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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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src="jpg00035.jpg">
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