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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, September 06, 2004 9:54 AM
Subject: Roy Ashworth's report
Commentary written on 09/05/2004The 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 09/03/04Total Trades = 24Num Wins=
7(29.2%)Trades/Position/Year= 7.1Total to date= -11.7%Annualized
Gain= -16.83%Ulcer Index= 10.60%Maximum Draw Down= 15.97%
A-SEL Holdings on 09/03/04
are:
Next## Fund Bought %G/L
Trade-- ----- -------- ------ ------1 FSUTX
08/24/04 2.3 2 FSHOX
08/24/04 2.33 FSAGX
08/24/04 0.74 FSDPX
08/24/04 2.75 FSRBX
08/24/04 1.6
=================================Screen 1(MMR-SUMM Multi window
file)A-SEL(Select Family + SPRXX)Average :From the top:1) The Family
Average is in the upper Bollinger Band (Positive).2) The KST = 1.4
(Positive).3) Family McClellan Summation Index = 317(Negative) (Neutral is
+1900).4) Family McClellan Oscillator = +313(Positive).5) Select Family
Advance-Decline + Summation Indicator Status = BUY on 08/20/04.6) Money
Market Rank (Acc 6-24) = 37 of 42
(Positive).=====================================Screen 2(MWD-AVG Multi
window file)A-SEL (Select Family + Money Market) Family Average:Left to
Right:Monthly - The last candle is Green (Positive). Prices are in the upper
Bollinger Band (Positive). Stochastics, MACD, MACD Histogram, and DMI are
Negative.
Weekly - The last three candles are Green (Positive). Prices are at the
middle Bollinger Band (Neutral). Stochastics, MACD, MACD Histogram and DMI are
Positive.
Daily - RSI, KST, MACD and MACD Histogram are
Positive.=====================================Screen 3 (MWD-US30 Multi
window file)30-Year Bond Yields:
The current yield is 5.05%Left to Right:Monthly - The last candle
is Green (increasing Yields, decreasing Prices)(Negative). Yields are at the
upper Bollinger Band (Negative). Stochastics and DMI are Positive. MACD and MACD
Histogram are Negative. Weekly - The last candle is Green
(Negative). Yields are in the lower Bollinger Band (Positive). Stochastics,
MACD, MACD Histogram and DMI are Positive.
Daily - Yields are in the upper Bollinger Band (Negative). RSI and KST are
Positive. MACD, and MACD Histogram are
Negative.=====================================Conclusion:Bond yields
were slightly higher last week. Yields moved down to test the up trend line
through the lows of June 2003 and March 2004 and the bottom weekly Bollinger
band then turned up. The down move has lasted 16 weeks as the weekly indicators
have moved to levels that usually mark the end of a trend. The daily indicators
are displaying divergences. The move to lower yields is probably over. The
unknown is: will stocks drop as yields move higher? The outlook for stocks on
this basis is negative since stocks and bonds have been more coupled than not
this year.
The Select Family average moved higher last week to find resistance at the
middle weekly Bollinger Band. September is statistically the weakest month of
the year (although crashes usually occur in October). There is a small
possibility that this September could be different since the market has been
correcting all year. On the positive side the McClellan Oscillator has not
formed a negative divergence, which it usually does prior to a trend change.
Right now the best we can hope for this month is that prices will move a little
higher the test the top of the narrow down trending channel that began in
January 2004.
The Dow pushed through its middle weekly Bollinger Band. The NASDAQ 100,
Russell 2000, and Select Family Average found resistance there while the S&P
sits on its middle weekly band. The strength of the Dow and weakness of the
NASDAQ is a negative. Right now the best we can hope for is that prices will
move a little higher the test the top of the narrow down trending channel that
began in January 2004. The tops of the channels are: (Dow,10347.99,
+0.89%)(S&P, 1136.33, +2.04%)(Russell 2000,580.09, +4.29%)(NASDAQ
100,1501.72, +9.47%) Select Family Average, +3.42%).
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