimal Long "exposure" for a given day. A 100% value will mean that the Portfolios should be fully populated (all stocks and no cash), and as the RLP
decreases, stock holdings are sold off so that the amount of Portfolio cash will increase correspondingly. However, even in a severe downtrend, the RLP
will usually not dip below about a 50% Long and 50% Cash holding.
(b) GSI (Grail System Indicator): This indicator shows the percentage of the 1000 Grail System models that are in the "BUY" state, as opposed to the
Cash state. The GSI will thus vary between 0 (very weak Market) and 1 (strong Market).
(c) MSI (Market Strength Indicator): This indicator is generally more accurate than the GSI since it is based upon the Voted Signal System. To generate
the MSI, any of the 140 Voted Signals that are in the BUY state are assigned the value of '1'; any signal in the Cash state gets a '0', and any signal
in the Short state gets a '-1' value assigned. Then, all of these '1's, '0's, and '-1's are added and the result is divided by 140. The MSI will thus
vary between -1 (very weak Market) and +1 (strong Market).
1c. **********************************************************
The "A" version of the Mutual Fund Timing Indicator was developed in 2004 and its historical values have been tracked ever since.
The "B" version was created in about 2007. It switches a bit more frequently between the Uptrend (BUY) and Downtrend (SELL) states than does the "A".
Note that these Long-Term signals DO NOT detect "every" correction; they detect "some" corrections, but they are really looking for "trends" and
not sudden (unjustified) negative Market reactions that are superimposed on an uptrend that carries right on through the period of weakness.
For managing subaccounts or mutual funds in a 401(k) or 403(b) account, the MFTI-A signal is generally quite adequate -- and it doesn't tend to
suffer as much from short-term oscillations like the MFTI-B does, and that can create some timing problems within a retirement account.
The CNNI Indicator is the average value of our primary neural networks NN1 through NN10. This is our most "sensitive" indicator in determining
whether the MFTI-A or MFTI-B long-term signals will switch from a BUY to a SELL. As the CNNI drops, a downtrend becomes more likely (i.e., MFTI-A
or MFTI-B goes from a BUY to a SELL). The "critical value" for the CNNI is 0.6127, although there are subsidiary conditions that must be satisfied,
meaning that a downtrend "may" not be signaled if the CNNI drops to this value or below.
2. ***********************************************************
After 17 years of software development, all of our work culminates in 4 new Daily Index ETF Models which make accurate predictions of the following:
- The S&P 500, as represented by the SPY ETF.
- The Nasdaq 100, as represented by the QQQ ETF.
- The Dow 30, as represented by the DIA ETF.
- The Russell 2000, as represented by the IWM ETF.
The SPYPRED5, QQQPRED2, DIAPRED2, and IWMPRED2 Models generate daily Buy, Short, and Cash signals for these ETFs.
If these signals are traded, about 2.4 trades per week will be required on average.
The trading accuracy of Long trades (did they make a profit?) are approximately 73-75% based upon 14.5 years of back-tested results.
The trading accuracy of Short trades is somewhat lower, and will generally be in the range of 66-70%.
3. ***********************************************************
We are currently paying to operate 5 different trading strategies on Collective2 (www.collective2.com):
(1) The "C2Star Hyperbolic SPY" strategy is intended for conservative investors and is easily traded in an IRA. It goes Long and Short by
using the 3x UPRO ETF and the 3x inverse SPXU ETF, but it does this by only using 1/3rd of the account's value so that it is effectively unleveraged.
The use of 3x ETFs facilitates trades within a "cash account" because there will always be "settled funds: to permit the trades to be made.
This strategy is currently being evaluated by Collective2 for being awarded "C2Star" status, meaning that it meets stringent constraints on
performance, including a maximum drawdown less than 10% under worst-case conditions.
(2) The "3x Hyperbolic SPY" strategy is a fully 3x-leveraged S&P trading strategy. It will have 3 times the gains, and 3 times the drawdowns
of the "C2Star Hyperbolic SPY" strategy. It clearly uses "all" funds to buy UPRO or SPXU.
(3) The "3x Hyperbolic QQQ" strategy is a fully 3x-leveraged Nasdaq 100 trading strategy. It will have 3 times the gains, and 3 times the drawdowns of
an unleveraged system. Conservative investors should never use leverage.
(4) The "3x Hyperbolic DIA" strategy is a fully 3x-leveraged Dow 30 trading strategy. It will have 3 times the gains, and 3 times the drawdowns of
an unleveraged system. Conservative investors should never use leverage.
(5) The "3x Hyperbolic IWM" strategy is a fully 3x-leveraged Russell 2000 trading strategy. It will have 3 times the gains, and 3 times the drawdowns of
an unleveraged system. Conservative investors should never use leverage.
Subscribers to the "Strategist Newsletter (Full version)" can monitor the performance of these alternative strategies by clicking on the Collective2 links.
There is no need to subscribe to Collective2 since the preceding report section gives you the daily signals, allowing you to make your own trades.
Subscribers to the "Strategist Newsletter (Limited version)" who are interested in these various high-performance trading strategies can "subscribe" to
one of these signals by creating an account on Collective2 and paying the requisite monthly subscription fee. Collective2 will even permit a subscribed
strategy to be "auto-traded" in the subscriber's brokerage account.
4. ***********************************************************
The "signals.csv" file is attached to every Daily Forecast and it gives up to 3 separate BUY/SELL signals for 1669 equities (stocks and ETFs).
(1) The Preprocessor signals are the 'least' accurate signals because they originate in the very first operational software layer of our System --
but there are 1669 such signals. A 'BUY' state indicates that the Preprocessor holds that particular equity Long. If the Preprocessor DOES NOT hold
that equity, then you will see '---'. If the equity is currently 'owned' by the Preprocessor, then its 'BUY DATE' is shown, as well as the number of
days that it has been held. In addition, the percentage gain/loss is shown that reflects how the equity has done since the Preprocessor bought it.
(2) The Grail System signals are generally more accurate than the Preprocessor signals, but there are only 1000 of them (actually 999). The Grail
System signals will either be in a 'BUY' or a 'SELL' state. Note that 'SELL' does not mean to 'SHORT'!
(3) The Voted System signals are usually more accurate even than the Grail System signals, but there are only about 140 of them. These signals can
be in the 'BUY', 'SHORT' or '$$$$ (Cash)' state.
You can construct your own stock or ETF portfolios by selecting, say, 5 to 10 stocks from the signals.csv file that is attached to the Forecast.
Usually, 5-7 equities is a fairly reasonable minimum portfolio size, and anything bigger than 12-15 just becomes unwieldy and offers little benefit
from a diversification standpoint. The 'sweet spot' is often in the 5-8 range. When you construct your portfolio, it is best to keep things simple
and strive for approximately equal dollar weighting. Here is where the RLP (Recommended Long Percentage) value comes into play. The RLP is derived
from statistics produced by the 192 standard Grail System Portfolios, and it represents the optimal amount of Market exposure at the current time.
So, if your portfolio is going to hold a maximum of 10 stocks or ETFs, then if the RLP value is only 60%, you should sell your 4 weakest holdings,
dropping your active number down from 10 to 6, i.e., 60% Long.
Since up to 3 signals are available for some equities, the safest possible equities would be those with 3 'BUY' signals (Preprocessor, Grail, Voted).
The next best choice would be where the Grail and Voted signals are in the 'BUY' state.
The third best scenario would be where the Preprocessor and Grail signals are in the 'BUY' state.
Any equity that has only one 'BUY' signal, or any equity that has one or more SELL signals, should NOT be bought, or if it is already owned, then
it should be replaced by a stronger equity.
The RLP is very important -- perhaps just as important as picking the specific equities that you are going to use. The RLP reduces RISK!
5. ***********************************************************
PORTFOLIO FAMILIES
==================
Every day we generate several hundred different Grail System Portfolios. They are organized into "Families" such that all portfolios belonging to a
given family have similar trading characteristics, as well as a shared "universe" of equities that they can choose from, but they differ in the
maximum number of holdings that they can have at any given time. The "size" of a Portfolio varies from 1 up to 48 (for a NOVA family portfolio), or
up to 62 (for a SUPER family portfolio). In general, the NOVA portfolios have somewhat higher performance than do the SUPER portfolios, and this is
because in addition to using Grail system models to "time" the individual equities, the NOVA family portfolios limit themselves to only those equities
that have Voted Signals models as well, and these more accurate individual equity signals are "or'ed" into the overall decision as to when to buy or
sell.
PORTFOLIO DOWNLOADS
===================
Every night a healthy subset of portfolio data is uploaded to our website, and this includes historical performance tracking files, files that can
be used to generate performance plots, and summaries of portfolio performance by Family. This downloadable information is available upon request to
subscribers to the full version of the Newsletter. Just let us know and we will provide you with the download link and the necessary password to unpack
everything.
INCLUDED PORTFOLIOS
===================
For the convenience of Newsletter subscribers, we provide within the Daily Forecast both the daily transactions for a core set of 5 small- to medium-size
portfolios, as well as their back-tested performance characteristics.
The usual disclaimer applies to the all of our signals and portfolios: future performance can never be guaranteed to be as good as back-tested performance!
NOVA05: A super high-performance 5-stock Portfolio (with ADC -- Active Drawdown Control).
NOVA07: A super high-performance 7-stock Portfolio (with ADC -- Active Drawdown Control).
NOVA10: A super high-performance 10-stock Portfolio (with ADC -- Active Drawdown Control).
NOVA12: A super high-performance 12-stock Portfolio (with ADC -- Active Drawdown Control).
SUPER15: A battle-tested 15-stock Portfolio (with ADC -- Active Drawdown Control).
PORTFOLIO MONEY MANAGEMENT
==========================
The general guideline for managing a Grail System Portfolio is to maintain roughly equal dollar values for each cash or stock holding. As buys and
sells are made, of course, winning stocks will soon represent a disproportionately larger share of the portfolio's value, while underperforming stocks
will gradually decline in their dollar value. When buying multiple equities, always divide the available cash evenly amongst them, and remember that the
fundamental idea for these Portfolios is to think of them in terms of N 'buckets' or 'slots' of cash holdings (or stock holdings) that are roughly equal
in dollar value. Clearly, when the Portfolio has gone to an all-cash state and then begins to reacquire equities, the new holdings will initially be very
close in their dollar values.
PORTFOLIO BACK-TESTED PERFORMANCE
=================================
All Grail System Portfolios are back-tested every day over the period from 8/01/05 to the present day. It is the nature of our system, and
probably everyone else's stock market analysis system for that matter, that models and portfolios will gradually undergo at least minor shifts
almost continually. These shifts are unavoidable with any high-performance analysis and modeling system, and as a result, annualized performance
gain estimates, maximum drawdown estimates, trading accuracy estimates, etc., all will show daily variation.
In the Performance Tables for each portfolio, the back-tested 'yearly' performance figures are shown. Bear in mind that in 2005 there were only 5 months
of activity since the starting date is 8/01/05.
The maximum drawdown that occurred during each calendar year is shown, as well as the date on which the drawdown value was attained.
The G/d value is the yearly percentage gain divided by the absolute value of the maximum drawdown, and the #trades figure shows the sums of all Buys,
Sells, Shorts, and Covers that occurred during that year. If this figure is divided by 52, then the average weekly number of trades can be estimated.
`
6. ***********************************************************
The 4 Daily Index ETF Models are back-tested every day over the period from 9/16/04 to the present day. It is the nature of our system, and
probably everyone else's stock market analysis system for that matter, that models will gradually undergo at least minor shifts almost continually.
These shifts are unavoidable with any high-performance analysis and modeling system, and as a result, annualized performance gain estimates,
maximum drawdown estimates, trading accuracy estimates, etc., all will show daily variation.
In the following 4 Tables, the back-tested 'yearly' performance figures are shown. Bear in mind that in 2004 there were only 3.5 months of activity
since the starting date is 9/16/04.
The maximum drawdown that occurred during each calendar year is shown, as well as the date on which the drawdown value was attained.
The G/d value is the yearly percentage gain divided by the absolute value of the maximum drawdown, and the #trades figure shows the sums of all Buys,
Sells, Shorts, and Covers that occurred during that year. If this figure is divided by 52, then the average weekly number of trades can be estimated.
End of Daily Forecast