This model uses three algorithms to select when a buying or selling opportunity may have occurred:
PCTP is a cross-over indicator much line RSI, MACD and other moving average indicators. PCTP computes the slope value between the current price and the immediate historical price. The slopes are added up for a prespecified period. When the sum of slope values rises above a specific value a buy indicator is given and likewise when it falls below a specific value a sell situation has occurred.
When looked at from a statistical point of view PCTP is like a weighted moving average.
A study of many stocks and ETFs has show that each stock or ETF has a unique cross-over point. For this blog I will simply use zero. So if the sum of slopes rises above zero - a buy indicator is provided and conversely below zero - sell.
Also from the above mentioned study the optimal number of days to sum up is between 4 and 6 so 5 will be used.
Unlike PCTP, the MACD and RSI cross-over values will be unique to the ETFs used in the study.
All 3 algorithms must be in a buy situation before a buy indicator is provided and likewise all 3 must be in a sell situation for a sell indicator is shown.
Some study results - based on $10,000 initial investment over the life of the leverage ETFs used in the study
Using PCTP (0-crossover) only
Using MACD (optimized) only
Using RSI (optimized) only
Using all 3.
- PCTP (Price Change Tipping Point)
- RSI (Relative Strength Index)
- MACD (Moving Average Convergence Divergence).
PCTP is a cross-over indicator much line RSI, MACD and other moving average indicators. PCTP computes the slope value between the current price and the immediate historical price. The slopes are added up for a prespecified period. When the sum of slope values rises above a specific value a buy indicator is given and likewise when it falls below a specific value a sell situation has occurred.
When looked at from a statistical point of view PCTP is like a weighted moving average.
A study of many stocks and ETFs has show that each stock or ETF has a unique cross-over point. For this blog I will simply use zero. So if the sum of slopes rises above zero - a buy indicator is provided and conversely below zero - sell.
Also from the above mentioned study the optimal number of days to sum up is between 4 and 6 so 5 will be used.
Unlike PCTP, the MACD and RSI cross-over values will be unique to the ETFs used in the study.
All 3 algorithms must be in a buy situation before a buy indicator is provided and likewise all 3 must be in a sell situation for a sell indicator is shown.
Some study results - based on $10,000 initial investment over the life of the leverage ETFs used in the study
Using PCTP (0-crossover) only
| BIB | 21557.76 |
| ERX | 82709.06 |
| FAS | 31371.67 |
| MIDU | 36938.79 |
| SPXL | 40124.84 |
| TECL | 35128.51 |
| TNA | 33245.35 |
| UGAZ | 13138.20 |
| UGLD | 8216.82 |
| URTY | 17764.09 |
Using MACD (optimized) only
| BIB | 95980.02 |
| ERX | 84159.94 |
| FAS | 100096.00 |
| MIDU | 242646.82 |
| SPXL | 118743.44 |
| TECL | 166001.55 |
| TNA | 133855.42 |
| UGAZ | 21883.58 |
| UGLD | 13120.16 |
| URTY | 44193.33 |
Using RSI (optimized) only
| BIB | 107587.08 |
| ERX | 80918.11 |
| FAS | 97647.48 |
| MIDU | 235486.21 |
| SPXL | 113959.29 |
| TECL | 158620.04 |
| TNA | 267880.80 |
| UGAZ | 69944.45 |
| UGLD | 21677.43 |
| URTY | 71940.93 |
Using all 3.
| BIB | 119406.93 |
| ERX | 216164.37 |
| FAS | 164957.73 |
| MIDU | 319415.19 |
| SPXL | 174896.50 |
| TECL | 275121.88 |
| TNA | 382118.19 |
| UGAZ | 60374.27 |
| UGLD | 16831.98 |
| URTY | 104687.05 |
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