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Sent: Tuesday, April 04, 2006 11:39 AM
Subject: Roy Ashworth's report
Commentary written on 04/02/2006
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 12/30/05
Total
Trades = 44
Num Wins= 25(56.8%)
Trades/Position/Year= 8.8
Total to
date= +14.1%
Annualized Gain= +14.12%
Ulcer Index= 4.15%
Maximum Draw
Down= 8.87%
***************************
From 12/30/05 to 03/31/06
Total
Trades = 15
Num Wins= 10(66.7%)
Trades/Position/Year= 12.0
Total to
date= +8.7%
Annualized Gain= +39.62%
Ulcer Index= 1.32%
Maximum Draw
Down= 3.99%
A-SEL Holdings on 03/31/06
are:
Next
## Fund Bought %G/L
Trade
-- ----- -------- ------ ------
1 FSPFX
03/17/06 0.6
2 FDLSX
03/17/06 4.6
3 FSHOX
03/22/06 0.4
4 FSAVX
03/17/06 2.0
5 FNARX
03/29/06 (0.6)
FSLEX was replaced by FNARX 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 upper Bollinger Band
(Positive).
2) The KST = +3.2 (Positive).
3) Family McClellan Summation
Index = +4375(Positive) (Neutral is +1900).
4) Family McClellan Oscillator =
-12(Negative)
5) Select Family Advance-Decline + Summation Indicator Status =
BUY on 03/16/06.
6) Money Market Rank (Acc 6-24) = 36 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 Positive.
Weekly - The last three candles are Green
(Positive). Prices are in the upper Bollinger Band (Positive). Stochastics,
MACD, MACD Histogram and DMI 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 4.89%
Left to
Right:
Monthly - The last candle is 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 candle is Green (Negative). Yields are in the upper Bollinger Band
(Negative). Stochastic, MACD, MACD Histogram, and DMI are Negative.
Daily - Yields are at the upper Bollinger Band
(Negative). Stochastics, MACD, MACD Histogram and DMI are Negative.
===================================================================
Conclusion:
Bond yields moved sharply higher last week. The up
trend is now established as yields pushed through the highs set in November
2005. The weekly, monthly, and daily indicators are all moving up. Yields may
stall a little after last weeks big move but the trend and momentum is clearly
up. Bonds and stocks have been coupled since the start of the current 4-year
cycle that began in October 2002 so an up trend in yields should be a negative
for stocks.
The Select Family average moved slightly higher
again last week. Prices are still in an up trend but are loosing momentum as
displayed by the daily indicators negative divergences. Four-year cycle bottoms
usually occur in October in the second year of the presidential cycle. The
current four-year cycle is bullish and the next (and last) bullish average top
is scheduled to occur around 04/25/06. In the past the new lows expand prior to
the start of the sell off into the four-year cycle bottom. The new lows have not
yet expanded so the downtrend may not begin until late April or sometime in
May.
The Russell 2000 and NASDAQ 100 were up last week
(+1.5% & +1.42%) while the Dow and S&P were down (-1.54% & -0.62%).
The weakness of the Dow and the strength of the small caps is a positive. The
NYSE Advance Decline line was also flat for the week while the OTC A-D line was
strongly up which is also a positive. The NYSE New Highs are more than five
times the New Lows. The NASDAQ 100 is the only index that is not in an up trend.
The current 4-year cycle is bullish and the "average" S&P last bullish
correction (since 1930) into the 4-year cycle bottom is 16.8% and begins on
04/25/06. This suggests that the market will continue to move higher until late
April or into May.
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