V54 Released – Added Breadth Analysis to Model

I have added a check on Breadth to the base algorithm.  This is looking at the number of stocks reaching new highs versus new lows, the number of stocks advancing versus declining, and the number of stocks above or below their 21dma.  It looks at this data across the S&P100 (very large caps), S&P500, S&P400 (midcaps), and S&P600 (small caps).  Version 54 performs with a higher RAR and higher Win Percentage than V53. 

The current ETF Retirement algorithm now consists of the following:

• Select group of ETFs
• Technical analysis based upon price versus 200dma at the end of the month
• Economic indicator analysis including data released by the FED
• Market Breadth indicator analysis – trade will only ENTER if there is a net positive indication of breadth

Adding breadth improved the results versus the V53 model without Breadth:

BREADTH REPORTING as of close of trading February 11, 2021
NEW HIGHS MINUS NEW LOWS
SP100 New Highs New Lows=8 Trend=1
SP400 New Highs New Lows=59 Trend=1
SP500 New Highs New Lows=45 Trend=1
SP600 New Highs New Lows=105 Trend=1

ADVANCERS MINUS DECLINERS
SP100 Advancers/Decliners=5 Trend=-1
SP400 Advancers/Decliners=32 Trend=1
SP500 Advancers/Decliners=98 Trend=-1
SP600 Advancers/Decliners=-87 Trend=1

PERCENT ABOVE 21dma
SP100 Pct Above 21dma=73.1466 Trend=-1
SP400 Pct Above 21dma=75.496 Trend=1
SP500 Pct Above 21dma=73.2673 Trend=-1
SP600 Pct Above 21dma=79.0813 Trend=1

Sum of all Trend indicators = 3, so trades would enter LONG in this market.