Wednesday, February 03, 2010
Just for comparison sake I ran the 6 period moving linear regression sort on both 1 and 2 day bars. Of note is the concurrent low rankings of VXX, SH, TLT and the Qs.
Perhaps surprisingly, the SPY is ranked #1 on the daily sort with the DIA close behind. A more typical scenario is momentum leadership held by the higher beta indices. The sort results reflect SPY performance Tuesday: up 1.3%, with the IWM & DIA up 1% and the Qs up .7%.
As an aside, I personally avoid trading the DIA as it's composed of only 30 stocks, many of which are heavily gamed on a daily basis by large prop shops and the open and close in DIA components can be interesting, to say the least. In addition, a quick look at volume distribution among the DIA components will show that the hands down leaders every day are often INTC and MSFT, a fact that tends to skew DIA performance in line with the SMH. That's not necessarily a trading handicap, but it does help to be aware of the alignment.
The new format should be operational by the end of the month.