With the VIX hitting another intraday low yesterday below 17 the mean reversion rubber band is stretched to historic limits not seen for several years, so caution is the current watchword for Longs.
While we wait to see how the current market dynamic resolve here's another approach to my Lazy Man's rotation model.
This time I'm using Worden Bros Telechart program. For this test I'm using a search basket of 10 ETFs, a bit larger than my Lazy Man's 4 ETF model. And, for a momentum indicator, we've set up a 10 bar linear regression channel to complement our standard 30 linear regression channel indicator.
One of the nice things about Telechart (Gold EOD version shown) is the ability to simply right click the mouse cursor on any chart indicator and the program will sort your selected watchlist by a number of parameters related to that indicator. In this case I've chosen "Visual Slope" as the sort criteria. I could have easily substituted either canned watchlists or any other custom watchlist in lieu of my "Rotation" list.
For sort results, I'm really only interested in the relative slope value and the beta although there are about 30 different metrics I can examine, if so inclined.
Another nice feature of Telechart is the ability to sort indicator data based on daily, 2,3,4,5 day, weekly, monthly, etc. bars, so you can pretty quickly separate the one night stands from the BFFs.
In this case, old reliable IWM comes out number one after sorting the LR10 on 2,3 and 4 day bars and looks like the best shot going forward short term.
It easy to export Telechart data into a number of formats for recycling into other analytical programs including older versions of Trade Station and looking forward, I'm working on graphical interface to reflect the equity curve of the Telechart rotational model.
If there's any interest I'll explore some of the ways that the EasyScan feature can consistently find good momentum candidates . . long or short.