04-22-2007, 09:25 AM
DATA FILE: Eurostocks Sectors-20070420.xls
(cannot post EXCEL files regrettably - but the tabular data from the PDF perhaps can be entered directly into Excel as a "Table copy")
RATIONALE: We believe Group Rotation will help us understand the market conditions to look for better stock selection to trade and to hold over longer periods than individual trades.
APPROACH: We track the Group Rotation for EUROSTOXX 600 stocks using the Sum of the RF values in the highest rooms. We compare the changes in the SUM of the RF values in the Top 3 Rooms (PA+PB+PC) and Top 4 Rooms (PA+PB+PC+SD) with time for the 18 EURO STOXX Groups. The table provides the summation data.
PLAN: We plan to take the next few months to see how this approach assists with our preparation for the DTP trade setups and the profitability of the trading.
PENDING TABLE IMAGE (The Table image is trying to be fixed to meet size limitations of DTP forum and still be useful to post so you can read it - we are not that adept at this rather old and quite cumbersome method of posting images to a forum).
In the meantime - if you open the PDF file, it has 4 pages and Page 1 has the DATA TABLE. On the table, the 3 Top rooms (sum and % change history [we started with 16 March 2007 data]) is at the top. The Top 4 rooms sum and % changes data are on the bottom. Pages 2 and 3 are the graphs of the RF sum changes with time for the 18 sectors for the 3 and 4 rooms respectively. Page 4 is the Group Rotation diagram itself from the Data FILE date (See top) with the groups shown as ranked for this date.
WHAT USE IS IT?? In terms of how to use this data for assessing rotation in and out of the sectors, it would seem that the 4 rooms data would shows the change over time more quickly as the RF value for all rooms is weighted equally in this set of calculations.
Any feedback or suggestions would be appreciated. Otherwise - we hope this is summary of the RF data from DTP will be of value and use and make our trading performance improve.
NOTES: ///////////////////////////////////////////////////////////////
1) TO DTP: If this RF data were available in an excel format - that would allow us to be more efficient in tracking this.)
2) NOTE RE RANKING OF THE 18 GROUPS:
Ranking of the groups as of a certain date is done in the 2nd from the right column of the DATA TABLE. This ranking is based on the graphic of the Group Rotation - as shown on Page 4 of the PDF file. It does not necessarily correspond to the ranking if using just the RF totals of the 3 or 4 rooms. The drawing clearly points out a higher ranking when the PC to PA RFs decline from i.e. 15 to 13 than when they increase from 13 to 15 respectively. Thus the weekly rank of the groups is effectively going to weight the order of the strength in the top 3 rooms.
(cannot post EXCEL files regrettably - but the tabular data from the PDF perhaps can be entered directly into Excel as a "Table copy")
RATIONALE: We believe Group Rotation will help us understand the market conditions to look for better stock selection to trade and to hold over longer periods than individual trades.
APPROACH: We track the Group Rotation for EUROSTOXX 600 stocks using the Sum of the RF values in the highest rooms. We compare the changes in the SUM of the RF values in the Top 3 Rooms (PA+PB+PC) and Top 4 Rooms (PA+PB+PC+SD) with time for the 18 EURO STOXX Groups. The table provides the summation data.
PLAN: We plan to take the next few months to see how this approach assists with our preparation for the DTP trade setups and the profitability of the trading.
PENDING TABLE IMAGE (The Table image is trying to be fixed to meet size limitations of DTP forum and still be useful to post so you can read it - we are not that adept at this rather old and quite cumbersome method of posting images to a forum).
In the meantime - if you open the PDF file, it has 4 pages and Page 1 has the DATA TABLE. On the table, the 3 Top rooms (sum and % change history [we started with 16 March 2007 data]) is at the top. The Top 4 rooms sum and % changes data are on the bottom. Pages 2 and 3 are the graphs of the RF sum changes with time for the 18 sectors for the 3 and 4 rooms respectively. Page 4 is the Group Rotation diagram itself from the Data FILE date (See top) with the groups shown as ranked for this date.
WHAT USE IS IT?? In terms of how to use this data for assessing rotation in and out of the sectors, it would seem that the 4 rooms data would shows the change over time more quickly as the RF value for all rooms is weighted equally in this set of calculations.
Any feedback or suggestions would be appreciated. Otherwise - we hope this is summary of the RF data from DTP will be of value and use and make our trading performance improve. NOTES: ///////////////////////////////////////////////////////////////
1) TO DTP: If this RF data were available in an excel format - that would allow us to be more efficient in tracking this.)
2) NOTE RE RANKING OF THE 18 GROUPS:
Ranking of the groups as of a certain date is done in the 2nd from the right column of the DATA TABLE. This ranking is based on the graphic of the Group Rotation - as shown on Page 4 of the PDF file. It does not necessarily correspond to the ranking if using just the RF totals of the 3 or 4 rooms. The drawing clearly points out a higher ranking when the PC to PA RFs decline from i.e. 15 to 13 than when they increase from 13 to 15 respectively. Thus the weekly rank of the groups is effectively going to weight the order of the strength in the top 3 rooms.