Wave Machine - Depth Model


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Preset

Include ETFs:
ASA (1980-01-02) BIL (2007-05-30) BRPIX (1999-07-08) BTTRX (1996-02-15) BWX (2007-10-11) DBA (2007-01-05) DBC (2006-02-06) DBO (2007-01-05)
DIA (1998-01-20) DOG (2006-06-21) EEM (2003-04-15) EMB (2007-12-19) EPI (2008-02-26) EPP (2001-10-26) EWA (1996-04-01) EWC (1996-04-01)
EWD (1996-04-01) EWG (1996-04-01) EWH (1996-04-01) EWI (1996-04-01) EWJ (1996-04-01) EWK (1996-04-01) EWL (1996-04-01) EWM (1996-04-01)
EWN (1996-04-01) EWO (1996-04-01) EWP (1996-04-01) EWQ (1996-04-01) EWS (1996-04-01) EWT (2000-06-23) EWU (1996-04-01) EWW (1996-04-01)
EWY (2000-05-12) EWZ (2000-07-14) EZA (2003-05-28) FEZ (2002-10-21) FIEUX (1986-11-21) FXI (2004-10-12) GAF (2007-03-23) GEX (2007-05-09)
GLD (2004-11-18) GMF (2007-03-23) GSG (2006-07-21) GUR (2007-03-23) HNW (2007-05-30) HYG (2007-04-11) IEV (2000-07-28) IEZ (2006-05-05)
IFN (1994-02-15) IJR (2000-05-26) IJT (2000-07-28) ILF (2003-05-06) IOO (2000-12-08) IVW (2000-05-26) IWM (2000-05-26) IWO (2000-07-28)
IWP (2001-08-02) IXC (2001-11-26) IXJ (2001-11-26) IXN (2001-11-26) IXP (2001-11-26) IYR (2000-06-19) KOL (2008-01-15) LAQ (1990-07-25)
MYY (2006-06-21) OIL (2006-08-16) PBW (2005-03-03) PGJ (2004-12-09) PIN (2008-03-05) PSQ (2006-06-21) PZD (2006-10-24) QQQQ (1999-03-10)
RMR () RSX (2007-05-07) RWX (2007-03-02) SASPX (1995-07-14) SH (2006-06-21) SPY (1993-01-29) SWPIX () SWSMX ()
TFC (1989-06-30) TLT (2002-07-31) TTF (1988-02-17) TWN (1989-06-30) UNG (2007-04-18) USO (2006-04-12) WPS (2007-08-07) XLB (1998-12-22)
XLE (1998-12-22) XLF (1998-12-22) XLI (1998-12-22) XLK (1998-12-22) XLP (1998-12-22) XLU (1998-12-22) XLV (1998-12-22) XLY (1998-12-22)

Select ETFs:

Use the log of the gains
Normalize the returns
Go to cash when $BPNDX is >= 75
Segment 1: Day to day weight Must be rising
Segment 2: Day to day weight Must be rising
Segment 3: Day to day weight Must be rising
Depth
Add % to the raw gain of the currently held ETF as a "step" over which the next ETF must climb
Add % to the log/normal/avearged gain of the currently held ETF as a "step" over which the next ETF must climb
Start from (Friday)
Check the model every Friday or else every trading days
Trade trading days after the decision day


Using Price Data through 2010-01-22.
The listed date is the Friday on which the decision is made.
Trades use the adjusted close price of the trade day.