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Regional Systematic Momentum Model

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ben2k9

Posted : Sunday, January 24, 2010 11:47:02 AM

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Joined: 7/1/2008
Posts: 889

I have a momentum model trading the iShares country specific ETFs that has smoked the SPY & EFA over a full market cycle.

The rules are simple:

ETF Universe: EWA, EWC, EWD, EWG, EWH, EWI, EWJ, EWK, EWL, EWM, EWN, EWO, EWP, EWQ, EWS, EWT, EWU, EWW, EWY, EWZ, EZA, FXI, + SPY for US and SHY for cash.

At the end of each month, sort all ETFs by return over the trailing 3 months. buy the best performing one. Repeat monthly. If there are no ETFs with a positive rate of return over the past 3 months, buy SHY for cash.

2004-end of 2009, system returned 210%, versus 23.8% for EFA and 0.14% for SPY. Does not include dividends.

There are probably a dozen ways to improve this system...changing the lookback period from 3 months to a different period, buying 2 ETFs instead of one...you backtesting experts could easily figure it out. Just be careful not to over-optimize for the past...the system should be robust & simple. Also, due to the explosion in ETFs lately, there are more counties that should enhance returns going forward, but can't be backtested, unless one had a database of actual country indexes to test with instead of ETFs.

Cheers

diceman

Posted : Sunday, January 24, 2010 12:12:57 PM

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Posts: 6,049

See this:

http://forums.worden.com/Default.aspx?g=posts&t=26798

Thanks
diceman

ben2k9

Posted : Sunday, January 24, 2010 1:57:50 PM

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QUOTE (diceman)

See this:

http://forums.worden.com/Default.aspx?g=posts&t=26798

Thanks
diceman

interesting thread...not to open a can of worms, but I noticed a flaw in the way DJH was measuring monthly returns on his backtests using the custom date sort. Monthly returns should be measured from the close of the last day of the prior month, to the close of the last day of the current month. Otherwise an entire day of returns from close to open every month is being ignored.

diceman

Posted : Sunday, January 24, 2010 3:01:23 PM

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Joined: 1/28/2005
Posts: 6,049

If your end of day.
You would probably want the open since thats the price you would actually be filled at.

Thanks
diceman

ben2k9

Posted : Sunday, January 24, 2010 4:22:56 PM

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Posts: 889

Yes but if you're comparing system monthly returns against an annual index return, like the Russell 1000 as in the thread, the comparison becomes invalid. The index itself was fully invested for the year and didn't take one night off per month like the monthly sort effectively did. 12 close-to-open price changes per year ignored could swing performance by a statistically significant amount, enough to corrupt the results. (especially on stocks as volatile as the ones in the study) See what I'm saying?

diceman

Posted : Sunday, January 24, 2010 4:59:03 PM

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Posts: 6,049

Yeah, but typically when I run these types of things I run the index with it.
(or use something like SPY, IWM, QQQQ depending on what's being done)

So I never consider it much of a problem.

By the way, for anyone who's only mildly reading thru this.
The 2005 numbers (if I remember correctly) are wrong.

Scott said he would re-do them but never did.

Thanks
diceman

wwrightjuly4

Posted : Sunday, January 24, 2010 7:33:23 PM

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Posts: 954

That is very Interesting my fine friends....I am going to have to study this, more food for thought.

Is the End of the month sensitive, Are the results posted on the same day or daily. Is the end of month arbitrary?

So is that 210/5 = 40%

Thanks DM, Ben.

ben2k9

Posted : Sunday, January 24, 2010 9:13:10 PM

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Posts: 889

QUOTE (wwrightjuly4)

The calculation for CAGR is more complex than 210/5. (Compound Annual Growth Rate) and the study covers 6 years, not 5.

Nonetheless, it's a simple method that even a caveman could implement, that should handily beat the markets over a full cycle...

wwrightjuly4

Posted : Sunday, January 24, 2010 11:13:52 PM

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Posts: 954

That was an educational study of the Russul 1000   top5 vs bottom5.

I think it might work very well, as some illuded to in the summary with some modification

   for   CBO on top5 using ATR,    CSO using ATR on the bottom5   and a 2-3% stop loss. Trailing ATR stop and a trailing 20% stop.

If the timing is right then the patterns would continue...i.e. good stocks continue up, bad stocks continue down. The entry day is arbitrary and is only chosen for a systematic approach to collecting and distributing the equity for the next cycle.

Should buy arbitrary length and day of the month, hold for arbitrary length, let it run stopped out.

hmmm....

HOW TO TEST.   Davids was easy to test (though a good deal of effort which is appreciated). as the time span was constant 30days.

I may have to break open my other software, cant remember if its backtesting had a way of setting the stock based on an Indicator.

Pool of money evenly distribute across 10 points Conditionally. Some would never trigger.

When to kill the C.orders. 30days, 5 days, 15 days?

lets say 15 days, accumulate the cash and re-enter, orders and stops, on current   5and5, which most likely would look like the last 5and5 ? hmmm is that a good idea? Or just the ones that you are not entered into already.

If you get stopped out and the next day is 15days from the last Cond Order so, you take the 5and5 and perhaps end up buying right back into the stock you got stopped out of. ???hmm.

Trade rules....
? Do some brokers have a way of entering a Conditinal buy order with a stop loss using ATR updated daily based on the close of the previous day.

I kind of like the idea of the ETF though, they do tend to trade smoother.

diceman

Posted : Monday, January 25, 2010 12:17:40 AM

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Posts: 6,049

I also tried something where I mixed 2 inverse funds (SH, RWM) with
the sector funds (XLF, XME, XLB , XLK and so on)
You would buy the 2 best each month.

The idea was not to time the market.
Momentum would just make you buy the inverse ETF's during 2008.

I used a 21 day percent change as the decision maker.
(I remember it worked better than 63 days)

It wasn't a priority. So I didn't spend too much time on it.
All I can remember was it had about a 41% return in a period
where the SP-500 lost about 25%.
(sometime between 2007 and mid 2009)

Thanks
diceman

wwrightjuly4

Posted : Monday, January 25, 2010 2:10:54 PM

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Joined: 4/10/2006
Posts: 954

Verify my understanding of the the Table.

lets start with the 2004 Jan, EWZ -6.12 ?So that was the previous months top performer. Loss of 6.12%.

?EFA is that the iShares MSCI

So, it looks like the EFA number is the perfomance for that Month, and the Exx is the performance for that month? correct.

Would you post your spread sheet as csv.
i.e.
ewz, -6.12, ewo, 4.09, ...etc.

where row 1 is 2004, row2 2005, row3 2006.

Just eye balling the charts looks like the scheme was saved by the FXI, could you expect a similar savior every 6 years or whatever...I dont think I have an easy way to extend this analysis, are you pursuing more data.

thanks.

wwrightjuly4

Posted : Monday, January 25, 2010 2:27:34 PM

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Posts: 954

Ok I just noticed the yearly summary. Is that with the equity rolling forward from the previous year? Or is that on a yearly basis.

I think you are saying you rolled the equity into the next year, for the 6 years.

thanks.

diceman

Posted : Monday, January 25, 2010 3:17:06 PM

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Joined: 1/28/2005
Posts: 6,049

Can Stock Finder do a momt. sort/test like this?

Thanks
diceman

wwrightjuly4

Posted : Monday, January 25, 2010 5:03:48 PM

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Joined: 4/10/2006
Posts: 954

Not sure,

Might be able to use a monthly chart on a list of ETFs and then you could generate info for each bar to a file then perform your calcs, and selections write out data

Hmmmm... psuedo code, see if this makes sense.

bars = 60           // assume month data.

for each ETF
        get open1 close2 (bars+1 ago)      // get a starting values for 60+1 months ago.

// Count down from 60 months ago for each ETF find performance and perform some type of selection
// Write the Data, update vars. and continue

for i = bars  ; i > 0 ; i--
{
        foreach ETF        {
             get open2, close2 ETFs (i bars ago)
             change = (open2-close1)/close1        // Change for Next open price minus last months close divided by last months close

             ETFPerformance[ndx] = change
            open1, close1 = open2, close2     // move data for next interation.
         }

         sort performance
         perform selection

        // write the entry price for the open from the next bar. i.e 60-1 =59 entry price for first Month
         then write output data for the month. ETF bars ago,  selected, price open(i-1)

}

I believe you can read/write data to a file. Could then read into excel and perform some calculations.
Prettye sure I glance at some verbage about file processing. I will have to re-read this, from the real-code guide.

...I think it is do-able....what do you suggest.

wwrightjuly4

Posted : Monday, January 25, 2010 5:08:32 PM

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Joined: 4/10/2006
Posts: 954

that should read

for each ETF
get close1 (bars+1 ago) // get a starting values for 60+1 months ago.

you really only need the close1 from the prior month for the loop.

wwrightjuly4

Posted : Monday, January 25, 2010 5:42:43 PM

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Joined: 4/10/2006
Posts: 954

Suppose I could try to work this out on the format Ben listed.
Then could use it in other modified selection process.

http://www.stockfinder.com/assets/RealCode%20Programmers%20Reference.pdf

Example in there for cyclical monthly percentage.... could use that as a basis...

ben2k9

Posted : Monday, January 25, 2010 9:16:43 PM

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Joined: 7/1/2008
Posts: 889

QUOTE (wwrightjuly4)

The COUNTRY ETF row shows what is the active choice for the month, and then beside it is the monthly return of that ETF. The EFA row simply shows EAFE index return for the month as represented by EFA.

Each year's return (momentum) is calculated alongside the EFA for comparison.

The cumlative number takes 2004 through end fo 2009.

FXI went on a strong run in 2007, but hardly "saved" the system. During that time other markets were humming along nicely too. But thats the whole point of the system, to find the strongest country and take a ride with it. it's hard to do any further backtesting since the ETFs started trading around 2003, and got more liquid in 2004. The only other way to backtest would be if someone had access to all the country indices that the ETFs actually represent, and could go back further.

There are so many more countries that could be added now that have ETFs...russia, india, vietnam, gulf states, etc.

momentum investing has been further backtested on sectors & major markets in the book ETF trading strategies revealed, going back quite a bit further. Worth a read if you need further proof.

wwrightjuly4

Posted : Monday, January 25, 2010 11:25:42 PM

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Joined: 4/10/2006
Posts: 954

Thanks Ben, duly noted.

1) I am not finding any way to write data to a file nor-access the list of Symbols. I assume file writeing is a no-no, except as log messages.

2) option, export List data with the Indicator for the Percent change, one file per symbol
integrate into a spread sheet and perform calculations.

3) I think I can write an awk script to process the data and spit out the Max(for the date) to another file. then I can cut and past that here, that will give the symbol and the percent change that caused the selection, but need the next months performance ? hmmm. awk next line and also print that. So you would see two lines per Month the performance for selection and then the next line show the perfomance of the following month.

I used the Price Rate of change % Period 1 On a Monthly chart. We can discuss, can change the Measurement.

The data goes back to 1991, that I am seeing on Bens list, though some entries are 0. Maybe a stockfinder limitation.

wwrightjuly4

Posted : Tuesday, January 26, 2010 2:00:00 AM

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Joined: 4/10/2006
Posts: 954

Okay, for the purpose of enabling someone to cut and paste I used CSV. (enable excel)

Data Export from StockFinder version 4.0.83 from chart Main Chart in layout New Layout at 1/25/2010 10:34 PM

Two lines per the selection process, I could delete the first line but it just fell out this way. (your preference, in the future I could delete first line.)

1Line = represents the selection, the last column is the Price rate change period=1
2Line = the result from that ETF for the following month w/o the File name.

So we can see the selection REASON, and the Performance following line.
Perhaps tomorrow I could summerize like BEN's to show an Accumulated performance. '#1 reproduce the 2004-2010 numbers. Then extend back to 1991.

Perhaps we could discuss similar methods, If you or DM have digested this topic perhaps we could run some more numbers based on your idea's.

Below you will find CSV(comma seperated) formatted data such that you should be able to cut and paste to notepad then save, or some type of text editor. Then open with Excel. The first row id's the etf, The <headers> need commas.

<headers>
Date Time Price History Open Price History High Price History Low Price History Close Price Rate of Change (%) Period 1

ben2k etfs_SPY.txt:1/31/1991,4:00 PM,33.09,34.46,31,34.46,4.14022,
,2/28/1991,4:00 PM,34.46,37.17,34.1,36.78,6.732443
ben2k etfs_EWH.txt:2/28/1991,4:00 PM,4.06,4.47,4.06,4.47,9.828,
,3/31/1991,4:00 PM,36.78,38.04,36.44,37.59,2.202288
ben2k etfs_EWH.txt:3/31/1991,4:00 PM,4.48,4.73,4.48,4.73,5.81656,
,4/30/1991,4:00 PM,37.59,39.2,37.1,37.61,0.05320686
ben2k etfs_EWA.txt:4/30/1991,4:00 PM,6.42,7.01,6.38,6.9,7.309491,
,5/31/1991,4:00 PM,37.61,39.06,36.65,39.06,3.85536
ben2k etfs_EWD.txt:5/31/1991,4:00 PM,7.27,7.88,7.15,7.78,7.607195,
,6/30/1991,4:00 PM,39.06,39.06,36.87,37.19,-4.787513
ben2k etfs_EWA.txt:6/30/1991,4:00 PM,6.71,6.75,6.44,6.74,0.8982028,
,7/31/1991,4:00 PM,37.19,38.86,37.16,38.86,4.49046
ben2k etfs_EWH.txt:7/31/1991,4:00 PM,4.82,5.2,4.82,5.16,9.090905,
,8/31/1991,4:00 PM,38.86,39.76,37.48,39.62,1.955734
ben2k etfs_EWQ.txt:8/31/1991,4:00 PM,8.39,8.91,7.72,8.88,5.966587,
,9/30/1991,4:00 PM,39.62,39.84,38.35,38.86,-1.918219
ben2k etfs_EWJ.txt:9/30/1991,4:00 PM,12.38,13.36,12.38,13.36,8.706263,
,10/31/1991,4:00 PM,38.86,39.46,37.68,39.32,1.183734
ben2k etfs_EWA.txt:10/31/1991,4:00 PM,7.41,7.67,7.24,7.67,4.924762,
,11/30/1991,4:00 PM,39.32,39.87,37.24,37.59,-4.399796
ben2k etfs_EWO.txt:11/30/1991,4:00 PM,9.85,11.25,9.85,10.66,9.109512,
,12/31/1991,4:00 PM,37.59,41.91,37.21,41.79,11.17319
ben2k etfs_EWQ.txt:12/31/1991,4:00 PM,8.97,9.76,8.73,9.76,8.685977,
,1/31/1992,4:00 PM,41.79,42.2,40.94,40.96,-1.986125
ben2k etfs_EWH.txt:1/31/1992,4:00 PM,5.44,5.92,5.44,5.91,8.83978,
,2/29/1992,4:00 PM,40.96,41.89,40.71,41.35,0.9521469
ben2k etfs_EWH.txt:2/29/1992,4:00 PM,6.01,6.38,6.01,6.38,7.952627,
,3/31/1992,4:00 PM,41.35,41.46,40.27,40.45,-2.176536
ben2k etfs_EWD.txt:3/31/1992,4:00 PM,7.1,7.38,7.01,7.33,4.415954,
,4/30/1992,4:00 PM,40.45,41.71,39.32,41.58,2.793575
ben2k etfs_EWH.txt:4/30/1992,4:00 PM,6.31,6.92,6.11,6.84,7.54717,
,5/31/1992,4:00 PM,41.58,41.96,41.06,41.62,0.09619312
ben2k etfs_EWP.txt:5/31/1992,4:00 PM,11.34,12.36,11.34,12.36,9.671687,
,6/30/1992,4:00 PM,41.62,41.81,40.07,40.89,-1.753963
ben2k etfs_EWL.txt:6/30/1992,4:00 PM,5.29,5.43,5.22,5.42,3.041822,
,7/31/1992,4:00 PM,40.9,42.56,40.8,42.5,3.937395
ben2k etfs_EWN.txt:8/31/1992,4:00 PM,9.52,9.72,9.34,9.72,2.423609,
,9/30/1992,4:00 PM,41.48,42.61,41.35,41.86,0.9161068
ben2k etfs_EWL.txt:9/30/1992,4:00 PM,5.67,6.07,5.5,6.07,7.815276,
,10/31/1992,4:00 PM,41.86,42.2,39.76,41.95,0.2150027
ben2k etfs_EWM.txt:10/31/1992,4:00 PM,6.67,7.19,6.5,7.19,7.796102,
,11/30/1992,4:00 PM,41.95,43.28,41.64,43.22,3.027415
ben2k etfs_EWS.txt:11/30/1992,4:00 PM,5.12,5.42,5.05,5.42,8.835342,
,12/31/1992,4:00 PM,43.22,44.35,42.94,43.66,1.018044
ben2k etfs_EWA.txt:12/31/1992,4:00 PM,5.78,6.3,5.75,6.3,8.996539,
,1/31/1993,4:00 PM,43.65,44.35,42.77,43.96,0.687126
ben2k etfs_EWI.txt:1/31/1993,4:00 PM,9.48,10.59,9.46,10.52,9.015553,
,2/28/1993,4:00 PM,43.96,45.13,42.81,44.41,1.02366
ben2k etfs_EWH.txt:2/28/1993,4:00 PM,7.13,7.9,7.07,7.9,9.874826,
,3/31/1993,4:00 PM,44.56,45.84,44.22,45.19,1.756358
ben2k etfs_EWK.txt:3/31/1993,4:00 PM,9.89,10.72,9.89,10.72,8.392314,
,4/30/1993,4:00 PM,45.25,45.25,43.28,44.03,-2.566939
ben2k etfs_EWD.txt:4/30/1993,4:00 PM,6.12,6.67,6.1,6.61,9.800667,
,5/31/1993,4:00 PM,44.09,45.66,43.84,45.22,2.702708
ben2k etfs_EWH.txt:5/31/1993,4:00 PM,8.45,9.29,8.45,9.22,8.598357,
,6/30/1993,4:00 PM,45.38,45.81,44.22,45.06,-0.3538254
ben2k etfs_EWW.txt:6/30/1993,4:00 PM,13.42,13.85,12.95,13.54,1.271504,
,7/31/1993,4:00 PM,45.13,45.22,44.16,44.84,-0.4882406
ben2k etfs_EWA.txt:7/31/1993,4:00 PM,6.56,7.14,6.56,7.14,9.677413,
,8/31/1993,4:00 PM,44.91,46.56,44.84,46.56,3.835864
ben2k etfs_EWN.txt:8/31/1993,4:00 PM,9.86,10.78,9.86,10.78,9.887862,
,9/30/1993,4:00 PM,46.41,46.59,44.81,45.94,-1.331621
ben2k etfs_EWM.txt:9/30/1993,4:00 PM,9.67,10.39,9.81,10.39,7.445711,
,10/31/1993,4:00 PM,45.88,47.16,45.72,46.84,1.95908
ben2k etfs_EWD.txt:10/31/1993,4:00 PM,7.7,8.55,7.7,8.44,9.326423,
,11/30/1993,4:00 PM,46.78,47,45.53,46.34,-1.067464
ben2k etfs_EWW.txt:11/30/1993,4:00 PM,16.64,18.67,15.46,18.38,10.45673,
,12/31/1993,4:00 PM,46.59,47.16,46.38,46.59,0.5394907
ben2k etfs_EWQ.txt:12/31/1993,4:00 PM,11,11.99,11,11.74,8.202759,
,1/31/1994,4:00 PM,46.59,48.31,46.41,48.22,3.498607
ben2k etfs_EWI.txt:1/31/1994,4:00 PM,12.38,13.4,11.76,13.4,9.656296,
,2/28/1994,4:00 PM,48.16,48.28,46.56,46.81,-2.924098
ben2k etfs_EWJ.txt:2/28/1994,4:00 PM,15.31,15.71,14.73,15.71,4.524287,
,3/31/1994,4:00 PM,46.81,47.31,43.53,44.59,-4.742579
ben2k etfs_EWG.txt:3/31/1994,4:00 PM,10.31,10.9,10.03,10.69,3.384907,
,4/30/1994,4:00 PM,43.34,45.36,43.34,45.09,1.121328
ben2k etfs_EWD.txt:4/30/1994,4:00 PM,8.45,9.27,8.45,9.27,8.168037,
,5/31/1994,4:00 PM,45.09,45.94,44.17,45.81,1.596809
ben2k etfs_EWW.txt:5/31/1994,4:00 PM,17.58,19.48,16.72,19.46,7.395133,
,6/30/1994,4:00 PM,45.69,46.56,44,44.47,-2.925126
ben2k etfs_EWO.txt:6/30/1994,4:00 PM,11.14,12.01,10.79,12.01,7.520144,
,7/31/1994,4:00 PM,44.69,46.05,44.38,45.91,3.238135
ben2k etfs_EWQ.txt:7/31/1994,4:00 PM,10.73,11.92,10.73,11.9,9.778593,
,8/31/1994,4:00 PM,45.94,47.98,45.66,47.66,3.811806
ben2k etfs_EWW.txt:8/31/1994,4:00 PM,18.92,21.18,18.92,20.18,7.283365,
,9/30/1994,4:00 PM,47.5,47.72,45.73,46.17,-3.126315
ben2k etfs_EWS.txt:9/30/1994,4:00 PM,9.97,10.29,9.76,10.25,3.015077,
,10/31/1994,4:00 PM,46.19,47.7,45,47.48,2.837343
ben2k etfs_EWD.txt:10/31/1994,4:00 PM,9.11,10.07,9.11,10.06,9.466822,
,11/30/1994,4:00 PM,47.28,47.33,44.61,45.59,-3.980622
ben2k etfs_EWW.txt:11/30/1994,4:00 PM,18.83,19.3,17.67,18.95,0.5838674,
,12/31/1994,4:00 PM,45.63,46.41,44.69,45.56,-0.06580123
ben2k etfs_EWG.txt:12/31/1994,4:00 PM,10.87,11.24,10.69,11.24,3.49908,
,1/31/1995,4:00 PM,45.69,47.23,45.69,47.09,3.358206
ben2k etfs_EWI.txt:1/31/1995,4:00 PM,13.7,14.75,13.09,14.39,6.671613,
,2/28/1995,4:00 PM,47.16,49.16,47,49.02,4.098536
ben2k etfs_EWG.txt:2/28/1995,4:00 PM,11.12,11.94,11.12,11.94,8.348449,
,3/31/1995,4:00 PM,48.97,50.89,46.77,50.11,2.223583
ben2k etfs_EWJ.txt:3/31/1995,4:00 PM,13.72,15.27,13.72,15.27,9.071432,
,4/30/1995,4:00 PM,50.09,51.67,50.06,51.59,2.953501
ben2k etfs_EWD.txt:4/30/1995,4:00 PM,9.67,10.51,9.67,10.51,8.911923,
,5/31/1995,4:00 PM,51.53,53.64,51.39,53.64,3.973637
ben2k etfs_EWS.txt:5/31/1995,4:00 PM,10.29,11.29,10.16,11.23,9.347605,
,6/30/1995,4:00 PM,53.41,55.16,52.75,54.41,1.435497
ben2k etfs_EWW.txt:6/30/1995,4:00 PM,9.06,9.59,8.69,9.59,9.474885,
,7/31/1995,4:00 PM,54.47,56.7,54.2,56.16,3.216321
ben2k etfs_EWA.txt:7/31/1995,4:00 PM,8.34,9.24,8.34,9.12,9.090912,
,8/31/1995,4:00 PM,56.22,56.8,55.42,56.41,0.4451567
ben2k etfs_EWW.txt:8/31/1995,4:00 PM,10.42,11.19,10.42,10.82,3.441679,
,9/30/1995,4:00 PM,56.38,58.91,56.34,58.48,3.669562
ben2k etfs_EWL.txt:9/30/1995,4:00 PM,10.06,10.87,10.06,10.82,8.525571,
,10/31/1995,4:00 PM,58.47,59.19,57.25,58.31,-0.2906945
ben2k etfs_EWL.txt:10/31/1995,4:00 PM,10.88,11.26,10.83,11.26,4.066548,
,11/30/1995,4:00 PM,58.28,61.2,58.23,60.91,4.458924
ben2k etfs_EWW.txt:11/30/1995,4:00 PM,8.59,9.81,7.79,9.59,8.730165,
,12/31/1995,4:00 PM,60.97,62.8,60.58,61.48,0.9358065
ben2k etfs_EWI.txt:12/31/1995,4:00 PM,12.43,13.46,12.35,13.46,9.430893,
,1/31/1996,4:00 PM,61.41,63.69,59.64,63.67,3.562132
ben2k etfs_EWO.txt:1/31/1996,4:00 PM,10.78,11.18,10.78,11.18,5.671081,
,2/29/1996,4:00 PM,63.59,66.69,63.44,63.88,0.3298302
ben2k etfs_EWD.txt:2/29/1996,4:00 PM,12.39,13.8,12.39,13.53,9.643433,
,3/31/1996,4:00 PM,64.63,66,62,64.69,1.268005
ben2k etfs_EWL.txt:3/31/1996,4:00 PM,11.65,12.75,11.64,12.44,7.333903,
,4/30/1996,4:00 PM,65,65.81,62.13,65.39,1.082079
ben2k etfs_EWW.txt:4/30/1996,4:00 PM,10.81,12.13,10.5,11.56,8.748827,
,5/31/1996,4:00 PM,65.38,68.44,63.08,66.88,2.278633
ben2k etfs_EWN.txt:5/31/1996,4:00 PM,16.81,17.75,16.75,17.75,6.734822,
,6/30/1996,4:00 PM,66.88,68.5,66.16,67.11,0.3439046
ben2k etfs_EWL.txt:6/30/1996,4:00 PM,11.81,12.38,11.56,12.38,4.826416,
,7/31/1996,4:00 PM,67.28,67.69,60.38,64.09,-4.500081
ben2k etfs_EWU.txt:7/31/1996,4:00 PM,12.12,12.49,11.77,12.49,1.462221,
,8/31/1996,4:00 PM,64.16,67.34,64.06,65.33,1.934788
ben2k etfs_EWM.txt:8/31/1996,4:00 PM,12.71,13.55,12.71,13.43,5.664833,
,9/30/1996,4:00 PM,64.47,69.25,64.38,68.63,5.051271
ben2k etfs_EWI.txt:9/30/1996,4:00 PM,13.5,14.75,13.38,14.75,6.806659,
,10/31/1996,4:00 PM,68.69,71.63,68.44,70.84,3.220165
ben2k etfs_EWC.txt:10/31/1996,4:00 PM,11.06,12,11.06,12,8.499092,
,11/30/1996,4:00 PM,70.97,76.69,70.27,76.02,7.312254
ben2k etfs_EWH.txt:11/30/1996,4:00 PM,14.16,15.57,14.16,15.45,9.110169,
,12/31/1996,4:00 PM,75.91,76.58,71.88,73.84,-2.867667
ben2k etfs_EWU.txt:12/31/1996,4:00 PM,14.25,14.98,13.82,14.98,4.682034,
,1/31/1997,4:00 PM,74.38,79.69,72.75,78.41,6.189068
ben2k etfs_EWI.txt:1/31/1997,4:00 PM,14.88,17.13,14.75,16.25,8.333333,
,2/28/1997,4:00 PM,78.72,82,77.13,79.16,0.9565106
ben2k etfs_EWN.txt:2/28/1997,4:00 PM,19.63,21,19.31,20.38,4.512816,
,3/31/1997,4:00 PM,78.75,81.8,75.25,75.38,-4.775147
ben2k etfs_EWG.txt:3/31/1997,4:00 PM,14.75,15.81,14.75,15.44,3.763437,
,4/30/1997,4:00 PM,75.25,80.69,73.31,80.09,6.248341
ben2k etfs_EWL.txt:4/30/1997,4:00 PM,12.69,13.5,12.31,13.31,6.480003,
,5/31/1997,4:00 PM,80.22,85.56,79.31,85.16,6.330388
ben2k etfs_EWJ.txt:5/31/1997,4:00 PM,12.19,14.13,12.13,13.38,9.762105,
,6/30/1997,4:00 PM,85.34,90.5,84.08,88.31,3.698912
ben2k etfs_EWI.txt:6/30/1997,4:00 PM,15.19,17.44,15.19,16.75,9.836065,
,7/31/1997,4:00 PM,88.69,96.03,88.39,95.31,7.926622
ben2k etfs_EWC.txt:7/31/1997,4:00 PM,13.5,14.5,13.44,14.5,8.370702,
,8/31/1997,4:00 PM,95.5,96.63,89.34,90.38,-5.172595
ben2k etfs_EWJ.txt:8/31/1997,4:00 PM,13.56,13.88,12.44,12.56,-9.899564,
,9/30/1997,4:00 PM,90.69,96.38,90.25,94.38,4.425758
ben2k etfs_EWK.txt:9/30/1997,4:00 PM,15.53,16.13,15.11,16.07,8.94915,
,10/31/1997,4:00 PM,95.25,98.5,84.38,92.06,-2.458148
ben2k etfs_EWJ.txt:10/31/1997,4:00 PM,12.5,12.56,10.25,11.25,-9.565913,
,11/30/1997,4:00 PM,93.19,96.81,90.09,95.63,3.877905
ben2k etfs_EWP.txt:11/30/1997,4:00 PM,19.25,20.19,18.25,20.19,4.88312,
,12/31/1997,4:00 PM,96.22,99,92.38,97.06,1.495347
ben2k etfs_EWI.txt:12/31/1997,4:00 PM,18.69,20.06,18.31,20.06,9.140372,
,1/31/1998,4:00 PM,97.31,99.56,90.91,98.31,1.287863
ben2k etfs_EWP.txt:1/31/1998,4:00 PM,21.19,22.94,20.44,22.38,8.16819,
,2/28/1998,4:00 PM,99.91,105.53,99.72,105.13,6.937239
ben2k etfs_EWH.txt:2/28/1998,4:00 PM,10.46,11.07,9.97,10.76,9.908072,
,3/31/1998,4:00 PM,105.25,111.53,103.16,109.94,4.575293
ben2k etfs_EWK.txt:3/31/1998,4:00 PM,17.69,19.19,16.97,18.59,8.0186,
,4/30/1998,4:00 PM,110.31,113.44,107.63,111.34,1.273416
ben2k etfs_EWD.txt:4/30/1998,4:00 PM,21.63,24,21.63,23.25,6.896552,
,5/31/1998,4:00 PM,111.75,113.31,107.56,109.03,-2.074724
ben2k etfs_EWG.txt:5/31/1998,4:00 PM,21.88,23.94,21.88,23.19,6.327378,
,6/30/1998,4:00 PM,108.97,114.69,107.5,113.31,3.925524
ben2k etfs_EWI.txt:7/31/1998,4:00 PM,26.75,30.75,26.69,28.63,9.567547,
,8/31/1998,4:00 PM,111.78,112.41,95,96,-14.11701
ben2k etfs_EWW.txt:8/31/1998,4:00 PM,12.69,12.69,7.81,7.81,-37.81847,
,9/30/1998,4:00 PM,96.06,107,93.63,101.75,5.989583
ben2k etfs_EWA.txt:9/30/1998,4:00 PM,7.67,8.15,7.54,8.02,8.819547,
,10/31/1998,4:00 PM,100.03,110.91,92.22,110,8.108109
ben2k etfs_EWC.txt:10/31/1998,4:00 PM,10.13,11.38,9.75,11.38,9.003837,
,11/30/1998,4:00 PM,110.81,119.72,110.19,116.13,5.572725
ben2k etfs_EWD.txt:11/30/1998,4:00 PM,19,19.94,17.5,19.31,8.422235,
,12/31/1998,4:00 PM,116.13,124.75,113.75,123.31,6.182727
ben2k etfs_EWC.txt:1/31/1999,4:00 PM,11.88,12.94,11.88,12.56,8.650518,
,2/28/1999,4:00 PM,128.69,128.84,121.31,123.56,-3.211661
ben2k etfs_EWW.txt:2/28/1999,4:00 PM,10.25,11.38,10.06,10.94,9.399996,
,3/31/1999,4:00 PM,123.66,132.63,120.88,128.38,3.900945
ben2k etfs_EWC.txt:3/31/1999,4:00 PM,11.81,12.69,11.5,12.44,4.187605,
,4/30/1999,4:00 PM,129.69,137.5,128.13,133.25,3.793422
ben2k etfs_EWN.txt:4/30/1999,4:00 PM,23.63,25.94,23.44,25.75,8.421053,
,5/31/1999,4:00 PM,133.44,138,128,130.2,-2.288933
ben2k etfs_EWA.txt:5/31/1999,4:00 PM,10.99,11.05,9.9,10.08,-8.778283,
,6/30/1999,4:00 PM,130.13,137.5,128.02,137,5.222737
ben2k etfs_EWG.txt:6/30/1999,4:00 PM,20.25,21.94,19.63,21.94,8.991562,
,7/31/1999,4:00 PM,137,142.25,132.56,132.75,-3.10219
ben2k etfs_EWJ.txt:7/31/1999,4:00 PM,12.63,13.81,12.56,13.44,7.519997,
,8/31/1999,4:00 PM,132.75,138.78,127,132.06,-0.5197759
ben2k etfs_EWQ.txt:8/31/1999,4:00 PM,22.06,23.13,21.63,22.94,2.50224,
,9/30/1999,4:00 PM,132.94,136.63,125.59,128.75,-2.506435
ben2k etfs_EWJ.txt:9/30/1999,4:00 PM,13.81,14.44,13.44,13.94,4.185347,
,10/31/1999,4:00 PM,127.94,137.69,123.44,137,6.407767
ben2k etfs_EWD.txt:10/31/1999,4:00 PM,22.56,24.13,21.44,24.13,7.819482,
,11/30/1999,4:00 PM,136.5,143,134.59,139.39,1.744525
ben2k etfs_EWH.txt:11/30/1999,4:00 PM,11.73,13.07,11.56,12.7,8.826047,
,12/31/1999,4:00 PM,139.31,147.56,139,146.88,5.373417
ben2k etfs_EWS.txt:12/31/1999,4:00 PM,8.08,9.1,8.01,8.86,9.653462,
,1/31/2000,4:00 PM,148.25,148.25,135,139.56,-4.983665
ben2k etfs_EWC.txt:1/31/2000,4:00 PM,16.88,17.31,15.81,16.69,1.151518,
,2/29/2000,4:00 PM,139.75,144.56,132.72,137.44,-1.519056
ben2k etfs_EWP.txt:2/29/2000,4:00 PM,26.19,28.94,26.06,28.38,9.406317,
,3/31/2000,4:00 PM,137.63,155.75,135.03,150.38,9.415019
ben2k etfs_EWS.txt:4/30/2000,4:00 PM,6.87,7.35,6.51,7.23,1.544946,
,5/31/2000,4:00 PM,146.56,148.47,136.5,142.81,-1.571438
ben2k etfs_EWM.txt:5/31/2000,4:00 PM,5.88,7.01,5.88,6.6,9.999998,
,6/30/2000,4:00 PM,143.69,149.16,143,145.28,1.729572
ben2k etfs_EWC.txt:6/30/2000,4:00 PM,18.63,20.13,18.38,19.94,9.98346,
,7/31/2000,4:00 PM,145.44,151.97,141.5,143,-1.569382
ben2k etfs_EWH.txt:7/31/2000,4:00 PM,11.92,13.56,11.92,12.83,6.033054,
,8/31/2000,4:00 PM,143.63,153.09,142.63,152.34,6.531466
ben2k etfs_EWP.txt:9/30/2000,4:00 PM,24.63,25.19,22.81,24.38,0.2879461,
,10/31/2000,4:00 PM,144.28,145.75,130.16,142.95,-0.4734442
ben2k etfs_EWM.txt:10/31/2000,4:00 PM,4.92,5.76,4.85,5.52,9.52381,
,11/30/2000,4:00 PM,142.25,144.28,129.75,132.28,-7.464147
ben2k etfs_EWI.txt:11/30/2000,4:00 PM,21.63,22.94,21.31,22.63,4.045973,
,12/31/2000,4:00 PM,133.19,139.56,125.53,131.19,-0.8240069
ben2k etfs_EWH.txt:12/31/2000,4:00 PM,10.89,11.49,10.4,11.19,9.598429,
,1/31/2001,4:00 PM,132,138.7,127.56,137.02,4.443938
ben2k etfs_EWD.txt:1/31/2001,4:00 PM,18.13,20.13,17,19.54,9.284126,
,2/28/2001,4:00 PM,137.1,137.99,121.8,123.95,-9.538758
ben2k etfs_EWO.txt:2/28/2001,4:00 PM,8.08,8.6,8.01,8.55,8.365024,
,3/31/2001,4:00 PM,124.05,127.75,108.04,116.69,-5.857196
ben2k etfs_EWT.txt:3/31/2001,4:00 PM,11.5,12.55,11.16,12.03,0.2499978,
,4/30/2001,4:00 PM,116.3,127.27,109.3,124.91,7.044306
ben2k etfs_EWJ.txt:4/30/2001,4:00 PM,10.11,11.24,10,11.22,9.570317,
,5/31/2001,4:00 PM,125.07,132.09,123.44,125.95,0.8325941
ben2k etfs_EWW.txt:5/31/2001,4:00 PM,14.9,17.1,14.86,16.36,8.994006,
,6/30/2001,4:00 PM,126.2,129.23,120.03,122.6,-2.659785
ben2k etfs_EWM.txt:6/30/2001,4:00 PM,3.93,4.19,3.84,4.13,6.718352,
,7/31/2001,4:00 PM,122.8,124.32,116.75,121.35,-1.019576
ben2k etfs_EWK.txt:7/31/2001,4:00 PM,10.6,11.27,10.59,11.27,6.320755,
,8/31/2001,4:00 PM,121.97,123.35,112.01,114.15,-5.933249
ben2k etfs_EWM.txt:8/31/2001,4:00 PM,4.6,4.78,4.37,4.75,4.166668,
,9/30/2001,4:00 PM,113.85,116.79,93.8,104.44,-8.506351
ben2k etfs_EWC.txt:9/30/2001,4:00 PM,10.7,10.95,8.7,9.65,-9.897296,
,10/31/2001,4:00 PM,103.9,111.8,102.42,105.8,1.302184
ben2k etfs_EWG.txt:10/31/2001,4:00 PM,12.49,13.75,12.35,13.15,5.707396,
,11/30/2001,4:00 PM,106.6,116.9,105.43,114.05,7.797731
ben2k etfs_EWO.txt:11/30/2001,4:00 PM,6.9,7.37,6.75,7.37,9.185184,
,12/31/2001,4:00 PM,113.65,118,112,114.3,0.2192021
ben2k etfs_EWW.txt:12/31/2001,4:00 PM,13.97,15.44,13.75,15.18,9.920346,
,1/31/2002,4:00 PM,115.11,117.99,108.4,113.18,-0.9798799
ben2k etfs_EWW.txt:1/31/2002,4:00 PM,15.19,16.68,14.98,16.58,9.222659,
,2/28/2002,4:00 PM,113.09,113.3,107.82,111.15,-1.793602
ben2k etfs_EWO.txt:2/28/2002,4:00 PM,7.38,8.1,7.38,7.74,4.878044,
,3/31/2002,4:00 PM,111.72,117.9,111.51,114.52,3.031934
ben2k etfs_EWJ.txt:3/31/2002,4:00 PM,7.66,8.7,7.66,8.14,8.969218,
,4/30/2002,4:00 PM,114.23,115.1,106.63,107.86,-5.815575
ben2k etfs_EWO.txt:4/30/2002,4:00 PM,8.36,8.93,8.22,8.93,7.980651,
,5/31/2002,4:00 PM,107.97,111.25,104.9,107.22,-0.5933612
ben2k etfs_EWA.txt:5/31/2002,4:00 PM,9.49,10.17,9.41,10.16,6.276145,
,6/30/2002,4:00 PM,107.09,107.6,95.19,98.96,-7.703788
ben2k etfs_EWK.txt:6/30/2002,4:00 PM,11.55,11.55,10.36,11.37,0.4416978,
,7/31/2002,4:00 PM,99.18,99.8,77.68,91.16,-7.881968
ben2k etfs_EWP.txt:7/31/2002,4:00 PM,19.51,19.86,16.51,17.61,-9.553152,
,8/31/2002,4:00 PM,90.88,97.15,83.55,91.78,0.6801175
ben2k etfs_EWC.txt:8/31/2002,4:00 PM,9.4,9.89,8.95,9.7,4.751615,
,9/30/2002,4:00 PM,90.73,93.33,80.2,81.79,-10.88472
ben2k etfs_SHY.txt:9/30/2002,4:00 PM,81.62,82.13,81.36,82.08,0.5759113,
,10/31/2002,4:00 PM,82.43,91.29,77.07,88.52,8.228384
ben2k etfs_EWT.txt:10/31/2002,4:00 PM,7.55,8.75,6.61,8.36,9.28104,
,11/30/2002,4:00 PM,88.35,94.95,87.45,93.98,6.168106
ben2k etfs_EWG.txt:11/30/2002,4:00 PM,10.21,11.25,10.03,11.08,6.333972,
,12/31/2002,4:00 PM,95.47,96.05,87.11,88.23,-6.118323
ben2k etfs_EWZ.txt:12/31/2002,4:00 PM,7.69,8.69,7.05,7.98,9.165527,
,1/31/2003,4:00 PM,88.85,93.86,84.15,86.06,-2.459487
ben2k etfs_EWT.txt:1/31/2003,4:00 PM,8.29,9.43,8.19,8.91,9.325156,
,2/28/2003,4:00 PM,86.14,86.81,81,84.9,-1.347892
ben2k etfs_EWI.txt:2/28/2003,4:00 PM,14.66,15.1,14.24,15.02,2.665758,
,3/31/2003,4:00 PM,85.26,89.88,79.38,84.74,-0.1884613
ben2k etfs_EWA.txt:3/31/2003,4:00 PM,8.99,9.3,8.32,9.26,3.232998,
,4/30/2003,4:00 PM,85.25,92.8,84.91,91.91,8.461183
ben2k etfs_EWH.txt:5/31/2003,4:00 PM,6.74,7.55,6.67,7.4,9.79229,
,6/30/2003,4:00 PM,97.53,102.18,96.67,97.63,0.7013928
ben2k etfs_EWY.txt:6/30/2003,4:00 PM,18.99,20.69,18.45,19.99,8.054052,
,7/31/2003,4:00 PM,97.25,101.9,96.43,99.39,1.802727
ben2k etfs_EWS.txt:7/31/2003,4:00 PM,4.68,5.25,4.63,5.08,9.012877,
,8/31/2003,4:00 PM,99.19,101.82,96.34,101.44,2.062585
ben2k etfs_EWJ.txt:8/31/2003,4:00 PM,7.53,8.39,7.34,8.3,9.21053,
,9/30/2003,4:00 PM,101.64,104.7,99.25,99.95,-1.468854
ben2k etfs_EWJ.txt:9/30/2003,4:00 PM,8.58,9.2,8.45,8.76,5.542169,
,10/31/2003,4:00 PM,100.24,105.89,100.2,105.3,5.352683
ben2k etfs_EWD.txt:10/31/2003,4:00 PM,13.08,14.4,13.01,14.06,8.823532,
,11/30/2003,4:00 PM,105.75,106.95,103.62,106.45,1.092112
ben2k etfs_EWO.txt:11/30/2003,4:00 PM,11.72,12.59,11.51,12.5,7.851595,
,12/31/2003,4:00 PM,106.85,111.52,105.96,111.28,4.537344
ben2k etfs_EWG.txt:12/31/2003,4:00 PM,14.99,16.22,14.93,16.19,9.391894,
,1/31/2004,4:00 PM,111.74,116.5,110.73,113.48,1.976999
ben2k etfs_EWO.txt:1/31/2004,4:00 PM,13.55,15.16,13.46,14.68,9.962546,
,2/29/2004,4:00 PM,113.7,116.6,112.78,115.02,1.357061
ben2k etfs_EWM.txt:2/29/2004,4:00 PM,6.41,6.96,6.24,6.9,8.320254,
,3/31/2004,4:00 PM,115.43,116.95,108.85,113.1,-1.669273
ben2k etfs_EWW.txt:3/31/2004,4:00 PM,19.93,20.9,19.1,20.76,5.434229,
,4/30/2004,4:00 PM,113.07,115.41,110.9,110.96,-1.89213
ben2k etfs_EWI.txt:4/30/2004,4:00 PM,19.84,20.34,19.84,19.97,1.062748,
,5/31/2004,4:00 PM,111.37,113.26,108.06,112.86,1.71233
ben2k etfs_EZA.txt:5/31/2004,4:00 PM,26.06,28.06,25,28,7.485608,
,6/30/2004,4:00 PM,112.46,114.94,111.87,114.53,1.479708
ben2k etfs_EWO.txt:6/30/2004,4:00 PM,15.93,17.17,15.75,17.15,6.521734,
,7/31/2004,4:00 PM,114.25,114.4,108.21,110.84,-3.221865
ben2k etfs_EWZ.txt:7/31/2004,4:00 PM,14.84,16.2,14.64,15.75,7.07002,
,8/31/2004,4:00 PM,110.19,111.63,106.59,111.11,0.2435982
ben2k etfs_EWY.txt:8/31/2004,4:00 PM,21.6,27.07,21.59,24.25,9.977328,
,9/30/2004,4:00 PM,110.95,113.74,110.41,111.76,0.5850072
ben2k etfs_EWZ.txt:9/30/2004,4:00 PM,16.97,18.59,16.72,18.54,8.930673,
,10/31/2004,4:00 PM,112.26,114.68,109.35,113.2,1.288471
ben2k etfs_EWP.txt:10/31/2004,4:00 PM,29.3,31.38,29.17,31.35,9.271523,
,11/30/2004,4:00 PM,113.56,119.14,113.2,117.89,4.143112
ben2k etfs_EWW.txt:11/30/2004,4:00 PM,21.55,23.47,21.47,23.32,8.667292,
,12/31/2004,4:00 PM,118.16,121.66,117.73,120.87,2.527783
ben2k etfs_EWW.txt:12/31/2004,4:00 PM,23.24,25.2,22.84,25.16,7.890224,
,1/31/2005,4:00 PM,121.56,121.76,116.37,118.16,-2.242077
ben2k etfs_EWY.txt:1/31/2005,4:00 PM,29.01,31.01,27.66,30.97,5.88034,
,2/28/2005,4:00 PM,118.25,121.67,118.1,120.63,2.09038
ben2k etfs_EWO.txt:2/28/2005,4:00 PM,22.38,24.36,22.27,24.36,9.042079,
,3/31/2005,4:00 PM,120.78,123.25,116.25,117.96,-2.213378
ben2k etfs_EWC.txt:3/31/2005,4:00 PM,17.51,18.81,17.2,17.85,1.420455,
,4/30/2005,4:00 PM,118.63,119.26,113.55,115.75,-1.873516
ben2k etfs_EWH.txt:4/30/2005,4:00 PM,11.23,11.77,11.11,11.72,4.642861,
,5/31/2005,4:00 PM,116.07,120.25,114.8,119.48,3.222465
ben2k etfs_EWW.txt:5/31/2005,4:00 PM,23.58,26.18,23.58,25.87,9.851387,
,6/30/2005,4:00 PM,119.52,121.94,118.75,119.18,-0.2510906
ben2k etfs_EWO.txt:6/30/2005,4:00 PM,22.8,24.15,22.52,23.99,6.056582,
,7/31/2005,4:00 PM,119.45,124.64,118.26,123.74,3.826143
ben2k etfs_EWW.txt:7/31/2005,4:00 PM,27.59,29.67,27.02,29.43,8.677993,
,8/31/2005,4:00 PM,123.83,124.74,120.38,122.58,-0.9374463
ben2k etfs_EWJ.txt:8/31/2005,4:00 PM,10.37,11.23,10.15,11.13,8.585367,
,9/30/2005,4:00 PM,122.51,124.74,120.44,123.04,0.3752644
ben2k etfs_EWJ.txt:9/30/2005,4:00 PM,11.21,12.39,11.18,12.19,9.523805,
,10/31/2005,4:00 PM,122.96,123.34,116.88,120.13,-2.365088
ben2k etfs_EWL.txt:10/31/2005,4:00 PM,18.08,18.44,17.55,18.39,1.266517,
,11/30/2005,4:00 PM,120.58,127.41,120.13,125.41,4.395244
ben2k etfs_EWY.txt:11/30/2005,4:00 PM,37.9,41.3,37.69,40.79,9.503358,
,12/31/2005,4:00 PM,126.02,128.09,124.36,124.51,-0.7176473
ben2k etfs_EWY.txt:12/31/2005,4:00 PM,41.4,45.16,40.94,44.75,9.70826,
,1/31/2006,4:00 PM,125.1,129.44,124.39,127.5,2.401412
ben2k etfs_EWC.txt:1/31/2006,4:00 PM,21.99,23.98,21.96,23.88,9.041094,
,2/28/2006,4:00 PM,127.82,130.04,125.4,128.23,0.5725456
ben2k etfs_EWP.txt:2/28/2006,4:00 PM,38.5,40,37.8,39.78,3.378376,
,3/31/2006,4:00 PM,128.6,131.47,127.18,129.83,1.247763
ben2k etfs_EWD.txt:3/31/2006,4:00 PM,24.04,26.22,23.74,25.76,8.280787,
,4/30/2006,4:00 PM,130.07,131.86,128.02,131.47,1.26319
ben2k etfs_EWA.txt:4/30/2006,4:00 PM,20.14,22,20.14,21.94,9.590409,
,5/31/2006,4:00 PM,131.47,132.8,124.76,127.51,-3.012093
ben2k etfs_EWY.txt:5/31/2006,4:00 PM,49.72,52.9,44.37,45.3,-8.669353,
,6/30/2006,4:00 PM,127.38,129.43,122.34,127.23,-0.2195897
ben2k etfs_EWZ.txt:6/30/2006,4:00 PM,36.8,39.73,31.5,39.12,5.872796,
,7/31/2006,4:00 PM,127.43,128.14,122.39,127.85,0.4873026
ben2k etfs_EWW.txt:7/31/2006,4:00 PM,37.86,40.76,35.72,39.83,7.213998,
,8/31/2006,4:00 PM,127.34,131.04,126.28,130.64,2.182245
ben2k etfs_EWN.txt:8/31/2006,4:00 PM,23.12,24.6,22.82,24.28,4.700303,
,9/30/2006,4:00 PM,131.14,133.99,129.35,133.58,2.250461
ben2k etfs_EWD.txt:9/30/2006,4:00 PM,25.95,27.5,25.51,27.16,4.864866,
,10/31/2006,4:00 PM,133.54,139,132.34,137.79,3.151663
ben2k etfs_EWZ.txt:10/31/2006,4:00 PM,39.38,42.63,38.03,41.98,9.123988,
,11/30/2006,4:00 PM,138.22,141.16,135.62,140.53,1.988537
ben2k etfs_EWT.txt:11/30/2006,4:00 PM,13.28,14.62,13.02,14.52,9.667679,
,12/31/2006,4:00 PM,140.53,143.24,138.97,141.62,0.7756325
ben2k etfs_EWD.txt:12/31/2006,4:00 PM,30.16,32.35,29.92,32.28,7.313826,
,1/31/2007,4:00 PM,142.25,144.13,140.25,143.75,1.504028
ben2k etfs_EWS.txt:1/31/2007,4:00 PM,11.5,11.97,10.9,11.72,4.642861,
,2/28/2007,4:00 PM,144.15,146.42,139,140.93,-1.961744
ben2k etfs_EWY.txt:2/28/2007,4:00 PM,48.13,51.92,46.16,48.99,3.551047,
,3/31/2007,4:00 PM,139.34,143.81,136.75,142,0.7592474
ben2k etfs_EWO.txt:3/31/2007,4:00 PM,35.58,39.37,33.45,38.86,8.577814,
,4/30/2007,4:00 PM,142.16,149.8,140.89,148.29,4.429573
ben2k etfs_EWG.txt:4/30/2007,4:00 PM,29.04,31.61,28.88,31.4,8.914325,
,5/31/2007,4:00 PM,148.42,153.89,147.67,153.32,3.392012
ben2k etfs_EWY.txt:5/31/2007,4:00 PM,53.1,58.55,52.83,58.1,9.498675,
,6/30/2007,4:00 PM,153.88,154.4,148.06,150.43,-1.884956
ben2k etfs_EWT.txt:6/30/2007,4:00 PM,14.71,16.24,14.5,16,9.589038,
,7/31/2007,4:00 PM,150.87,156,145.04,145.72,-3.131019
ben2k etfs_EWY.txt:7/31/2007,4:00 PM,61.83,69.57,61.17,65.97,9.402988,
,8/31/2007,4:00 PM,145.18,150.59,137,147.59,1.28328
ben2k etfs_FXI.txt:8/31/2007,4:00 PM,45.53,51.51,37.07,50.1,7.418523,
,9/30/2007,4:00 PM,147.45,154.39,144.33,152.58,3.380992
ben2k etfs_EWC.txt:9/30/2007,4:00 PM,29.73,32.98,29.59,32.73,9.099998,
,10/31/2007,4:00 PM,152.6,157.52,148.66,154.65,1.35666
ben2k etfs_EWY.txt:10/31/2007,4:00 PM,68.9,75.05,65.5,74.76,9.844262,
,11/30/2007,4:00 PM,153.29,153.41,140.66,148.66,-3.873256
ben2k etfs_SHY.txt:11/30/2007,4:00 PM,81.09,83.15,81.09,82.5,1.413647,
,12/31/2007,4:00 PM,148.19,152.89,143.96,146.21,-1.648054
ben2k etfs_EWM.txt:12/31/2007,4:00 PM,12.62,13.25,12.05,12.73,1.839996,
,1/31/2008,4:00 PM,146.53,146.99,126,137.37,-6.046106
ben2k etfs_EWM.txt:1/31/2008,4:00 PM,12.75,14.05,11.74,13.07,2.670857,
,2/29/2008,4:00 PM,137.94,139.61,131.73,133.82,-2.584253
ben2k etfs_EWZ.txt:2/29/2008,4:00 PM,76.75,88.77,72.1,83.53,9.203819,
,3/31/2008,4:00 PM,133.14,135.81,126.07,131.97,-1.382459
ben2k etfs_EWP.txt:3/31/2008,4:00 PM,57.06,62.72,55.62,61.41,6.98606,
,4/30/2008,4:00 PM,133.71,140.59,132.33,138.26,4.76623
ben2k etfs_EWH.txt:4/30/2008,4:00 PM,18.23,19.62,18.05,19.45,8.356545,
,5/31/2008,4:00 PM,138.85,144.3,137.52,140.35,1.511653
ben2k etfs_EWZ.txt:5/31/2008,4:00 PM,91.49,102.21,90.13,99.24,9.875995,
,6/30/2008,4:00 PM,139.83,140.89,127.035,127.98,-8.813682
ben2k etfs_EWS.txt:6/30/2008,4:00 PM,13.6,13.66,12.16,12.41,-9.679767,
,7/31/2008,4:00 PM,126.52,129.16,120.02,126.83,-0.8985791
ben2k etfs_FXI.txt:7/31/2008,4:00 PM,42.92,47.74,41.17,44.64,2.361841,
,8/31/2008,4:00 PM,127.12,131.51,124.76,128.79,1.545369
ben2k etfs_SHY.txt:9/30/2008,4:00 PM,82.84,84.29,82.78,83.56,0.49308,
,10/31/2008,4:00 PM,115.27,116.69,83.58,96.83,-16.51866
ben2k etfs_SHY.txt:10/31/2008,4:00 PM,83.55,84.37,82.73,84.2,0.765916,
,11/30/2008,4:00 PM,96.78,100.86,74.34,90.09,-6.960658
ben2k etfs_FXI.txt:11/30/2008,4:00 PM,25.5,28,20.9,26.59,5.683626,
,12/31/2008,4:00 PM,87.51,92.43,81.86,90.24,0.1665019
ben2k etfs_EWK.txt:12/31/2008,4:00 PM,7.5,9.08,7.25,8.7,9.987357,
,1/31/2009,4:00 PM,90.44,94.45,80.05,82.83,-8.211432
ben2k etfs_EWZ.txt:1/31/2009,4:00 PM,34.85,40.79,31.96,35.5,1.457554,
,2/28/2009,4:00 PM,81.57,87.74,73.81,73.93,-10.7449
ben2k etfs_EWT.txt:2/28/2009,4:00 PM,6.61,7.4,6.59,6.82,0.1468462,
,3/31/2009,4:00 PM,72.52,83.3,67.1,79.52,7.561202
ben2k etfs_EWQ.txt:3/31/2009,4:00 PM,15.27,18.32,14.39,17.17,9.293444,
,4/30/2009,4:00 PM,78.53,89.02,78.33,87.42,9.93461
ben2k etfs_EWT.txt:5/31/2009,4:00 PM,10.28,11.28,9.97,11.27,9.311348,
,6/30/2009,4:00 PM,93.67,96.11,88.85,91.95,-0.6268257
ben2k etfs_FXI.txt:6/30/2009,4:00 PM,39.21,40.76,35.33,38.37,2.675943,
,7/31/2009,4:00 PM,92.34,99.83,87,98.81,7.460577
ben2k etfs_EWM.txt:7/31/2009,4:00 PM,8.97,9.83,8.44,9.76,9.662929,
,8/31/2009,4:00 PM,99.85,104.35,98.115,102.46,3.69396
ben2k etfs_EWK.txt:8/31/2009,4:00 PM,11.11,12.28,11,12.05,9.845031,
,9/30/2009,4:00 PM,101.95,108.06,99.57,105.59,3.054848
ben2k etfs_EWN.txt:9/30/2009,4:00 PM,18.36,20.5,17.66,20.04,8.207346,
,10/31/2009,4:00 PM,105.34,110.31,101.99,103.56,-1.922529
ben2k etfs_EWM.txt:10/31/2009,4:00 PM,10.19,11.07,10.05,10.49,3.451671,
,11/30/2009,4:00 PM,104.13,111.74,103.08,109.94,6.160685
ben2k etfs_EWW.txt:11/30/2009,4:00 PM,44.2,49.19,42.9,47.91,9.885324,
,12/31/2009,4:00 PM,110.92,113.03,109.02,111.44,1.364381
ben2k etfs_EWY.txt:12/31/2009,4:00 PM,45.25,48.08,45.21,47.64,7.345647,
,1/31/2010,4:00 PM,112.37,115.14,109.09,109.77,-1.498569
ben2k etfs_EWJ.txt:1/31/2010,4:00 PM,9.87,10.52,9.87,10.25,5.236142,

wwrightjuly4

Posted : Tuesday, January 26, 2010 2:08:57 AM

Gold Customer

Joined: 4/10/2006
Posts: 954

Back to DM's question, I do not see a way to create a Backtest such that you can select the best value of an indicator across a watchlist. (there may be a way I just don't see it)

You could create a rule such that if the %chg was above a number, then you take that as a Buy Signal, such that you might get multiple hits (etf's suggested on the same month)

you could back test that I think.

wwrightjuly4

Posted : Tuesday, January 26, 2010 3:18:28 AM

Gold Customer

Joined: 4/10/2006
Posts: 954

Heres a backtest selecting all the etf's as above that had a price rate change > 4%

The chart is set to 9days, largest number befor Monthly.

<trade rules>
Buy next open
exit stop loss 2%
exit trade length greater than 2

Actually too much churn 50%. killer for me. have to tune this, see if its salvagable

diceman

Posted : Tuesday, January 26, 2010 9:22:54 AM

Registered User
Joined: 1/28/2005
Posts: 6,049

"I do not see a way to create a Backtest such that you can select the best value of an indicator across a watchlist"
===========================

I don't know anything about the Stock Finder language buy I thought the basic idea was that you
create a holding area. What was called a DIM statement in the older languages.
(if your using lets say 10 ETF's)
You loop thru 10 times. You put the first ETF in. Then with each ETF you ask if its percent
change is higher and move it up if it is.
(either you create percent change or use a built-in percent days ago indicator)

As you move each ETF up based on a higher percent change you are in effect
"sorting" the watchlist.

After all ETF's pass thru you buy the top one. hold for a month then repeat.

(this of course assumes there are no built in functions for this)

Thanks
diceman

wwrightjuly4

Posted : Tuesday, January 26, 2010 11:25:42 AM

Gold Customer

Joined: 4/10/2006
Posts: 954

Thanks DM

I agree with your statements I just have not found an example that loops across the watchlist, I think that is my stumbling block. Second point may be, that you are able to load a data file into Stock finder so if you can manipulate the above you could then read it back and process with the backtester. (i think)

Are you (anyone) interested in the boiling down of the above?

@#$!$, just examined the values a bit and something is hosed.... apologies. Well the method should work, though if the backtesting tool could be used it certainly would speed things up if multiple momentum test were employed.

regards
ww

wwrightjuly4

Posted : Wednesday, January 27, 2010 12:05:37 PM

Gold Customer

Joined: 4/10/2006
Posts: 954

I've got good data now, but working on summerizing it (formatting, trying to automate).

Need to see if I have the EFA values back to 1991 for the comparisons.

The method employed was to create a Monthly chart for the listed funds,

# Model 1 Country Etfs with monthly rotation.
for etf's listed
     for each year
          for each month
                    sort the month pick the highest
                    pick the next months numbers.
                    write to file
         end month
    end year
end etfs.

Is this the best model, for momentum investment?

Criteria
       1) ease of use implementation, maintenance
       2) success rating
       3)  data readily available (history)
       4) ???

ben2k9

Posted : Monday, July 12, 2010 11:36:09 PM

Registered User
Joined: 7/1/2008
Posts: 889

as a follow up to this method...Birinyi associates report that individual stock correlation is at an all time high...at levels last seen on Black Monday, 1987. Meaning: stock picking is as difficult as it's ever been in history. It's all about beta right now...or timing the overall market.

Or, I would submit, this method presented in this thread. Country return dispersion is very high, creating opportunity for a relative strength strategy amongst country ETFs.

Here's the Birinyi chart...this one only goes back a few years, but I have seen the one that goes back decades, which puts us at the same point as 1987.

jas0501

Posted : Tuesday, July 13, 2010 2:08:00 AM

Registered User
Joined: 12/31/2005
Posts: 2,499

QUOTE (wwrightjuly4)

Note 317% is the calc bug. It is more like 81.9%, 2.34%/(9*0.8)*252

Why set the chart to 9 days. Why not daily. The 2% stop loss using a 9-day bars would not trigger until the close. That is a 9 day close. Does testing daily change much?

Note the kelly number is 29%, 43% - 57%/4.3

ben2k9

Posted : Monday, October 11, 2010 7:36:58 PM

Registered User
Joined: 7/1/2008
Posts: 889

This model has been ripping the past few months, owning countries like Chile, (ECH) Malaysia, (EWM), and Turkey (TUR).

There's always a bull market somewhere! This model finds it.

diceman

Posted : Thursday, October 14, 2010 12:54:01 PM

Registered User
Joined: 1/28/2005
Posts: 6,049

QUOTE (ben2k9)

There are probably a dozen ways to improve this system...changing the lookback period from 3 months to a different period, buying 2 ETFs instead of one...you backtesting experts could easily figure it out.

You may be able to try out some ideas at: ETFreplay.

Although, I only looked at the site for about 5 minutes.

Thanks
diceman

BobMc

Posted : Thursday, October 14, 2010 6:26:06 PM

Registered User
Joined: 10/7/2004
Posts: 816

ETFreplay.

Great find Diceman, Thanks

Bob Mc

jjamesjarvinator

Posted : Saturday, May 7, 2011 7:55:53 AM

Registered User
Joined: 1/16/2011
Posts: 34

How are u generating this chart? What is your background? This seems so simple yet powerful.

jjamesjarvinator

Posted : Saturday, May 7, 2011 7:56:39 AM

Registered User
Joined: 1/16/2011
Posts: 34

Have you ever considered forming a type of club where the members can get together and chat ideas on a regular basis?

alindsley

Posted : Saturday, May 7, 2011 10:09:49 AM

Registered User
Joined: 2/28/2005
Posts: 825

whats wrong with here so everyone can follow

alindsley

Posted : Saturday, May 7, 2011 10:25:33 AM

Registered User
Joined: 2/28/2005
Posts: 825

QUOTE (ben2k9)

In TC2000 I would like to have a column (in this ETF watchlist), which would have a PCF
that once sorted would show the best performers over the past 3 months (as described above).
Could someone make a PCF which would do this for me plz?

Thanks for sharing ben.

thanks
art

diceman

Posted : Saturday, May 7, 2011 11:20:34 AM

Registered User
Joined: 1/28/2005
Posts: 6,049

QUOTE (alindsley)

QUOTE (ben2k9)

Try:

(C/C63*100)-100

Thanks
diceman

alindsley

Posted : Saturday, May 7, 2011 11:42:19 AM

Registered User
Joined: 2/28/2005
Posts: 825

thanks diceman.

That shows EWL leading the pack with 9.27% last 3 months.
But like most in the list right now is in a sever decline

EWG next with 8.19% growth already sitting atop its sma20
The world appears to be in a big pullback per this list
I can see why SHY's chart becomes a buy.

Very cool ben2k9

jjamesjarvinator

Posted : Sunday, May 8, 2011 9:05:29 AM

Registered User
Joined: 1/16/2011
Posts: 34

I think thats fine I will try and look at this site everyday. U guys are way ahead of me in brain power and experience, honestly its really impressive. I feel like you guys are a bunch of scientists. Antway I will keep u up to date strting later today about my current positions and I would like it if we could all be able to also be friends on TC2000v11. I sent several people a friend request. I am under James Jarvis. Thanks

alindsley

Posted : Sunday, May 8, 2011 9:15:30 AM

Registered User
Joined: 2/28/2005
Posts: 825

No need James. Top right side of this page click on WATCH THIS TOPIC and you will be notified by email each time there is a posting. It's right under the stars rating.

Enjoy your Sunday
art

jjamesjarvinator

Posted : Sunday, May 8, 2011 11:43:19 AM

Registered User
Joined: 1/16/2011
Posts: 34

Thanks Art, I put a couple of my stocks on notes but I think I could just as well put them here, I have been employing candlesticks. I like them, they seem fun and simple which is good for me, I just hope u guys don't think its too basic, Ill try to learn from you as we go along

jjamesjarvinator

Posted : Sunday, May 8, 2011 11:46:41 AM

Registered User
Joined: 1/16/2011
Posts: 34

So Art with your ETF world you basically go on a monthly chart for your decisions?

jjamesjarvinator

Posted : Sunday, May 8, 2011 12:02:31 PM

Registered User
Joined: 1/16/2011
Posts: 34

Art if i take your list and do a quick sort under price, with a %change and a 90 period wont that give me the biggest gainers?

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