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this is with permition
Subject: Roy Ashworth's report
Commentary written on 06/04/2005
I re-optimized the system for the period 03/27/2000
(the beginning of the bear market based on the NDX) to 12/31/2004. The
parameters to fit the market from 03/27/2000 to 12/31/2004 were:
FastRUBE Trading System Parameters
2)
Family
A-SEL(38 Selects+MM)
8) Accutrack Average = 10
9)
Accutrack Smoothing = 10
10) Slope LookBack
= 20
11) Ranking Method
= Accutrack
17) Wilder Acceleration
= 0.0006
24) Minimum Rank to Buy = 15
27) Maximum Rank to Hold
= 5
28) Number of Positions = 5
35) Minimum Days to Hold = 30
36)
Penalty
=
0.75%
From 12/31/04 to 06/03/05
Total Trades =
14
Num Wins= 6(42.9%)
Trades/Position/Year= 6.6
Total to date=
+1.6%
Annualized Gain= +3.78%
Ulcer Index= 5.58%
Maximum Draw Down=
8.87%
A-SEL Holdings on 06/03/05
are:
Next
## Fund Bought %G/L
Trade
-- ----- -------- ------ ------
1 FSPCX
05/05/05 1.5 FSNGX
2 FBIOX
05/05/05 0.8 FSESX
3 FSMEX
05/05/05 0.9 FSDCX
4 FSRBX
05/05/05 (1.1) FSNRX
5 FSPHX
05/05/05 1.4
FSENX
===================================================================
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 = +3.5 (Positive).
3) Family McClellan Summation
Index = 3338(Positive) (Neutral is +1900).
4) Family McClellan Oscillator =
+251(Positive).
5) Select Family Advance-Decline + Summation Indicator Status
= BUY on 05/04/05.
6) Money Market Rank (Acc 6-24) = 41 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 Red (Negative).
Prices are in the upper Bollinger Band (Positive). Stochastics and DMI are
Positive. MACD and MACD Histogram are Negative.
Weekly - The last three candles are Green
(Positive). Prices are in the upper Bollinger Band (Positive). 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 4.29%
Left to
Right:
Monthly - The last candle is Green (increasing Yields, decreasing
Prices)(Negative). Yields are in the lower Bollinger Band (Positive).
Stochastics, MACD, MACD Histogram and DMI are Positive.
Weekly -
The last candle is Red (Positive). Yields are in the lower Bollinger Band
(Positive). Stochastics, MACD, MACD Histogram, and DMI are Positive.
Daily - Yields are in the lower Bollinger Band
(Positive). RSI, KST, MACD and MACD Histogram are Positive.
===================================================================
Conclusion:
Bond yields moved sharply lower last week. The
weekly candle has the look of a Hammer, which is an end of trend pattern. Yields
also moved close to the bottom of the down trending channel that began in June
2004. Yields should begin to move to the top of the channel (4.61%), which
corresponds to the middle weekly Bollinger band.
The Select Family average moved higher last week.
The weekly indicators have ticked positive. The Family McClellan Oscillator
moved above +400 for seven of the last 12 trading days. This is the sign of a
lot of initial momentum and indicates the start of a profitable rally. The daily
indicators are at overbought levels so a minor pullback is expected. Prices have
been in a major correction since January and will therefore probably rally
through August to be followed by the normal September-October sell-off.
The Dow, S&P, and NASDAQ 100 moved lower last
week while the Russell 2000 and Select Family Average moved higher. The strength
of the small caps is a positive. The Dow was the weakest index, which is also a
positive. The Dow, S&P, and Select Family Average should move to the top of
the expanding triangles that started in December. The Russell 2000 and NASDAQ
100 should test the December highs. [DJ= 11077.52 or +5.89%][S&P=1244.88 or
+4.09%][NASDAQ 100=1627.46 or +5.37%][Russell 2000= 654.57 or +5.52%][Select
Family Average=+3.56%]. The NASDAQ 100 is at the top of the weekly Bollinger
band and the Russell 2000 is also near a down trend line that began in late
December so some resistance is expected here. Prices have been in a major
correction since January so prices will probably rally through August and will
be followed by the normal September-October sell-off.
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