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[RT] Fw: Roy Ashworth's report



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----- Original Message ----- 
From: <A 
title=mike-burk@xxxxxxxxxxxxxxxxxxxxxx 
href="">Mike Burk ; <A 
title=mike-burk@xxxxxxxxxxxxxxxxxxxxxx 
href="">Mike Burk 
To: <A title=mike-burk@xxxxxxxxxxxxxxxxxxxxxx 
href="">Mike Burk 
Sent: Monday, May 10, 2004 9:17 AM
Subject: Roy Ashworth's report

Commentary written on 05/09/2004The trading 
system that was developed on data from 1/1/88 to 1/1/96 obviously failed in 
1999. The parameters that worked for 10 years did not fit 1999 market 
conditions. I have optimized the parameters to fit the market from 1/1/98 to 
12/31/99. The Critical parameters are:
 
2) 
Family             
A-SEL(38 Selects+MM)8) Rank 
Short         109) Rank 
Long          6010) Slope 
LookBack    011) Ranking Method    ACC17) 
Wilder Accel      0.000618) Signal 
File       A-SEL24) Min Rank to 
Buy   1027) Maxi Rnk to Hold  1628) Num of 
Pos        535) Min Dys to 
Hld    3036) 
Penalty           
0.75%
 
The performance of this System in 2003 was:From 
12/31/02 to 12/31/03Total Trades = 21Num Wins= 
14(66.7%)Trades/Position/Year= 4.2Total to date= 32.0%Annualized 
Gain= 32.0%Maximum Draw Down= 12.30%Ulcer Index= 5.06%
 
The current performance of this System is:From 
12/31/03 to 05/07/04Total Trades = 14Num Wins= 
6(42.9%)Trades/Position/Year= 8.1Total to date= -10.5%Annualized 
Gain= -27.20%Ulcer Index= 5.41%Maximum Draw Down= 13.08%
 
A-SEL Holdings on 05/07/04 
are:                            
Next## Fund   Bought     %G/L   
Trade-- -----  --------  ------  ------1  FSCHX 
04/14/04    (3.3)  SPRXX2  FSNGX 
04/16/04    (4.7)3  SPRXX 
04/02/04     0.0 4  FBIOX 
04/13/04    (1.2)  SPRXX 5  FSENX 
04/14/04    (1.1)FDLSX was sold during the week.
 
=================================Screen 1(MMR-SUMM Multi window 
file)A-SEL(Select Family + SPRXX)Average :From the top:1) The Family 
Average is in the lower Bollinger Band (Negative).2) The KST = -4.9 
(Negative).3) Family McClellan Summation Index = -829(Negative) (Neutral is 
+1900).4) Family McClellan Oscillator = -354(Negative).5) Select Family 
Advance-Decline + Summation Indicator Status = SELL on 04/28/04.6) Money 
Market Rank (Acc 6-24) = 7 of 42 
(Negative).=====================================Screen 2(MWD-AVG Multi 
window file)A-SEL (Select Family + Money Market) Family Average:Left to 
Right:Monthly - The last three candles are Red (Negative). Prices are in the 
upper Bollinger Band (Positive). Stochastics, MACD, MACD Histogram and DMI are 
Positive.
 
Weekly - The last two candles are Red (Negative). Prices are in the lower 
Bollinger Band (Negative). Stochastics, MACD, MACD Histogram, and DMI are 
Negative.
 
Daily - RSI, KST, MACD and MACD Histogram are 
Negative.=====================================Screen 3 (MWD-US30 Multi 
window file)30-Year Bond Yields:
 
The current yield is 5.47%Left to Right:Monthly - The last two 
candles are Green (increasing Yields, decreasing Prices)(Negative). Yields are 
in the upper Bollinger Band (Negative). Stochastics, MACD, MACD Histogram, and 
DMI are Negative. Weekly - The last four candles are Green 
(Negative). Yields are in the upper Bollinger Band (Negative). Stochastics, 
MACD, MACD Histogram and DMI are Negative. 
 
Daily - Yields are in the upper Bollinger Band (Negative). KST, RSI, MACD 
and MACD Histogram are Negative. 
=====================================Conclusion:Bond yields moved 
sharply higher again last week. Yields pushed through a downtrend line through 
the highs of January 2000 and August 2003. The next target is a downtrend line 
through the highs of November 1994 and January 2000 (5.76%). Since stocks and 
bonds have re-coupled the stocks should not rally until bond yields move lower 
from this trendline. If this trendline is broken something very serious has 
happened.
 
The Select Family average moved lower again last week to the bottom weekly 
Bollinger band. Prices are now 1.35% above the bottom of the channel that began 
in March 2003 and 0.3% below the March 2004 low (1% lower). We are at a critical 
point. If the March 2003 channel does not hold the next support is the November 
2003 lows (6% lower).
 
The Dow, Russell 2000, S&P, and Select Family Average all moved lower 
last week. The NASDAQ 100 ended the week slightly higher. All the indices are at 
the bottom weekly Bollinger bands. The Russell 2000 and Select Family Average 
moved below their March 2004 lows but are at the bottom of channels that began 
in March 2003. Prices have been in a sideways correction since January. The 
weekly Bollinger bands are narrow and should expand as prices begin to trend. I 
believe the trend will be up and the rally will continue to the November 
elections.

 
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