I’ve just finished compiling the recent results (through to Sept 30th 2012) of the High Probability ETF Trading strategies which are described in the book ‘High Probability ETF Trading’ by Larry Connors and Cesar Alvarez. The book showed results through to the end of December 2008 and I have been monitoring the results from that period to present day. The full report can be found in the PDF report on the following page:
http://www.edgerater.com/courses/etftbhb/content/2.aspx
I did something a little different this time… instead of just showing the results for the entire period from Jan 1st 2009 – Sept 30th 2012 I also show results for each strategy for the last 3 months (July 1st 2012 – Sept 30th 2012). In addition I show all trades made for those 3 months for the TPS Long and TPS Short strategies.
Here’s a list of the TPS Long Trades:
|
7/9/2012 |
34.58 |
XLI |
7/13/2012 |
34.65 |
86 |
|||
|
7/9/2012 |
133.30 |
SPY |
7/13/2012 |
135.03 |
43 |
5 |
3 |
1.30% |
|
7/9/2012 |
125.18 |
DIA |
7/13/2012 |
126.81 |
77 |
5 |
4 |
1.30% |
|
7/9/2012 |
14.28 |
XLF |
7/13/2012 |
14.65 |
419 |
5 |
3 |
2.57% |
|
7/10/2012 |
62.59 |
QQQ |
7/17/2012 |
63.35 |
94 |
6 |
3 |
1.21% |
|
7/11/2012 |
78.57 |
IWM |
7/13/2012 |
79.46 |
37 |
3 |
2 |
1.14% |
|
7/11/2012 |
20.91 |
XHB |
7/13/2012 |
21.59 |
47 |
3 |
1 |
3.25% |
|
7/20/2012 |
63.68 |
IYR |
7/26/2012 |
64.08 |
155 |
5 |
4 |
0.63% |
|
7/23/2012 |
77.24 |
IWM |
7/27/2012 |
79.01 |
37 |
5 |
2 |
2.29% |
|
7/23/2012 |
37.33 |
XLV |
7/26/2012 |
37.73 |
79 |
4 |
2 |
1.06% |
|
7/23/2012 |
14.17 |
XLF |
7/26/2012 |
14.43 |
211 |
4 |
2 |
1.81% |
|
7/24/2012 |
62.49 |
QQQ |
7/27/2012 |
64.69 |
47 |
4 |
2 |
3.51% |
|
7/24/2012 |
16.29 |
EWH |
7/27/2012 |
16.72 |
183 |
4 |
2 |
2.64% |
|
7/24/2012 |
125.27 |
DIA |
7/26/2012 |
127.98 |
7 |
3 |
1 |
2.16% |
|
7/24/2012 |
133.22 |
SPY |
7/26/2012 |
135.45 |
7 |
3 |
1 |
1.67% |
|
7/25/2012 |
20.86 |
XHB |
7/26/2012 |
21.49 |
47 |
2 |
1 |
3.02% |
|
8/1/2012 |
20.81 |
XHB |
8/3/2012 |
21.41 |
48 |
3 |
1 |
2.88% |
|
8/8/2012 |
63.89 |
IYR |
8/15/2012 |
64.1 |
46 |
6 |
2 |
0.33% |
|
8/22/2012 |
130.04 |
DIA |
9/6/2012 |
132.55 |
45 |
11 |
3 |
1.93% |
|
8/23/2012 |
36.11 |
XLI |
9/6/2012 |
36.45 |
275 |
10 |
4 |
0.95% |
|
8/23/2012 |
16.84 |
EWH |
9/6/2012 |
16.97 |
592 |
10 |
4 |
0.78% |
|
8/23/2012 |
80.21 |
IWM |
8/28/2012 |
81.03 |
12 |
4 |
1 |
1.02% |
|
8/24/2012 |
40.05 |
EEM |
9/6/2012 |
39.72 |
24 |
9 |
1 |
-0.82% |
|
8/24/2012 |
51.66 |
EFA |
9/6/2012 |
52.47 |
192 |
9 |
4 |
1.57% |
|
8/24/2012 |
35.31 |
XLB |
9/6/2012 |
36.05 |
281 |
9 |
4 |
2.09% |
|
8/30/2012 |
70.43 |
XLE |
9/6/2012 |
71.88 |
42 |
5 |
2 |
2.06% |
|
8/30/2012 |
160.52 |
GLD |
8/31/2012 |
164.22 |
6 |
2 |
1 |
2.31% |
|
9/26/2012 |
169.81 |
GLD |
9/27/2012 |
172.34 |
5 |
2 |
1 |
1.49% |
|
9/26/2012 |
17.87 |
EWH |
9/27/2012 |
18.21 |
55 |
2 |
1 |
1.90% |
|
9/26/2012 |
40.93 |
EEM |
9/27/2012 |
41.58 |
24 |
2 |
1 |
1.59% |
All trades made in TPS Long for the period 7/1/2012-09/30/2012
 And Here’s a list of the TPS Short Trades:
|
Entry Date |
Price |
Sym. |
Exit Date |
Price |
Sh. |
Days |
Tr. |
PL % |
|
7/2/2012 |
156.67 |
GLD |
7/6/2012 |
153.71 |
18 |
|||
|
7/2/2012 |
42.19 |
ILF |
7/9/2012 |
41.45 |
70 |
5 |
2 |
1.75% |
|
7/2/2012 |
67.15 |
XLE |
7/9/2012 |
65.7 |
44 |
5 |
2 |
2.16% |
|
7/2/2012 |
12.34 |
EWT |
7/6/2012 |
12.2 |
242 |
4 |
2 |
1.11% |
|
7/2/2012 |
34.02 |
FXI |
7/6/2012 |
33.45 |
87 |
4 |
2 |
1.67% |
|
7/2/2012 |
53.12 |
EWZ |
7/6/2012 |
52.17 |
56 |
4 |
2 |
1.79% |
|
7/2/2012 |
39.37 |
EEM |
7/6/2012 |
38.77 |
75 |
4 |
2 |
1.52% |
|
7/16/2012 |
42.18 |
ILF |
7/23/2012 |
40.97 |
236 |
6 |
4 |
2.87% |
|
7/16/2012 |
67.69 |
XLE |
7/24/2012 |
66.74 |
87 |
7 |
3 |
1.41% |
|
7/16/2012 |
154.21 |
GLD |
7/18/2012 |
153.05 |
6 |
3 |
1 |
0.75% |
|
7/18/2012 |
49.87 |
EFA |
7/20/2012 |
49.15 |
20 |
3 |
1 |
1.44% |
|
7/18/2012 |
52.44 |
EWZ |
7/23/2012 |
50.37 |
56 |
4 |
2 |
3.94% |
|
7/26/2012 |
157.28 |
GLD |
8/1/2012 |
155.14 |
18 |
5 |
2 |
1.36% |
|
7/27/2012 |
34.46 |
FXI |
8/13/2012 |
34.92 |
288 |
12 |
4 |
-1.33% |
|
7/27/2012 |
12.19 |
EWT |
8/20/2012 |
12.67 |
491 |
17 |
3 |
-3.97% |
|
7/27/2012 |
42.76 |
ILF |
8/2/2012 |
41.52 |
23 |
5 |
1 |
2.90% |
|
7/27/2012 |
53.56 |
EWZ |
8/2/2012 |
51.98 |
18 |
5 |
1 |
2.95% |
|
7/27/2012 |
39.53 |
EEM |
8/2/2012 |
38.73 |
25 |
5 |
1 |
2.02% |
|
8/6/2012 |
9.21 |
EWJ |
8/15/2012 |
9.15 |
650 |
8 |
3 |
0.61% |
|
8/6/2012 |
43.28 |
ILF |
8/14/2012 |
42.73 |
137 |
7 |
3 |
1.27% |
|
8/6/2012 |
54.97 |
EWZ |
8/14/2012 |
54.31 |
180 |
7 |
4 |
1.20% |
|
8/9/2012 |
157.12 |
GLD |
8/13/2012 |
155.99 |
18 |
3 |
2 |
0.72% |
|
8/17/2012 |
157.95 |
GLD |
8/29/2012 |
160.59 |
36 |
9 |
3 |
-1.67% |
|
9/7/2012 |
43.08 |
ILF |
9/20/2012 |
43.79 |
23 |
10 |
1 |
-1.65% |
|
9/7/2012 |
56.56 |
EWZ |
9/20/2012 |
56.13 |
105 |
10 |
3 |
0.76% |
|
9/10/2012 |
9.15 |
EWJ |
9/20/2012 |
9.31 |
654 |
9 |
3 |
-1.72% |
|
9/13/2012 |
34.99 |
FXI |
9/25/2012 |
34.2 |
84 |
9 |
2 |
2.25% |
All trades made in TPS Short for the period 7/1/2012-09/30/2012