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Strategies & Market Trends : Exchage Traded Funds (ETF) Simulation

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To: Jim Battaglia who wrote (343)3/27/2010 12:25:47 AM
From: amoezzi  Read Replies (1) of 402
 
Thanks to Jim Battaglia, the database has been updated
Here is the simulation results for this week.
I have to do some checking to make sure
I transposed the data properly. Please let me know if
the results look reasonable.

I am working on a 64 bit machine and my simulation
program only runs on 32 bit machines so I had to do
lots of transformations!!

March 25, 2010

20100326

Date: 20100326
wwc= 10.0 wfma= 10.0 wstrn= 30.0 wltrn= 30.0 wsvol= 10.0 wlvol= 10.0
-----------------------------------------------------------------------------
MOEZZI PERFORMANCE INDEX
-----------------------------------------------------------------------------
RANK FUND NAME VALUE PRICE wc fma strnd ltrn svol lvol
-----------------------------------------------------------------------------
1 KIE 84.1 40.66 2.8 13.5 111.7 35.9 14.1 2.7
2 KBE 83.8 26.01 2.5 14.6 124.7 41.0 15.5 3.1
3 IAT 81.5 24.59 0.0 12.4 108.3 46.3 13.5 2.3
4 KRE 81.5 26.33 -0.3 14.3 107.6 61.3 13.4 2.2
5 URE 80.2 8.25 2.3 24.1 234.7 55.9 26.5 7.6
6 VNQ 79.4 49.29 1.2 12.9 134.7 35.1 16.5 4.0
7 IWC 79.2 42.94 1.1 9.9 92.4 36.5 11.7 2.8
8 XLY 78.7 33.06 2.0 10.7 99.8 28.6 12.6 2.7
9 IJS 78.4 64.30 0.4 10.3 101.1 37.5 12.7 2.8
10 VBR 78.0 60.04 0.8 10.1 98.3 33.9 12.4 2.8
11 MVV 77.9 48.99 0.6 16.6 158.7 53.5 18.8 5.2
12 ICF 77.8 57.92 1.2 13.1 142.2 33.5 17.3 4.3
13 RWR 77.8 54.25 1.2 12.8 137.8 33.5 16.8 4.1
14 UYG 77.7 6.83 3.8 18.6 200.3 31.8 23.3 5.9
15 VB 77.6 62.93 0.8 9.8 94.1 34.1 11.9 2.9
16 RKH 77.2 87.54 1.7 10.4 108.2 26.1 13.6 2.8
17 IYR 77.1 50.11 0.9 12.0 127.8 33.2 15.7 3.8
18 IBB 77.1 91.30 -0.2 9.7 80.0 39.3 10.2 1.7
19 IYC 77.0 61.03 2.3 9.6 90.3 24.5 11.5 2.4
20 QLD 76.9 65.00 2.2 13.8 153.1 31.1 18.5 5.5
21 IJR 76.7 59.60 0.6 9.6 95.7 34.1 12.1 2.9
22 VBK 76.4 65.20 0.8 9.4 90.7 34.4 11.5 2.9
23 VFH 76.2 32.53 1.8 10.2 111.2 21.9 13.9 3.0
24 ARE 76.2 68.23 2.5 11.1 116.9 28.7 14.7 4.3
25 XLI 75.7 31.09 0.9 9.8 98.4 26.7 12.4 2.7
26 SLX 75.5 66.59 3.6 10.9 114.7 30.2 14.4 5.7
27 IJT 74.9 61.34 0.8 8.9 90.6 31.2 11.5 2.9
28 XBI 74.6 60.38 -0.6 10.5 68.7 48.8 8.9 1.6
29 IYF 74.3 57.20 1.8 9.4 108.3 18.9 13.6 2.9
30 PPA 74.3 18.74 0.6 8.8 90.1 28.0 11.4 2.4
31 XHB 74.2 16.96 2.5 9.8 57.1 35.5 7.6 2.5
32 IWS 74.2 40.14 0.6 8.6 85.4 29.8 10.9 2.6
33 IJH 73.5 78.47 0.4 8.4 84.2 30.1 10.7 2.6
34 MDY 73.2 142.65 0.3 8.4 83.9 29.9 10.7 2.6
35 VO 73.0 64.79 0.6 8.3 80.5 29.8 10.3 2.6
36 PWJ 72.9 18.19 1.3 8.2 80.9 23.6 10.4 2.7
37 SSO 72.8 41.77 1.2 10.5 128.9 22.3 15.8 4.4
38 IJJ 72.7 71.28 0.2 8.3 76.3 32.2 9.8 2.5
39 IWR 72.7 88.89 0.5 8.2 82.6 28.1 10.6 2.5
40 ITB 72.6 13.84 3.0 11.1 44.9 43.6 6.2 2.8
41 XLF 72.4 16.00 2.0 9.4 111.8 16.7 14.0 3.2
42 XME 72.3 55.73 0.7 8.8 105.3 35.1 13.2 5.9
43 IJK 72.3 84.45 0.4 8.6 91.1 27.9 11.5 2.8
44 IWP 71.2 48.42 0.5 7.6 78.4 26.1 10.1 2.5
45 IYG 71.0 59.57 2.3 9.1 110.1 14.6 13.8 3.2
46 RSP 71.0 42.34 0.4 7.6 80.4 24.6 10.3 2.5
47 DDM 70.2 47.60 2.0 9.5 107.9 17.0 13.6 4.0
48 QQQQ 69.6 48.00 1.1 7.1 80.8 18.1 10.4 2.7
49 IVE 68.8 56.40 0.9 6.5 74.9 16.8 9.7 2.2
50 RTH 68.6 101.30 1.8 7.4 81.7 13.2 10.5 2.5
51 IWW 68.5 79.80 0.7 6.4 75.6 17.5 9.7 2.3
52 IHF 67.4 51.92 -1.5 7.0 77.7 30.3 10.0 2.7
53 VTI 66.6 59.39 0.6 6.0 70.6 16.7 9.1 2.3
54 IWV 66.4 68.74 0.6 6.0 71.0 16.4 9.2 2.3
55 GAF 65.1 65.71 -1.1 6.5 81.8 20.7 10.5 2.7
56 IYM 65.0 63.01 1.0 6.3 79.1 17.5 10.2 3.9
57 IYT 64.9 78.43 -0.8 7.0 92.7 20.4 11.7 3.2
58 HHH 64.5 61.28 2.3 7.7 116.3 4.0 14.6 3.7
59 RSX 64.4 33.25 -0.1 5.7 84.8 20.2 10.8 3.5
60 VTV 63.8 50.26 0.6 5.6 68.4 13.7 8.9 2.1
61 VV 63.8 53.12 0.7 5.6 67.4 14.3 8.8 2.2
62 IGN 63.5 28.74 1.2 6.8 66.8 16.6 8.8 2.9
63 EWJ 63.4 10.38 0.8 4.9 56.9 19.5 7.5 2.3
64 DVY 63.3 45.84 0.0 5.6 61.9 18.5 8.1 2.0
65 EWM 63.2 11.35 1.5 5.1 75.9 9.1 9.8 2.5
66 VUG 63.2 55.40 0.7 5.6 65.5 15.2 8.5 2.4
67 IWZ 63.2 42.23 0.6 5.5 65.0 15.2 8.5 2.2
68 IAH 62.8 52.43 1.7 6.0 67.3 12.1 8.8 2.6
69 IGV 62.8 48.62 -0.3 5.8 86.5 15.1 11.0 3.0
70 IVV 62.4 117.06 0.6 5.5 67.7 13.0 8.8 2.2
71 VGT 62.3 56.25 1.2 5.6 70.9 12.3 9.2 3.0
72 SPY 61.3 116.58 0.5 5.4 67.3 13.1 8.7 2.2
73 INP 61.2 65.90 1.4 5.9 91.8 8.8 11.7 4.1
74 IGM 61.0 55.42 1.4 5.4 71.0 10.7 9.2 3.0
75 VPL 60.0 54.13 0.2 4.8 65.3 14.9 8.5 2.4
76 EZA 59.3 58.62 -2.5 6.3 109.5 13.7 13.6 3.7
77 OEF 59.2 53.53 0.9 4.8 63.5 8.4 8.3 2.2
78 EWC 59.1 27.48 -0.9 5.6 69.6 17.9 9.0 3.2
79 IGW 58.9 49.15 1.1 6.2 54.9 21.7 7.3 4.5
80 DIA 58.8 108.43 1.0 4.9 56.6 10.0 7.5 2.0
81 PHO 58.8 17.40 1.6 4.7 68.5 10.1 8.9 3.2
82 IYW 58.4 58.46 1.2 5.1 65.8 10.7 8.6 3.0
83 KOL 58.1 36.77 -0.2 4.0 75.8 21.2 9.8 5.6
84 IYZ 57.8 19.94 -0.1 5.4 83.8 13.5 10.7 4.1
85 FXM 57.1 80.20 0.9 3.5 32.1 11.6 4.3 1.4
86 PWB 56.6 14.73 0.8 4.1 64.1 5.9 8.4 2.5
87 EWA 56.5 23.83 0.3 5.3 93.3 5.2 11.8 4.1
88 XLP 56.5 27.91 0.5 4.7 44.7 11.6 6.0 1.6
89 BBH 56.0 103.35 -3.2 3.4 26.8 23.8 3.7 1.2
90 XLK 56.0 23.00 0.9 4.4 66.7 6.7 8.7 2.9
91 XLB 55.3 33.68 1.2 4.4 67.5 6.9 8.8 3.6
92 EPP 55.1 42.84 0.3 4.8 83.9 3.9 10.7 3.7
93 SWH 55.0 42.48 0.5 3.5 67.4 5.0 8.7 2.7
94 MOO 54.6 44.86 0.9 3.4 39.2 17.0 5.4 3.7
95 XLV 54.5 31.90 -1.1 2.6 32.0 17.0 4.3 1.7
96 EWD 54.4 25.51 -0.5 5.4 97.7 4.1 12.2 4.2
97 EWY 53.8 48.74 -1.0 4.1 67.4 14.8 8.8 3.2
98 SMH 53.7 27.80 1.1 5.1 48.9 13.5 6.6 4.0
99 FSEAX 52.8 25.71 -0.4 3.7 69.6 5.5 9.0 3.0
100 EWH 51.3 16.26 0.1 4.3 75.5 0.1 9.7 3.2
101 SGF 51.3 13.16 0.2 2.9 71.5 0.7 9.2 3.2
102 EWL 50.8 22.76 -0.9 3.0 68.2 3.0 8.8 2.7
103 VWO 50.1 41.24 -0.1 2.8 67.5 2.0 8.8 3.1
104 PPH 50.0 65.93 -0.4 1.2 17.8 9.6 2.5 2.0
105 PID 50.0 14.11 -0.3 2.0 46.2 7.0 6.2 2.4
106 FXC 49.9 97.00 -1.0 2.1 27.6 9.1 3.8 1.2
107 KCE 49.7 37.36 -0.6 3.2 74.8 0.1 9.6 3.0
108 IIF 49.1 23.10 -0.9 2.7 77.5 0.8 10.0 3.6
109 FWRLX 48.9 6.77 -0.4 2.9 51.3 10.5 6.8 3.1
110 IAI 48.7 28.34 -0.4 2.8 74.6 -2.6 9.6 3.1
111 VEU 48.1 43.84 0.1 2.1 69.2 -3.8 9.0 3.1
112 EWS 47.2 11.44 -0.4 2.3 51.3 3.8 6.8 2.8
113 LAQ 46.8 39.31 -0.6 2.6 65.7 5.2 8.5 4.0
114 AGG 46.6 104.22 -0.5 0.4 7.2 2.4 1.0 0.4
115 IOO 46.5 60.42 0.3 1.8 61.4 -7.4 8.0 2.8
116 FSLXX 45.5 0.10 0.0 0.2 0.1 0.1 0.0 0.0
117 PGJ 45.3 24.42 0.3 2.3 60.7 -1.7 7.9 3.7
118 EEM 44.8 41.10 -0.2 1.9 63.3 -2.2 8.3 3.4
119 EWG 44.7 21.59 1.1 0.1 76.6 -24.1 9.9 3.8
120 VEA 44.6 34.21 -0.0 1.4 60.0 -5.7 7.9 2.9
121 IEO 44.2 52.39 -2.6 -1.0 -7.1 21.9 2.6 3.6
122 CGW 43.7 18.12 -0.4 0.6 40.0 -2.3 5.3 2.5
123 EWN 43.1 20.15 0.2 0.2 58.4 -9.0 7.7 2.9
124 FXA 42.8 90.57 -1.3 0.4 24.3 -1.4 3.3 1.7
125 GLD 42.3 108.59 0.3 -0.6 1.4 -7.6 1.1 2.1
126 IAU 42.0 108.65 0.3 -0.6 1.4 -7.6 1.1 2.1
127 CHN 41.6 27.49 -1.7 0.4 55.2 1.0 7.2 3.3
128 DBB 41.5 21.45 -1.1 1.1 49.8 8.3 6.8 5.0
129 FXP 41.4 8.40 0.8 -2.0 -128.7 34.6 21.5 7.6
130 VGK 41.1 47.64 0.3 0.0 62.5 -17.1 8.2 3.1
131 XLE 41.0 56.08 -2.1 -0.9 15.4 2.3 2.6 2.5
132 EWU 40.7 15.97 0.0 0.0 47.8 -11.9 6.4 2.7
133 EWQ 40.6 24.88 0.3 -1.0 71.7 -23.0 9.3 3.9
134 IP 40.4 24.99 -3.2 -0.1 93.4 -9.9 11.8 5.4
135 EWK 40.3 12.98 -0.6 0.6 46.9 -9.4 6.2 2.7
136 TTH 40.2 24.31 0.2 1.3 53.9 -9.6 7.2 3.5
137 EWT 39.8 12.36 -0.6 0.5 46.1 -0.8 6.2 3.6
138 BDH 39.5 11.92 2.5 0.6 60.9 -26.3 8.4 5.2
139 FSESX 38.8 56.76 -3.7 -2.3 -4.3 15.2 2.9 4.0
140 USO 38.8 38.83 -0.9 1.6 40.5 0.2 5.7 4.1
141 IYE 38.6 32.40 -2.0 -1.6 14.2 -3.5 2.5 2.3
142 XLU 38.0 29.45 -1.7 -0.7 27.1 -0.4 3.8 3.0
143 IEV 38.0 37.90 -0.0 -0.5 58.4 -18.4 7.7 3.2
144 FXF 37.9 93.34 -0.5 -2.1 14.1 -17.5 2.0 1.1
145 GXC 37.9 71.06 -0.7 0.3 63.3 -16.7 8.2 3.7
146 BIK 37.9 24.47 -0.6 -0.0 58.7 -15.0 7.7 3.5
147 DUG 37.9 12.87 3.8 0.8 -32.5 -5.3 5.8 4.5
148 UTH 37.5 93.59 -1.5 -0.8 30.1 -2.7 4.2 3.0
149 ADRE 37.5 42.85 -0.4 0.2 56.4 -12.8 7.4 3.7
150 IGE 37.5 33.42 -2.3 -1.4 17.1 0.2 3.0 3.0
151 RJI 37.4 7.47 -1.5 -1.3 9.2 -4.7 1.9 2.7
152 EEB 37.3 41.38 -0.6 0.4 58.1 -11.3 7.6 3.9
153 ILF 37.1 46.56 -0.6 0.4 55.2 -9.2 7.3 4.0
154 OIH 37.0 117.90 -3.0 -2.4 -5.1 10.8 2.8 3.8
155 EWO 36.5 19.53 1.5 -1.2 43.1 -33.5 5.9 3.6
156 TLT 36.5 88.95 -2.5 -2.3 0.3 -8.4 1.0 1.5
157 FXY 36.3 107.21 -2.1 -2.4 -14.8 -4.7 2.3 1.5
158 SLV 36.3 16.61 -0.2 -1.5 68.9 -24.7 9.0 4.6
159 DZZ 35.7 13.69 -0.4 -0.1 -6.4 0.9 2.3 4.6
160 FEZ 35.2 38.73 0.3 -2.5 64.7 -33.8 8.5 4.0
161 EWI 34.8 18.24 0.6 -2.8 61.9 -39.3 8.2 3.9
162 PBW 33.7 9.86 2.1 -3.1 26.0 -21.5 3.9 5.6
163 GSG 33.6 30.27 -1.7 -1.8 10.6 -7.7 2.3 3.2
164 FXE 32.1 133.80 -0.9 -5.4 -8.2 -32.4 1.3 1.0
165 DBC 32.0 22.97 -1.9 -3.5 -10.7 -11.4 2.1 2.6
166 FXI 31.6 40.83 -0.6 -1.8 52.4 -32.4 6.9 3.8
167 EWZ 31.4 70.44 -1.2 -1.4 51.1 -17.2 6.9 4.4
168 DGP 31.1 26.91 0.4 -2.0 0.3 -21.1 2.1 4.2
169 FXB 30.4 148.47 -0.8 -6.3 -40.6 -30.5 5.9 0.9
170 TAN 29.2 8.40 3.7 -7.8 10.2 -46.5 3.1 8.0
171 DOG 28.5 49.67 -1.1 -5.2 -62.7 -13.7 9.3 2.0
172 DBA 28.4 24.04 -3.0 -6.3 -53.1 -16.9 7.7 2.0
173 EWP 27.9 42.60 -0.4 -7.0 57.6 -60.8 7.7 4.6
174 RJA 27.9 7.18 -3.0 -5.5 -33.1 -19.1 4.8 2.5
175 GCH 27.3 11.90 -4.0 -4.9 55.4 -31.8 7.3 4.4
176 EUM 27.1 38.45 0.1 -3.3 -72.5 -4.9 11.1 3.4
177 SDP 26.0 21.60 2.1 -1.8 -64.1 -17.5 10.1 5.7
178 SH 25.3 49.65 -0.7 -5.7 -75.5 -17.4 11.4 2.2
179 CAF 24.6 27.45 -2.4 -5.3 21.4 -37.8 3.2 4.2
180 GDX 22.7 43.71 -3.5 -5.7 8.1 -38.3 2.2 4.3
181 RXD 21.4 31.75 1.8 -8.0 -91.0 -52.5 14.3 3.2
182 MYY 19.4 40.47 -0.4 -8.6 -94.4 -39.2 14.7 2.6
183 EEV 15.0 10.53 0.2 -7.8 -154.9 -18.1 26.5 6.8
184 DXD 12.6 26.47 -2.1 -10.3 -130.6 -30.1 20.9 4.0
185 SZK 12.3 36.12 -1.3 -12.8 -133.7 -50.2 21.6 3.5
186 SDS 10.3 31.17 -1.3 -11.4 -156.9 -38.2 26.2 4.5
187 EWV 9.2 42.45 -1.9 -11.0 -129.6 -58.3 20.8 4.6
188 REW 7.6 21.01 -2.5 -11.7 -157.2 -38.9 26.0 5.8
189 SDK 6.9 22.33 -1.3 -15.9 -188.2 -76.7 33.2 5.0
190 MZZ 6.8 18.28 -0.8 -17.0 -199.0 -87.9 35.8 5.1
191 QID 6.7 16.86 -2.3 -14.6 -192.3 -55.0 33.5 5.4
192 SJL 5.6 21.84 -1.0 -17.7 -219.6 -90.9 40.7 5.1
193 SIJ 5.2 19.72 -1.5 -17.0 -227.0 -67.9 41.7 5.4
194 SSG 4.9 16.43 -2.7 -17.2 -150.6 -89.0 24.3 7.5
195 SMN 4.7 7.21 -2.2 -15.5 -194.5 -69.7 35.1 7.7
196 SCC 4.0 30.46 -4.4 -18.4 -222.8 -72.4 40.0 4.7
197 SDD 3.7 21.69 -1.3 -19.2 -230.8 -105.6 43.4 5.7
198 SKF 3.2 19.12 -3.8 -18.9 -274.4 -64.7 53.4 5.7
199 SRS 2.1 5.95 -1.8 -23.7 -335.2 -121.3 73.4 7.6
200 UNG 2.0 7.00 -6.9 -24.8 -335.6 -62.5 68.9 9.0
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