5-15-50 moving averages

[2kids10horses]

I've gone by 2k10h for some time. I haven't been to the Supermodel boards in like, forever! (Come to think of it, I may have used the username "wammy" back then.) Now, I post mostly on Your Money, and mostly about real estate. I live on my real estate rentals, I trade stocks (now ETFs) for fun.

I am familiar with the "negative compounding" of the leveraged ETFs. I think one of the leveraged ETF companies is going to try to mitigate effect somewhat by creating a series of ETFs that promises to double the WEEKLY performance of the base rather than the daily.

But... I read through your thread on MSN yesterday for all of 2010. I was able to find it and read it on google, even though MSN has closed the boards. It was enlightening reading. Especially the thoughts and commentary that accumulated over the course of the year.

After reading where you were starting to play the 5/15 crosses because you weren't getting any 5/15/50 signals, it caused me to step back and think. I don't mind "standing aside" and being in cash when the market isn't trending. But, my thought is to use the leveraged ETFs when the stars are aligned, that is when you do get the 5/15/50 signal, and either go to cash at the first warning, or at least step back to unleveraged at that time.

I'll run some charts to see how it looks.

Best,
2k10h

[yclept]

Index	5 sma	15 sma	50 sma
Dow Ind	11895.53	11779.05	11479.11
S&P 500	1285.51	1281.46	1241.85
COMPX	2711.20	2718.06	2629.91
NDX	2292.43	2291.60	2217.12

COMPX has crossed 5 below 15.
I am currently about 35% cash and will probably not be feeding any more into long positions until this indicator goes full buy again. My screens have been producing more sells (dropped symbols) than buys (added symbols) lately anyway, so I've been getting tugged gently into cash for a few weeks anyway. If I have a quandary, it's that I spent some time today revising algorithms on my best screen that in back-testing seemed to make it as good or even slightly better and more robust (fewer low liquidity holdings). Had everything remained in full buy status I would definitely dropped about three or four tickers that were on the older version of the screen and replaced them with tickers from the new screen. I might do that anyway as it will be pretty much cash/position neutral except for about a hundred bucks worth of commissions.
Or, I might just sell the dropped tickers and not replace them until the moving averages go back to full-buy status. Or I might just sit around and pull my hair out -- reckon they're all equally reasonable options. That is not to say that any one of them is reasonable on its face, but rather that none of them seems any more unreasonable than any other.

[yclept]

Index	5 sma	15 sma	50 sma
Dow Ind	11927.56	11798.67	11494.97
S&P 500	1288.45	1283.22	1243.79
COMPX	2714.03	2721.94	2634.33
NDX	2294.60	2295.78	2220.65

compx and ndx have both now dipped the 5 below the 15.

[yclept]

update portfolio track of ETFs that I started above:

Symbol	Last	Change	%Change	Volume	Position	Bought	Value	Net	%Change
TNA	74.41	3.36	4.72%	8822311	233	09/17/10	$17,337.52	$7,313.85	72.96%
QQQQ	56.83	0.29	0.52%	60447484	208	09/17/10	$11,820.63	$1,800.51	17.96%
UPRO	223.99	2.66	1.20%	827799	67	09/17/10	$15,007.33	$4,993.87	49.87%
QLD	88.54	1.02	1.16%	4044508	157	09/17/10	$13,900.78	$3,864.62	38.50%
SSO	50.93	0.38	0.77%	11017597	257	09/17/10	$13,091.58	$3,100.13	31.02%
DDM	58.4	0.11	0.18%	1467407	218	09/17/10	$12,731.20	$2,720.18	27.17%
UWM	43.61	1.34	3.17%	2450873	335	09/17/10	$14,609.34	$4,592.54	45.84%
FAS	30.1	-0.07	-0.23%	20205520	440	09/17/10	$13,244.00	$3,235.79	32.33%
TQQQ	167	2.54	1.55%	258771	97	09/17/10	$16,199.96	$6,154.43	61.26%
0	0	0	0.00%	0	0	09/17/10	$0.00	$0.00	0.00%
Total	0	0	0.00%	0	0	09/17/10	$127,942.38	$37,775.98	41.89%

[yclept]

NDX has crossed the 5ma back over the 15ma. So the only index still showing the 5 below the 15 is now COMPX

[Deleted]

just got an e-mail from 2-mile (25 mile north west of frisco)... they taught my son how to surf, he got up on his first wave and road it in... the learner board was about 9 feet long tho lol.... here in "fly-over" country we just got a foot of the white stuff.... it's drifted up to about 4 feet not far from my back door...
hope your fruit trees are well....

Attachments:

[yclept]

The four indices I follow have all crossed 5 back above 15 moving averages, so are in "full-buy" status. I'll still post the numbers now and then, but it's become harder with the switch to this message board and the switch in machines so that I'm now using OpenOffice instead of Excel. It's not worse (in fact in lots of ways it's a better spreadsheet program), it's just different.

Still need to prune the walnut -- leaves are all down now. Tomorrow I need to pick some grapefruit -- my dad really likes it and I'm going there tomorrow afternoon. There might be some oranges -- don't know, haven't been to the far back yard this week.

And then there are the weeds. With all the rain we had earlier and all the sun we're having now, the weeds have just gone crazy. Had to repot some Cymbidiums the other day, and empty the bottom tray in the worm bin both because it was completely turned into worm poo and I wanted the poo for the orchid potting mix I was mixing. The worms all seemed happy as can be. You can tell worms are happy when there are a lot of small young worms and little green eggs -- there were lots of both. Cymbidiums are the big non-fragrant temperate climate orchids that are most often used to make corsages.

[yclept]

Back when I used to ski, I remember seeing some girls ski in bikinis -- late March and later it's sometimes warm enough. It never seemed a good idea to me because by then the snow was ice in the morning, corn for a few hours and slush in the afternoon. A fall in the morning would guarantee some nasty abrasions. And if your never falling, you're not pushing. The "oh-shit, can I make it through that at this speed?" feeling is a lot of the fun.

[Deleted]

an old favorite quote of Yclept:

Well, the old Supermodels threads are long gone where folks discussed various implementations of the Vic Lee signal, as, of course, is the original posting he made describing his implementation. The closest I can get nowadays is to quote Markman in his second book, ONLINE INVESTING second edition (sic). So I guess I'll do a little typing from page 35 of above:
Purchase positions in FOG stocks only when their 5-day moving average is higher than their 15-day moving average -- or, in a more laid-back version of the rule, when their 15-day moving average is higher than their 50-day moving average. ... Sell when the shorter-term moving average crosses below the longer-term moving average.
Purchase positions in FOG stocks when the 15-day simple moving average of the NASDAQ Composite Index crosses above the Index's 50-day simple moving average. Sell when the shorter-term moving average crosses beneath the longer-term moving average. This is the investment equivalent of going outside in a T-shirt and sandals only when it's sunny.
The interpretation I've used is to start entering positions when the 5-day is above the 15-day and put the pedal-to-the-metal when the 5 is above the 15 which is above the 50. Likewise I should lighten up when the 5 drops below the 15 and get out if the 15 drops below the 50. Those signals occurred last May, and I ignored them, much to my chagrin and financial woe.
"Vic Lee Strategy"
buy only when the 5 crosses above the 15 and when both the 5 and 15 are above the 50.
short only when the 5 crosses below the 15 and when both are below the 50.

stockcharts.com/h-sc/ui?s=$INDU&p=D&yr=1&mn=0&dy=0&id=p15556742177

[Deleted]

the most excepted definition of a golden cross:

A golden cross is when the 50-day moving average for an index crosses above the 200-day moving average.

likewise try to think of Vic Lee's 15/50 up cross as maybe a mini golden cross or should the 15 down cross the 50 think of it as the black cross or the death cross ......

[yclept]

All four indices I follow have crossed the 5ma below the 15. I think it happened Friday, but I forgot to run the program Friday. So we are no longer in full-buy mode.

[Deleted]

Thanks Yclept,
a trader could almost forget the 50ma and only long/short trade the 5ma and 15ma....
the 0 (zero) line of the 5,15,1 MACD could also be used, it simulates the cross or same as the cross....
stockcharts.com/h-sc/ui?s=$INDU&p=D&yr=1&mn=0&dy=0&id=p15556742177

Attachments:

[Deleted]

stockcharts.com/h-sc/ui?s=QQQQ&p=D&yr=1&mn=0&dy=0&id=p57671815713
price of the Qs have down crossed the 50ma at this moment

[Deleted]

"TLT" might be a good place to park some money short term
stockcharts.com/h-sc/ui?s=TLT&p=D&yr=1&mn=0&dy=0&id=p43006760626
$SPX closes below the 50ma.
stockcharts.com/h-sc/ui?s=$SPX&p=D&yr=1&mn=0&dy=0&id=p39537123369

[clarkrl2]

Here are some high volume stocks that made a bearish cross of the price<5<15<50 today. There are many more. DRYS, X, ITUB, BRCM, FLEX. There were 85 on the screen. I am becoming increasingly bearish for the short term.

[Deleted]

higher risk traders might like "TMF", it trades like TLT except it is a times 3 direxion etf
stockcharts.com/h-sc/ui?s=TMF&p=D&yr=0&mn=7&dy=0&id=p33252844465

[yclept]

QID (double short NDX) is crossing 5>15>50 by end of today; bought 200 QID

$IXF (NDX) has crossed 5<15<50
The other three indices I track $DJI, $SPX, $COMPQ look very likely to cross 15<50 within the next day or two unless a very, very strong up day occurs soon to overcome the downward momentum of the faster moving averages. The 5ma is already below the 15ma on those indices.
My read, we're headed towards full-sell signals; I obviously picked up a starting short position today -- mostly to help balance out the losses most of the rest of the portfolio is incurring on long positions.

I have two positions down over 6% today, SKBI and CEU. One position is up nicely, PWER (+13%); another couple up a bit CCCL (+5%), SBS (+5%). Most of the rest are up or down a few percent.
Market is obviously experiencing aftershocks.

[yclept]

NDX (Nasdaq 100) and COMPX (Nasdaq composite) are both showing 5<15<50, so are in full-sell status.
DJI and SP500 still have 15>50, but only barely so, and it is most likely that momentum alone will cross them negative withing a very short time.

[Deleted]

here's an interesting scan but i think i can do better.
[a href="http://stockcharts.com/def/servlet/SC.scan?s=TVDE[bu0,20][T.T_EQ_S]![T.E_EQ_Y]![AS0,20,TV_GT_40000]![BU0,20_LT_-100]![BU1,20_GE_-100]![BU2,20_GT_-100]"]http://stockcharts.com/def/servlet/SC.scan?s=TVDE[bu0,20][T.T_EQ_S]![T.E_EQ_Y]![AS0,20,TV_GT_40000]![BU0,20_LT_-100]![BU1,20_GE_-100]![BU2,20_GT_-100][/a]

[yclept]

MajEasy,
You can build a screen for that using StockScreen123.com
It's a paid service, but only about $15/mo -- easily worth it in my opinion -- the best screener I've ever encountered and it has backtesting functions.
I don't have a screen written that specifically looks for 5 crossing above 15 crossing above 50. I think I used to have one, but didn't find it backtested very well, so ditched it. One factor, of course, is that the crosses are not all going to happen at once, so one has to decide if one wants the 15 already above the 50 and watch for the 5 to cross above the 15, or if one wants the 5 already above the 15 and watch for the 15 to cross above the 50.

[Deleted]

Thanks Yclept,

i need to do a better job of managing my decision making time...
i've got some great trading software with a 60 to 65% win-rate and with low risk/reward ratios....
but i grow tired of waisting time, by looking at 30 to 50 charts a day, that don't come close enough to my trading criteria

[clarkrl2]

I think one reason the screen doesn't backtest well is because the exit is not defined. A person would probably want to keep a trailing stop at either the Price crossing above the 15 or some other sma. Here are the lines I used.

SMA(5,0,1)<SMA(15,0,1)
SMA(15,0,1)<SMA(50,0,1)
SMA(15,1,1)>SMA(50,1,1) Or SMA(5,1,1)>SMA(15,1,1)
Price>2
Price< SMA(5,0,1)

This screen will give the stocks that just met the criteria the previous trading day. Taking out the middle line returns stocks that are currently meeting the criteria regardless of when the criteria have met.

[Deleted]

Clarkrl2,
do you also use StockScreen123.com?

"This screen will give the stocks that just met the criteria the previous trading day."

thanks for sharing

[clarkrl2]

Yes, I subscribe to stockscreen123. To me it's worth the subscription rate.

[yclept]

The four indices I follow (Dow Ind, S&P500, COMPX, and NDX) have all crossed 5 below 15 below 50 moving averages. This is full-sell mode for me (and go short). I've still got a dozen or so positions, but am watching closely for the best time to them. Today's nice pop is offering a nice opportunity to get out.

That being said, I still bought a couple of positions so far today (though one is a double short on Europe, so hardly the same as taking on a long position). It's probably stupid of me, but I still tend to buy some of the best prospects that come up on my screens. I'm playing with the idea of picking up some TWM (2X short Russell) later today when this morning's war mania slows down. The market likes to hear about cruise missiles going "pop" (I think it's kind of like fireworks), but at over a half-a-mil each, I'm not so sure it's such a good thing for the economy. All military spending is pure waste. It stimulates production, but its products have no economic value or use. It's like assigning folks to dig a trench and other folks to follow along and fill it in -- work is done, but nothing useful is produced.

What the hell, every day some stocks go up, others go down, despite what the overall market is doing. In the end, all that matters is that I be right with more assets than I am wrong. It's awfully hard for me to throw assets to the dark side -- I doubt I'll ever have the guts to go fully short.

[yclept]

COMPQ, SPX and DJI have crossed 5 above 15; 15 is still below 50.
IXF will cross 5 above 15 today.

So full-out sell signal is no longer indicated; probably time to cover the shorts.

[yclept]

$spx: 5>15>50
$dji: 5>15>50
$comp: 5>15 but 15<50 (appears ready to cross above)
$ixf: 5>15 but 15<50 (appears ready to cross above)

So, S&P500 and Dow are in full-buy status. NASDAQ composite and NASDAQ 100 are close to crossing full-buy status.

I'm not convinced, and will stay mostly cash until next week.

[yclept]

It's generally not a good thing when there are no bears about, since, as we all know, over-exuberance killed the beaver:
seekingalpha.com/article/262247-large-drops-in-bearish-sentiment?source=email_the_macro_view
But then, one can always find articles to back-up a preconceived stance. That might well be all I'm doing.

[yclept]

$comp has crossed 15 above 50, so now full-buy status.

The only index of the four I track that still has the 15 < 50 is $ixf, and it has momentum to cross upwards today or Monday. At that point all four indices will be in full-buy status.

I ain't buying it.

[yclept]

$dji: 5 has dropped below 15
$spx: 5 has dropped below 15
$comp.q: 5 has dropped below 15
$ixf: 5 has dropped below 15

So, they all agree that the market is beginning to give off a stench. And they all crossed yesterday or today (I think I'll start calling that simultaneous market flatulence), so none is indicating that there is some market cap level that is doing better than the others (market cap being the primary difference between these indices).