There are over 800 ETFs and ETNs. Of those 183, have 50-day average Dollar trading volume of at least $5 million, and are neither short funds nor leveraged long funds, as of April 15, 2009. We put those 183 funds through a quantitative price performance filter to identify those that may be in a short-term up move.
We used a three-step process of progressively more stringent requirements. The criteria for each step and the number of funds passing through the filter are shown below:
First Level UP Filter (42 of 183 pass):
- Close > 20-day SMA
- 20-day SMA > 50-day SMA
- 20-day SMA > 20-day SMA 5 days ago
- 20-day SMA 5 days ago > 20-day SMA 10 days ago
- 20-day SMA 10 days ago > 20-day SMA 15 days ago
- 50-day SMA > 50-day SMA 5 days ago
- 50-day SMA 5 days ago > 50-day SMA 10 days ago
- 50-day SMA 10 days ago > 50-day SMA 15 days ago
click image to enlarge
Second Level UP Filter Additional Criteria (20 of 183 pass):
- Close > 5-day SMA
- 5-day SMA > 20-day SMA
- 5-day SMA 5 days ago > 20-day SMA 5 days ago
- 20-day SMA 5 days ago > 50-day SMA 5 days ago
- 20-day SMA 10 days ago > 50-day SMA 10 days ago
Let’s reveal the sole ETF that passed the Third Level UP filter next, then look at nine representative charts for the Second Level UP filter.
The Second Level UP filter is probably more reasonable than the Third Level, because that last level requires the most recent three days to be up. The Second Level focuses on rising moving averages where the shorter have crossed over the longer and have remained so for a few weeks, but does not require each of the last three days to be successively up.
Third Level UP Filter Additional Criteria (1 of 183 pass):
- Close > Close 1 day ago
- Close > Close 2 days ago
- Close 2 days ago > Close 3 days ago
Representative Charts for Second Level Up Filter:
Here are charts for nine of the twenty funds that passed the Second Level Up filter. They are not necessarily better or worse than the others, but twenty is just too many to display. Several of them are listed in a short-term return table (as of last Friday) that we published for “upish” ETFs yesterday.
S&P 500 Comparison:
For comparison purposes, here is the chart for the S&P 500 as represented by SPY
Reverse Criteria for DOWN Filters:
When we reverse the “greater than” operator on each criterion, to “less than” to have a short-term down filter, we find 2 ETFs come through the Level One Down filter (FXY and UNG), none come through the Level Two Down or Level Three Down filters.