Market Switching System Error

An error in calculating the annual percentage has been corrected, and past postings have had the incorrect per annum percentages omitted. The per-annum percentages here are believed to be correct, verified by calculating each year to arrive at the present balances. Actual system performance does not change; only the calculated reporting of that performance.

The performance year-to-date has improved since last reported, but is just now passing zero, or break even. This performance, although satisfactory overall, is not satisfactory in the short run.

In a first effort to resolve this year-to-date performance, a switch to using the NASDAQ highs-lows was proposed and definitely improves performance in this time frame.

However, over the life of the system, performance lags that of the New York Stock Exchange high-lows. Determining an alternate manner that will improve performance remains on the "to-do" list. Now that the NYSE high-low system has made the switch, performance in the immediate future should be excellent.

An immediate improvement can best be realized by switching to alternate ETF Pairs such as TNA-TZA, the ETFs for the Russell 2000. Small cap stocks usually lead out of a bear-market bottom, which was March 6, plus TNA-TZA are 3X ETFs where are QLD-QID are 2X. Should one prefer large caps, BGU-BGZ are 3X ETFs representing the Russell 1000. These 3X ETFs did not exist during the backtest period of the system, thus could not be used for system development, but they outperform QLD-QID during the period of their existence.

Although the $NAHL did not perform over the long run as well as $NYHL, it also didn't have the near 30% draw down experienced year-to-date. It had some, but only half that of $NYHL. The bottom was March 6, and the $NAHL called that well, switching definitively March 23. Until a better manner can be determined, $NAHL is now outperforming $NYHL significantly (76.7% vs 16.7% year-to-date).