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Date Of Report: 2018-10-19


5 Day Model 1 Week Model
SymbolIndicated
Move
Chance Better
Than Average
Indicated Move
Chance of
Indicated Move
SymbolIndicated
Move
Chance Better
Than Average
Indicated Move
Chance of
Indicated Move
 AGGBUY56.1%85.6%
EMBBUY60.2%82.2%EMBBUY64.4%88.9%
 ERYBUY54.4%83.1%
EWJBUY54.0%89.9%EWJBUY55.9%87.7%
EWTSELL53.4%78.8%
 EWZBUY69.1%89.5%
EZUSELL55.9%82.1%EZUSELL53.8%81.1%
FAZSELL56.9%88.3%
FEZBUY59.7%87.3%FEZBUY60.7%87.2%
FXIBUY53.8%84.2%
 GDXJBUY58.5%84.8%
GLDBUY52.2%79.3%
IBBBUY50.3%79.1%
IEFSELL57.3%85.4%
 IEFABUY50.8%89.2%
IEMGBUY62.5%86.5%
IJRBUY63.9%86.8%IJRBUY63.0%91.0%
 INDASELL52.3%80.8%
ITBBUY55.9%84.6%ITBBUY69.1%92.6%
IVVBUY55.3%85.8%
IYRBUY56.5%87.4%
 JNKBUY66.0%92.6%
KREBUY62.4%82.7%KRESELL55.0%85.9%
OIHSELL64.6%89.4%OIHSELL59.2%90.8%
QQQBUY69.7%90.8%
SDOWSELL64.3%92.1%
SDSSELL59.5%87.7%
SHSELL61.0%88.8%
SMHBUY59.7%87.8%
SPXLBUY64.1%88.7%
SPXSSELL63.9%88.7%
SPXUSELL60.1%87.5%
SQQQSELL64.0%90.2%
SSOBUY58.1%86.8%
SVXYBUY59.9%90.1%
 TNABUY64.1%92.7%
TQQQBUY62.8%91.6%
TVIXSELL71.0%93.5%
TZASELL60.5%83.5%TZASELL67.6%93.7%
 UCOSELL68.4%90.2%
UPROBUY63.2%88.5%
UVXYSELL69.2%94.9%
UWTSELL61.6%82.6%UWTSELL75.0%97.5%
VNQBUY56.1%85.4%
VWOSELL65.7%89.8%
VXXSELL62.5%92.3%
 XBISELL66.2%90.3%
XHBBUY58.3%83.3%
XLBBUY57.8%87.8%
XLEBUY57.8%85.8%XLESELL53.4%89.2%
XLIBUY52.6%87.0%
XLKBUY57.5%90.9%XLKBUY75.1%94.6%
 XLPBUY53.8%91.5%
XLYBUY57.0%87.3%XLYBUY66.8%94.5%
 XMESELL55.9%92.2%
XOPSELL61.0%92.1%
XRTBUY54.2%75.5%XRTBUY51.1%86.2%

Looking out another week or so...

10 Day Model 2 Week Model
SymbolIndicated
Move
Chance Better
Than Average
Indicated Move
Chance of
Indicated Move
SymbolIndicated
Move
Chance Better
Than Average
Indicated Move
Chance of
Indicated Move
AMJSELL68.6%87.0%
AMLPSELL58.9%79.8%AMLPSELL71.3%89.2%
BKLNSELL63.5%87.6%BKLNSELL73.3%93.3%
 DGAZBUY63.4%91.4%
DIABUY69.4%91.7%
DRIPBUY60.0%76.5%DRIPBUY56.4%80.0%
 DWTBUY83.9%88.7%
EFASELL65.5%89.0%
EMBBUY60.5%83.6%EMBBUY71.4%89.9%
EMLCBUY69.8%89.1%
ERYSELL73.0%87.3%
 EWGSELL66.7%85.5%
EWHSELL58.3%81.9%
EWTBUY66.8%87.5%EWTBUY72.1%90.4%
EZUBUY65.3%84.4%EZUSELL59.4%83.2%
 FEZSELL54.7%83.1%
FXISELL50.7%79.5%
GDXBUY66.2%87.3%
GDXJBUY61.8%83.6%GDXJBUY69.5%88.0%
 GLDBUY71.6%90.3%
HYGBUY60.9%86.4%
IEFBUY61.0%84.1%
 IEFASELL70.4%88.7%
INDABUY71.1%85.1%INDASELL59.2%81.0%
IVVSELL52.3%68.6%IVVBUY79.7%92.9%
JNKBUY59.1%84.1%
KRESELL60.6%76.8%KRESELL55.9%79.3%
MCHISELL58.1%78.7%
QQQBUY71.1%89.0%
SDOWSELL73.3%94.3%
SDSSELL75.9%95.9%
SLVSELL69.0%87.0%SLVBUY70.0%91.8%
SMHBUY77.8%96.5%SMHBUY79.2%95.2%
SPXSSELL80.4%94.1%
SPXUSELL74.7%94.8%
SQQQSELL79.3%97.4%
 SSOBUY74.5%94.2%
TQQQBUY74.6%92.4%
TVIXBUY57.5%72.6%
TZASELL69.5%93.5%TZASELL80.0%96.1%
 UGAZSELL70.0%95.3%
UNGSELL68.7%90.3%
UPROBUY74.7%93.0%
USLVSELL68.9%90.6%
UWTSELL76.6%90.9%UWTSELL80.5%89.6%
VEASELL62.3%81.2%VEASELL66.7%89.9%
 VGKSELL60.5%80.9%
VNQSELL60.7%82.8%
VOOBUY77.0%92.2%VOOBUY81.1%93.9%
VTIBUY78.8%91.0%
 VXXBUY51.6%73.4%
XHBSELL66.9%90.9%
XLBBUY68.8%92.9%XLBBUY68.9%97.0%
XLEBUY67.0%82.7%
 XLKBUY75.2%93.7%
XLUBUY63.3%87.1%
 XLVSELL58.3%79.5%
XLYBUY66.9%95.9%
 XOPSELL73.4%90.2%

Results for Previous Reports
With Final Closes That Occur On 2018-10-19

Chance of
Indicated Move
Percentage Of
Calls That Were Correct
Percentage Change
for Period
Did Percentage Beat
Market Percentage Change
of -1.44% for Same Period
5 Day Call made on 2018-10-15
all53.57%-0.57%
>80%60.61%-0.89%
>90%66.67%0.87%
1 Week Call made on 2018-10-15
all47.46%0.66%
>80%58.33%1.21%
>90%75.00%1.52%
When Both Agree47.37%0.57%
 
Chance of
Indicated Move
Percentage Of
Calls That Were Correct
Percentage Change
for Period
Did Percentage Beat
Market Percentage Change
of -3.82% for Same Period
10 Day Call made on 2018-10-08
all57.58%0.82%
>80%47.62%-1.59%
>90%25.00%-3.64%
2 Week Call made on 2018-10-08
all56.25%1.75%
>80%51.85%-0.27%
>90%27.27%-5.72%
When Both Agree52.63%1.70%
 

How Do These Models Work

  • Analyzes the top 100 ETFs by volume according to etfdb.com
    • $DWTI and $UWTI, though part of the 100 ETFs, are not part of the study. There is not enough data for the models to analyze and predict.
  • Uses the machine learning algorithms of the WEKA package from University of Waikato, New Zealand in particular the RandomForest classifier.
  • Uses the following stock technical analysis tools from ta-lib libraries by TicTacTec LLC. to create various attributes.
    • 3 Simple Moving Average: Periods 5, 13 and 19, days/weeks.
    • MACD
    • RSI
    • Bollinger Bands
  • Uses the following classifications:
    • strong buy - when the price change is greater than the average positive change
    • buy - price change > 0
    • strong sell - when the price change is less than the average negative change
    • sell - price change < 0
  • Displays only when the models forecasts a sysmbol's result to be either a strong buy or strong sell.
    Probabilities are computed using the confusion matrix.
  • On August 19, 2018, after yet another 2 weeks of poor performance, a model rebuild was executed with some tweaks to the underlying Java code. It really bothers me that the models peformed well through the first 6 months of this year and then to see the July and August #s underperforming.
    We'll see...

'Results for Reports' Notes

  • Starting price data is selected using data from the next market day.
  • All price data for a day is an average of the open, high, low and close for that day.
  • Percentage change is computed using the final date's price divided by the starting price.
  • When a correct call is made
      If a "Buy" call was made and is correct then the symbol's related percentage change is used in the average.
    • If a "Sell" call was made and is correct then the inverse of the percentage change is used in the average.
  • When the call is incorrect
    • If a "Buy" call was made and is incorrect then the symbol's inverse percentage change is used in the average.
    • If a "Sell" call was made and is incorrect then the percentage change is used in the average.
  • Market Percentage Change is defined as the average of both the DJIA and SP500 for the reporting period.

Disclaimer

Past Performance Is No Guarantee of Future Results

This blog is for informational use only. I do not recommend buying or selling any financial instrument.

This is not investment advice!

None of the information or opinions expressed in this blog constitutes a solicitation for the purchase or sale of any security or other instrument.

Any purchase or sale activity in any securities or other instrument mentioned here should be based upon your own analysis and conclusions.

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