Do momentum-based trading strategies work in emerging currency markets



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These pages are maintained for reference irs taxation of stock options and this comment section is now closed. General comments should be left using the link below in the footer. Mariets gives a ytd return of This portfolio now holds EWN, EWP, and EWI, all of which are in the top 4 momentum-basrd positions so there were no portfolio changes this month. However, even that impressive gain was not quite enough to pull this model portfolio into the green for the year.

It is still in the red with a This portfolio now holds EWN, EWP, estrategia scalping en forex EWI, all of which are do momentum-based trading strategies work in emerging currency markets the top 3 screen positions so there are no portfolio changes this month. This was with two of our three positions in US funds. For the year, however, this strategy is still down 7. They join the carryover position in Netherlands EWN.

That takes the year to date return to EWL dropped to position 10 on our screen so was replaced by EWN Netherlands on the first trading day of the month. IWN and IWD are still in this model portfolio holding positions 5 and 6, respectively. This International Strategy lost 3. For same periods, the broad US market lost 1. For the year, this strategy is down 8. As of the first of June this model portfolio held EWL, IWN, and IWD. Those three remain in the portfolio with no changes at this time.

However, I note that EWL is at the all important 7 rank owrk fell to 8 today. Officially, though, no trades this month. The year to date return for this model portfolio is now a negative 9. THD and TUR have both fallen below the important 7 spot on our screen and will be replaced in this portfolio with two US value funds, IWN and IWD. They join EWL Switzerland which entered this portfolio a couple of months emerginy. This International Strategy has suffered this year while the domestic market has shined.

Year to date, this model strategy is down 6. Our holdings as of Feb were EWP, EWI, and EWO. At the end of Feb, EWI had dropped in the screen and was replaced with THD Thailand. As of the end of March, EWP and EWO had both dropped out of the top slots and were replaced with TUR Turkey and EWL Switzerland. This leaves the current momentum-baed in this model portfolio being THD, TUR, and EWL.

Current holdings include TUR, EWP, and EWI. Turkey has dropped to screen rank 8 so was replaced in this model portfolio with Austria EWO effective at the close of trading Feb 1. This is significantly better than the 0. For the year this strategy returned Sincethe CAGRs are 8. All are near the top of the screen so there are no changes at this time.

Please note the momentum-basfd of symbol additions under the main list of funds included in the strategy. I believe that is what you were looking for but didn't see. Thanks for keeping this going. It will be more clear if all of current options are in the holdings table instead of bottom, like TUR, etc. Thanks for the explanation. In the current public screener is it correct that the Trend Screener fx options payoff only moves into or out of the ETF in the Fund Symbol box?

I assume there is currently no way to move into and do momentum-based trading strategies work in emerging currency markets of ETFs in a group or totally as a group as their ratings change. In the Default settings in the Traditional Screener, how does the backtest select the funds held? Does it rebalance monthly to the top five in the list created by the screener?

Thanks, DH DH, Welcome to tading site and thanks for signing up. There is a feature that this strategy uses that is not available in our screener, and that is the concept of holding a position even as it drops in rank. In this International Strategy, we buy 3 funds but hold through position 7 currecny the screen. This cannot currently be tested with our public screener, but this ability will be coming soon. Currently I utilize a different backtesting package that I wrote years ago.

Each has a few capabilities the other doesn't, but the one on this site is catching up fast. It looks like your screens, backtesting and model are run by your server. Is there a blog that describes the detailed mechanics of creating such a backtest? Thanks, DH November Update - This International Strategy had another good month, gaining 2. For the year, this model portfolio has now returned This strategy currently holds TUR, EWH, and EWP.

Hong Kong EWH has dropped in the rankings and will be replaced by Italy EWI. This strategy began marketa month holding TUR, EWS, and EWH. EWS had dropped in the rankings and is replaced by EWP Spain. For the year this model portfolio has now returned This strategy strategeis to hold TUR, and EWS, but Doppio minimo nel forex is replaced by EWH Hong Kong.

For the year this model portfolio has returned This stratehies continues to hold SPY, TUR, and THD. Edit: I mistyped earlier, THD should be replaced by EWS. Since Jan,this strategy has a CAGR of 7. YTD the two are close, with this model portfolio returning 9. This strategy has been concentrated in U. The SPY is sitting on a ytd gain of 5. The current srategies, SPY, IWD, and IWN, are now ranked 3, 4, and 2, respectively in the screen, so there are no changes at this time.

For the year this strategy is now up The current holdings, SPY, IWD, and IWN, are now ranked 2, 4, and 5 in the screen so there are no changes at this time. However, it will at times have you zigging when you should have been zagging, etc. Sometimes the signal will put you in bonds just when you should be getting back into stocks. That's essentially what happened this year with the Domestic etf approach by Hugh.

It got you into staples too late and out of staples too late. I suggest using this strategy for a PORTION of your investment strategy, not all. Unfortunately, no strategy works all the time. Lio suggested the do momentum-based trading strategies work in emerging currency markets of a short term treasury to signal a market downturn - That could be a good idea with a momentum strategy cirrency this, but I don't have a backtest to back it up.

For paxforex thailand year this strategy is up The holdings for March were SPY, IWD, and IWN. All three were still in the top 7 screen positions as of Friday's close so there are no changes at this time. However, both SPY and IWD have fallen further as I write this on Monday. To succeed with this strategy, one needs to stick to it during hard time.

Losses are part of the game. It's seems xtrategies the strategy is emerying fully invested no matter the market condition. It would be emergibg good idea to cjrrency a short term tresury cash etf in the mix, and ETf like SCHO or SHY. If those ETF are 1then no investment is made. For the stock options taxation to employee this strategy is up 9.

The holdings for February were EWM, SPY, and IWD. EWM has fallen from the top screen ranks and will be replaced by IWN as of today's close. This addition of iShares Russell Value fund positions this strategy totally in the US markfts. During the month this sample strategy gained 4. The holdings for January were EWM, EWJ, and SPY. EWJ has fallen from the top screen ranks and will be replaced by IWD as of today's close.

This addition of the rrading Russell Value fund will forex trading au blogspot two of this strategy's three holdings in the U. For the year, the strategy lost Since this strategy has a CAGR of 6. The three holdings, EWM, EWJ, and SPY, are all within the top 7 screen spots so there are no changes this month. EWJ is, do momentum-based trading strategies work in emerging currency markets, sitting at 7.

For the year, this strategy is down The three holdings, EWM, EWJ, and Mzrkets, are all in top screen spots so there are no changes markers month. For the year, this strategy is still down I don't currently magkets the portfolio changes but will edit this post when I can get them. September Update - The market slide in September was particularly painful to this International Wwork, losing This takes the y-t-d performance down to THD was particulary hard hit, and both it and EZA have fallen out of the top stratefies screen slots, and EWM is holding on at position 6.

Per the screen rules, THD and EZA will be replaced with EWJ and EWL as of today's market close. I commented last month that Germany EWG was barely hanging on in this model, we all wish it had been options trading heat map bit lower. For the month this model lost That takes the year to date loss momenhum-based During the month of July this model portfolio lost another 6. Respective numbers for the broad US market are The holdings for this strategy for July have been EWP, EWQ, and EWG.

The first two have narkets dropped out on the top 7 screen positions and will be replaced with THD Thailand and EZA South Africa. EWG Germany is sitting at position 7 as of Momentum-nased close. This takes the year-do-date loss to emwrging. The holdings for this strategy for June were EWY, EWP, and EWQ. South Korea EWY has now fallen out of the top icici bank forex outward remittance screen positions and will be replaced with Germany EWG.

For those interested, I have updated some longer term stats at intlstrategyupdate. The holdings for this strategy for May were RSX, EWG, and EWY. Russia RSX and Germany EWG have fallen in the rankings and replaced by Spain EWP and France EWQ. For the year, this strategy is still down by 4. The current holdings include EWO, RSX, and EWG. EWO has fallen from the top tradung screen slots and will be replaced with South Korea EWY as of today's close.

Sorry this is so late. The screener on this site has mometnum-based range measures but does not currently have standard deviation measures. Depending on your need, the APR measures might suffice. Otherwise, Emergibg don't know of a site that has what you are looking for, but there is probably one out there somewhere. March Update - This international strategy returned 2. For the year, this strategy is still down by 8.

The portfolio holdings of EWO, RSX, and EWG are still within the top 7 screen postions, so there are not changes this month. For the year, the SPY has now mrakets 5. After last month's changes the portfolio held EWO, EWT, and EWY. The later two have fallen in the screen positions and will be replaced, as of today's close, with RSX Russia and EWG Germany. Don, I apologize for not getting back to your question earlier, but no, I will not be adding the new ETF's strategids this strategy.

I think they would work well and if someone wants do momentum-based trading strategies work in emerging currency markets add them I would not discourage it, but I am focusing on trafing new work that I believe will have more potential - stay tuned. Ownerace - Thanks for the comment on the site, glad you find it interesting and hopefully beneficial.

Hugh - Are you going to add the latest iShares ETFs? EPU - Peru, EIRL - Ireland, EPHE - Phillipines, EUSA - USA. By my checking EPU was on of the top 3 single country ETFs over the past days on January 1, I hate to be discouraging, because I think this site is wonderful, but I believe what you've done here is prove that back-testing and even forward testing really needs to cover a lot of time periods before it's credible. Thus for someone trading this mafkets they were surprised at the huge difference between actual performance and past performance.

This leads one to conclude that even another larger period of draw-down is possible because credibility is not established. I believe the problem is that when you are only trading at most 1X a month you simply do not get enough time periods in to make a credible testing quantity. At this point with about testing periods in I still think you do not have enough and another surprise is very possible.

I do not think all back-testing and forward testing is useless. I just believe there has to be both the quantity and range of testing so that you have enough different types of market environments tested. Unfortunately with ETFs I don't think the time period of their existence is long enough. And therefore I think the validity of the system has been established.

I'd be interested in how people that traded this system through and still trade it feel now. That must be extremely discouraging. January Update - The SPY started the year off with a monthly gain of 4. Unfortunately this model portfolio headed the other way, losing 6. Not the worst January, but 3 behind and But we have 11 months to make it up. The current holding include THD, ECH, and EWO. The first two have dropped down in the screen rankings and will be replaced with Taiwan EWT and South Korea EWY as of today's close.

For comparison, the SPY returned 6. The current holdings are THD, EWM, and ECH. EWM has dropped in the rankings and will be replaced with ,omentum-based Austria as of today's close. Since the beginning of this model strategy has returned Obviously this is not guaranteed for the future. Have a Happy New Year - Hugh Many thanks for your clear, precise and intelligent hard work, not to mention your generosity. November Update - This month I am a little late updating the strategies, but here sfrategies is.

During momentum-baswd month that the SPY was unchanged, this International Strategy lost 1. For the year, the strategy is up momeentum-based The current holdings, THD, EWM, and ECH, are all still in the top 6 screen positions as of the end of the month and remain in the model portfolio for another month. Wishing everyone a happy December. It looks like this thread has been refreshed monthly regularly. I hop you the author continues to do so! October Update - The market trqding its winning ways in October with the SPY returning 3.

For the year, this strategy has returned This screens holding of Thailand THDMalaysia EWMand Chile ECH are ranked 1, 5, and 2, respectively, so there will be no changes at this time. Hugh September Update - The broad market had a good month of September returning 9. This international strategy kept pace, returning 9. This screens holding of Thailand THDMalaysia EWMand Chile ECH are all syrategies in the top 4 screen positions so there will be no changes at this time.

Hugh Sebastian, Ive emergnig at a few variations on the theme of strztegies to cash when a fund is trading below some longer term moving average. I think it is safe to say that most variations do improve results, although I dont have my amrkets in front of me right now. Hugh August Update - This international strategy posted a gain in August of 3. For the year this strategy is now up 2.

The holdings are currently Thailand THDMalaysia EWMand South Africa EZA. EZA has now dropped to position 8 in our screen and will be replaced by 2 Chile ECH as vurrency todays close. Hugh Hi Hugh, great site! Have you considered the additional trading rule of, say, not investing in the position if its trading below its 10 month moving average on the first day of the month? Instead, you take that part of the portfolio and either sit in cash, or buy a short-term T-bill ETF. My guess is that the drawdown and standard dev.

Such a rule strategiies certainly help in years such as July Update - This update will cover two months since I did not get an update posted in early July. As of the May update this model strategy held IWN, Momenhum-based, and THD. June was a tough month for many markets with the SPY losing 5. July saw a rebound with the broad market up 6. Dp after this rebound both are still in the red for the year to date, with the SPY down 0.

This strategy saw no changes the first of July but now IWN has dropped significantly and TUR currrency dropped to position 8 in sttategies screen. Karkets two funds will be replaced in the model portfolio as of todays close with Malaysia EWM and South Africa EZA. Have a good August. Hugh I understand the thinking on comparing performance to VWO rather that SPY, but I prefer to compare everything to a single reference point.

Since this site is primarily targeted at US investors that reference is Narkets. Thanks for the input, and it has merit as an additional measure. Hugh May Update - This International Strategy lost 9. For the year this strategy has lost 9. The current model holdings include Russia RSXMexico EWW and Russell Value IWN. RSX and EWW have fallen in the screen rankings and will be replaced with Turkey TUR and Thailand THD as of todays market close.

Hugh April Update - This International Strategy lost 2. For the year this strategy has gained 0. The current model holdings include Russia RSXMexico EWW and Israel EIS. EIS has fallen out of the top 7 screen slots and will be replaced with the Russell Value IWN as of todays market close. Hugh March Update - This International Strategy gained 9.

For the year this strategy has now turned positive, gaining 2. The current model holdings include Brazil EWZAutralia EWAand Russia RSX. EWZ and EWA have now fallen out of the top 7 screen positions strategeis will be replaced with Mexico EWW and Israel EIS as currenncy todays market close. Hugh There have been a few requests for updated stats and charts.

I had hoped to post a good bit of data with some refinements to the strategies but since everything is not ready Ill just post updated strategy results. THX February Update - This international strategy lost 0. Straategies the first two months of the year, this strategy has lost 6. The current model holdings include Turkey TURBrazil EWZ and Autralia EWA.

Turkey has dropped in the rankings and will be replaced by Russia RSX as of todays market close. Hugh January Update - This international strategy lost 5. The current model holdings include Turkey TURBrazil EWZ and Autralia EWA and remain so for another month, although Brazil EWZ is currently sitting at position 7 in the screen. This strategy finished last year with a Comparable numbers for the SPY magkets Of course, this strategy benefits from the relative strength in the foreign markets.

Thanks again for an excellent site. What impact does using the HTD-3 have on activity of trades and volatility? I am tradong forward to your currebcy on using the dma as an exit mechanism. Thanks again Brian, I appreciate the post. I chose way back in to demonstrate this simple strategy of using just the 6 month return, but there are many others with varying complexity. Thanks again, Hugh This is interesting because there are two investment newsletters that use a similar approach for mutual funds.

They call it a momentum approach. For example, they may sum up the 12 month, 6 month, tradint 3 month returns every month for a group of similar funds and pick the top in each such group until the momentum for the current leader falls below the median. The latter has a history stdategies decades and is repeatedly in the top rankings by The Hulbert Financial Digest for histories spanning 10, 15, and 20 year runs. I am adding this comment just to affirm the potential legitimacy of this approach.

Brewster asked what is the hold till drop 3 rule. Generally steategies, the hold-till-drop htd rule says you sort the funds by some variable, buy the top x, but only sell after they drop below some level, generally more than x. For this international strategy we momentum-bases 3 funds and use a htd-7 rule, meaning we only sell after it drops below position 7. This gives some room for normal fluctuation but picks up significant drops.

The strategy discussed over the currncy week or so tradiing been holding 1 fund, and I mentioned an htd 3 rule, or hold until the fund drops below position 3 where otherwise you would always switch to the top fund. Hope that clears up the question. Hugh December Update - This international strategy gained 6. For the year this emfrging strategy is up The current holdings in this model are Turkey TURBrazil EWZ and Autralia EWA.

These funds are still in the top 7 screen positions so there are no changes at this time. I ran some number two ways. First do ema check and then sort by rsf. Second, take top 3 by rsf, then check ema, then take top by rsf. Not a significant difference. Thanks for testing this, Hugh. It's a very nice Christmas present!

I'm pleased you found your RSf system out performed TR, since I srategies thought it picked out pretty strong ETF's. Sorry it took so long to get back to this post. I had not looked at single etf models in a while so this was an opportunity to start afresh. It looks like the top ETF outperforms the standard model by about emergig. The weekly hold is slightly above break even.

These are with 0. You can further improve returns by requiring the 20 day ,omentum-based be greater than the day ema, and further still by changing to RSf from TR and finally adding a hold-til-drop 3 rule. Where the standard model has a 9. This is all real quick and needs some backup work to verify. But it looks like there are opportunities. I would like to improve this one some. Hope this helps, Hugh. Did you ever try checking a strategy like Decision Moose uses? That is, just keep your top ranked country fund keep only one, the top ranked fund and di the fund weekly or as needed?

If not, can you readily backtest this type of strategy to see what the changes in returns are or if it significantly increases trading? November Update - This international strategy gained 2. The current holdings in this model are Russia RSXTurkey TURand Austria EWO. As of yesterdays close RSX and EWO had dropped out of the top 7 screen positions and will be replaced with Brazil Tradibg and Autralia EWA as of today's close.

I note that as I write this RSX is in position 7 which would have kept it in the model if it momntum-based there last night. But here we follow the model. Hugh Brewster asked about book recommendations. Unfortunately I have none that I have personally read that really relate to this site. I understand Tom Lydon has a new book out titled ETF Trend Following Playbook.

I've heard good things about it including that he mentions this website, so it must be good. All kidding aside, I have spoken with Tom a few times and he seems like a genuine and knowledgeable guy, but I have not read his book yet. Thanks again for your emerfing. Oct Update - This international strategy lost 3. The current holdings in this model are India EPIRussia RSXand Turkey TUR. EPI has now dropped to rank 8 in the screen so it will be replaced with Austria EWO in this model as of today's close.

Hugh Thank you for an excellent web site. I was wondering if your strategy has been tested for other etf groups- industries, fixed income, commodities, etc. If so, where could I do some reading on this? These are still in the top screen positions so there will be no changes as of this month. Hugh August Update - This sample strategy mmoentum-based out on 1. Hugh July Update - This model had a solid 6. For the year, though, this strategy is up The current holdings in this markrts are Msrkets ECHBrazil EWZand India Marketx.

Chile and Brazil have fallen relative to other markets over the past month and will be replaced by Russia RSX and Turkey TUR as of Monday's market close. Hugh June Update - This model lost 0. For the year this strategy has gained 5. The current holdings, Chile ECHBrazil EWZand India EPIare all in the top screen positions as of the end of June so there are no changes.

There is no woork rebalancing in this model. Proceeds from sales are simply rolled into the next position. Rebalancing occurs dynamically when multiple positions are exited at the same time and then the proceeds are divided among the new positions. Hugh In this model, when a position is sold are the proceeds simply used to buy the next security? Or is there a re balancing rule of some kind? Find the files you are looking for ommentum-based torrent-hunter.

I was just wondering -- have you ever tested the model against shorter periods than 6 months -- maybe 3 months or even 1? May Update - This model had another good month returning Before we talk about what changes there might be to the holdings lets add a few funds to the selection list. Since the list of funds was last updated two years ago there have been several funds released and as of this month we momentum-bazed adding Thailand THDTurkey TURIsrael EISand India EPI to the monitored list.

There are two good India fund choices EPI and PINand EPI was chosen based markefs fund volume. If you have comments about this choice please share them with us because a couple of months ago I might have chosen PIN. If these new funds were not being added to the list there would be no changes to this model portfolio this month. But with the additions, China FXI is pushed out of the top 7 and will be replaced with India EPI which is currently in screen position 1.

It joins Chile ECH and Brazil EWZ. Hope June is kind to us. Hugh April Update - This model returned During this same period the SPY returned 9. Chile ECH and China FXI are still in the top 7 screen positions but EWM has dropped. It will be replaced with Brazil EWZ as of todays close. Note: This is significantly different from the intra-day data as of today but is based on yesterdays closing data.

Hugh March Update - The holdings in this model participated in part of the markets bounce in March, returning 4. For the year this strategy has lost EWJ and EWL have dropped from the top 7 screen positions and will be replaced with Chile ECH and China FXI as of todays market close. Malaysia EWM is the third holding in this model.

Hugh Doug, You are correct that I had originally reported a swap from IWN to ECH. It appears that was not correct and I have now ij the January update accordingly. In hindsight the swap to ECH would have been a good move compared to staying with IWN, but it now appears that was not the correct call per the model definition. For the purposes of tracking a model's results I strxtegies it is important to track here the model's performance so that is what we will record, even though the numbers would have benefited from do momentum-based trading strategies work in emerging currency markets error.

Hugh Hugh, I thought this portfolio was holding ECH which replaced IWN last month As always, thanks again for a great site and the monthly updates! Doug February Update - As I write this the headlines are about the Dow losing half its value since its peak. The international marketw have offered little protection during this downturn, but that is not surprising since they are generally perceived as more risky markets.

This model strategy lost IWN has dropped from the top 7 positions so is being replaced in this model with Malaysia EWM as of the close of trading today. Switzerland EWL and Japan EWJ are the other two positions stratwgies this model. Hugh January Update - Edited The holdings in this model strategy all lost during the month of January, markers the portfolio lost IWN has dropped to the 7 position but will not be currencg until it drops below that.

This model will continue holding Russell Value IWNSwitzerland EWL and Japan EWJ. Note, I originally reported that IWN was exchanged for Chile ECH momentumm-based this was in error. That is unfortunate because ECH significantly outperformed IWN. For nomentum-based year, however, this strategy lost Glad is over. SPY has dropped to position 8 and will be mometnum-based as of today's close with EWJ, which is now in position 3. Hugh November Update - This model strategy suffered along with the overall market during November, losing 8.

The current selections including IWN, SPY, and EWL all remain in the top 7 screen positions. Hugh October Update - This model strategy lost For the year, this strategy has lost IWN and SPY are currently in screen positions 1 and 3, respectively, so they will remain in our portfolio. EWC has fallen to the 8th spot so will be replaced in the model portfolio by Switzerland EWL as of the end of trading today.

Hugh September Update - This model portfolio experienced a Last month we took positions in IWN and SPY along with EWC. Since these are still in the top 4 screen postions there will be no changes at this time. Hugh August Update - August saw the continued shift tradong of energy and commodities and took down both Strategise EWZ and Russia RSX in the process, with more minor damage to Canada EWC.

This model strategy is closing out the first two mentioned positions as of close today and moving into two U. Results for August were poor. This strategy lost 9. For the year this startegy is now down This model portfolio has not held a U. Hugh Some wanted an update on how this strategy has done longer term so tradong is the data. The period covers through July, This is just an extension of the period covered above in the initial release. July Update - Due to an startegies trip I will make this short.

We began the month holding EWZ, Momentum-basd, and EWW. The later has fallen to position 8 so it will be sold from this model portfolio as of Friday's close and replaced with EWC Canada. When you post the results for July, would you mind posting the cumulative results so far as well? MP June Update - This model portfolio gave up all of last month's gains plus a little, losing 9. For woro year this do momentum-based trading strategies work in emerging currency markets has beat the market but still is negative at Still don't like it very well.

Our current holdings, EWZ, RSZ, and EWW, are still in the top three spots so there momentum-bawed be no changes this month. For this model you don't have to go back that far, just to January of this makrets. But it has not been a good month for most equities any way you look at it. Hugh Cherry, sorry for the delay in answering your questions. India has not been included because there has not been a candidate that I wanted to invest in.

There was the iPath ETN momentum-bassed I'm not a fan of ETN's even though they are included on the site and this particular ETN has often traded with a premium like a Closed End Fund because of regulatory issues in India. As far as entry point, I have to leave that with you. The model is a momentum model and the international currfncy have shown little momentum recently. It could be a good time or things could continue to deteriorate.

I've never been good at identifying bottoms, or tops for that matter. Wish I could help more. Two emerigng I have are. Why India is not traidng the list? Any particular reason for it? Or it could be any month beginning? May Update - This model portfolio had another good month in May momenttum-based 8. This while the broad market as measured by the SPY returned 1. Two of the model holdings, EWZ and RSX, are still in the top screen positions but EWM has dropped out and will be replaced with Mexico EWW as of today's close.

Hugh I think that currency ETF trading will work well with this system. Momenhum-based tend to form good longer term trends stfategies this strategy of yours could be put to use to profit form that. Spidey - I momentum--based know of anyone looking at applying this to the currencies but it could well work.

If I have do momentum-based trading strategies work in emerging currency markets I'll take a look at it and post the results. Hugh Thanks for the prompt reply. Has anyone looked at using the same strategy using the currency ETF's? In my backtests I have found that trading more often results in more whipsaws, more trades, and slightly lower returns, but it does get you out of bad trades earlier.

There is no silver bullet and all we're trying to do here is stay with the markrts term winners and have to accept a few losers in the process. Spidey - At the end of April EWM was still near the top of our screen so remains in the model portfolio for the month of May. From where it sits now that is not so obvious. Am I missing something? How did EWM get on the buy list?

When I look at the current rankings I can see how the other 2 ETF's made the list. I like your site and find it very useful. I had one more question for you, if you don't mind. Have you run any trades on the sensitivity to do momentum-based trading strategies work in emerging currency markets trading decessions at different momenyum-based periods other than once a month lets say every 2 weeks? I understand that you would be trading more but would this help lock in gains or boot bad performers at a better rate momentum-basdd waiting a month??

I'm just noticing that EWM has been all over the rankings in momentum-basex last 2 months and really hasnt been doing much of anything. I guess i shouldn't complain since RSX and EWZ have been rockstars! Doug April Update - April was a good month for this model, which returned Even though, the strategy is still down 3. The current sork, EWZ, RSX, and EWM, are still the top 3 positions in our screen so there are no changes at this time.

Parameters for shorting are usually different traidng those used for taking long positions because the market has a tendency mzrkets fall fast and slowly rise. At the moment I don't have a short model I find near ommentum-based reliable as the two long strategies presented here. Yes, I've looked at time frames other than six months. A lot of it depends on your trading preferences but the 6 - 9 month periods show pretty solid results over currrency different scenarios and different groups of securities.

Hugh About half a year ago fabien asked why you don't also short the three worst ETFs. I couldn't find an fmerging. Have you considered this? I can't imagine that you haven't. Why don't you test it? I'd be interested in the results. Also, why use 6 months? Emedging you done testing and found that 6 months is the best period? I would have expected that a shorter period might be better since 6 months might encompass an entire trend leg.

Inn the time the ETF shows up on the 6 month best list, it's run might be over. That is a separate strategy from the one being followed here. For this tradibg use the Current Rankings link at the top of this page. You can totally ignore those two posts. By clicking on the current rankings, the list is Single Country. But going to the left hand column and clicking on the tradig International sites shows different etf's or the same but in different order.

What should I be using? Thanks for the feedback. The rank cutoff for sales will remain at 7. That number is more trasing to the number of positions held than it is to mommentum-based number being considered, and we are remaining at 3 open positions for this model. Yes, I have done some backtests on this and returns are stable on traring side of 7. By the backtest we might be slightly better off at 5, but free forex signals whatsapp number of trades goes up and volatility measures deteriorate.

I settled on seven from the data a couple of years ago and don't see a compelling reason to change that right now. Thanks, Hugh First off, I tading your site and your strategy. I've been following your performance for a currencg as it is similar to the Dorcey Wright strategy of Relative Strength using Point and Figure charts although this is a lot simplier.

My question is with the addition of these new funds, are your sell rules still based on dropping below the rank of 7, or will this be stratgies to a rank of 9?? Have you done any backtesting on the sensitivity to the rank level? Momentum-basrd March Update - In March this model strategy ttading ground in both absolute terms and versus the broad market, losing 5.

Going forward we're adding Russia RSX and Chile ECH to our list of ETFs. We should have added them last month since RSX would have been on the list then rather than EWM. In results it wouldn't have made that much difference last month since their results were almost identical. Hong Kong EWH has fallen in ranking and will be replaced as of today's close with RSX. So, after today's close, our model strategy will hold EWZ, EWM, and RSX.

Hugh February Update - February looked like it could be a good month but it couldn't hold it till the end. This model portfolio gained 2. For the year this strategy is still down 8. Both are bad, but the year is young. Our China ETF has fallen to do momentum-based trading strategies work in emerging currency markets in the ranking so it will be sold and replaced with Malaysia EWM as of Monday's close.

We continue holding Brazil EWZ and Hong Kong EWH. Hugh January Update - January was not kind to the market and the international markets were hit along with the US market. Not the way we like to begin, but its how we end that counts. For the emeerging the SPY lost 6 percent. These three holdings are still in the top 7 positions so there are no changes this month.

December Update - This model began the month holding Brazil DkChina FXIand Korea EWY. These holdings resulted in a loss of 2. For the entire year of this ultimate buy sell secret software forex returned Korea EWY 's ranking in the list has dropped to 8 this month meaning it should be replaced. The new fund will be Hong Kong EWH. Wishing each of you a Happy and Prosperous New Year. Hugh Wingzing, I understand your disappointment with the regrouping currenct the International Funds, but the group had grown so large it really needed to be separated.

You can still momentym-based the top performers by looking at the three different pages and noting the top funds on each list. I know this isn't as convenient, but it does give you the information your need for your strategy. Happy New Year, Hugh. What happened to the International Funds list? I have been following it since Feb.

It appears you have split this into three different Saham forex 2015 lists. Can you restore the old one? I don't want to change a winning strategy. November Update - This model portfolio began the month holding Brazil EWZChina FXI tdading, and Korea EWY. The result was a loss This compares to a loss of 3.

These funds are currently ranked 3, 1, and 6 in our screen so there are no changes this month. October Update - This model portfolio began the month holding Brazil EWZChina FXIand Korea EWY. Forex rates zar eur result was an impressive This compares to 1. These funds are currently ranked 2, 1, and 4 in our screen so there are no changes this month. Hugh enjoy your web site emrrging International strategy.

THANKS Jim good site. This compares to 3. Even with our performance, two of our funds lost ground in the ranking and will be replaced in emerfing model portfolio as of today's close. EWM and Wmerging will be liquidated and the proceeds divided between China FXI and South Korea EWY. I never feel comfortable buying after ztrategies huge run-up like FXI has experienced, but those are the rules. Hugh August Update - The August holdings for this model strategy consisted of positions in Malaysia EWM Brazil EWZand Germany EWG.

The net result for momejtum-based month was a loss of 2. That brings the year to date return down to 4. Since these three funds are still in the top 7 positions there are no portfolio changes this month. Hugh July Update - This is a two month update since momentu-mbased was no update posted in June. This model strategy had returns of Year-to-date the model has returned 7. The beginning of June this model sold South Africa EZA and bought Germany EWGwhile maintaining positions in Malaysia EWM and Brazil EWZ.

As of last evening's closing prices there were no changes indicated for this model. To address any confusion I should note that as of this moment EWM has dropped to position 8 but remind everyone that the model is based on closing prices. Hugh Eric Huang asked why the international strategy was compared to the SPY rather than an emerging markets Marketss. The answer is two-fold. First, most users of this site are U. Second, the international strategy includes countries that are not emerging markets and these more mature markets may have periods of outperformance themselves.

Eric goes on to point out that the emerging markets have had superior performance over the past few years, but that may or may not last into the future. I, too, can make an argument that it would, but there were many intelligent people making similar arguments about tech stocks in the 90's. I was there and remember those arguments well. Times change and markets change - be flexible. Thanks again for all the effort in producing sucha fine site. May I make a suggestion please. It wud fit your example above.

RW Very interesting site and momentum-bzsed. Why do you compare your strategy's performance to SPY? The strategy is composed of International funds, while your benchmark control is tradng US market. Seems like you're comparing apples to oranges. For a fair comparison, you should compare it to broad international currecny, such as iShares:MSCI Emerg Mkt EEM or iShares:MSCI EAFE Idx EFA.

EEM has gone up 3. Seems to me if you just bought and held these momentum-baxed index funds, you'd beat the do momentum-based trading strategies work in emerging currency markets Strategy" handily, with no trading costs. The International strategy appreciated about 2. What SPY does in that time is irrelevant. An interesting exercise, but perhaps your readers' financial interests would be better served by eork "chasing performance" and adopting as simple buy and hold strategy when approaching the International and Emerging markets.

Very interesting site and data. EWM and EWZ will stay in this model portfolio joined by Germany Currency which will replace EZA. Yes, but the performance was not as good including much higher volatility. Good question, but EZA is still on the list. Had it fallen below momentum-baaed, as it did on June 1, then it would have been replaced. All that is do momentum-based trading strategies work in emerging currency markets to say EWW would not have been a better pick.

It sure appears to be the stronger of the two at this point in time. Hugh Update for May - Our international model portfolio returned 3. For the year this strategy has returned 7. Our holdings this emreging were FXI, EWM, and EZA. China FXI has fallen in the screen ranking and should be sold as of today's close. The proceeds from this position will be rolled into EWZ Brazil in the model port.

Update for April - This International Strategy returned 3. While nice, it underperformed the market's 4. For the year it is also underperforming with this strategy returning 3. But, the year is still young. Mexico EWW has dropped in our screen ranking and should be replaced with South Africa EZA as of today's close. The portfolio will continue to hold China FXI and Malaysia EWM.

Some how I was looking at Mar Sorry for the stupid comment. Looking at table 4 aren't you tradinf returns. Or is my math for the growth of a dollar as bad as my paying attention to dates? In case my wording was not clear, the changes in this model portfolio are to sell the Spain fund XLP as of today's close and purchase Malaysia XLM with the proceeds.

Apologize for any confusion. I don't understand the question. Update for March - This model portfolio bounced back in March returning 4. However, the SPY is still mmentum-based for the year returning 0. Going into April we will continue to hold Mexico EWW xurrency China FXI but trade in Spain EWP for Malaysia EWM as of today's market close. In looking at the numbers on the iShares site I see a couple of issues.

One, they say in the fine print that the values are for changes in the index and not the ETF, meaning it is before any slippage or market forces. Also they do not show the as-of date and it appears that it might be before the recent correction. You might take a look at the Dp price graphs which give you day-by-day prices or their options trading pin risk prices and see what I mean. At this point I have to stand behind this site's rankings.

Just trying to understand ranking differences between you and the ishares site. Update for February - The last two days of the month were tough on the international funds and on the China FXI fund particularly. For the month this strategy lost 3. Even with the turmoil there are no changes to this model portfolio which holds Spain EWPMexico EWWand China FXI.

Update for January - January resulted in a negative beginning for our International Strategy, all because of China. But a negative start is still a negative start, and this strategy lost 0. All three positions Spain, Mexico, and Ejerging remain in the top 7 screen positions so there are no portfolio changes today. Update for December - December wrapped up a good year for this strategy. For the month this model is up 8. For the year the strategy more than doubled the market's performance, returning Since the beginning of this strategy would have returned The holdings in this portfolio remain currrency through January and include Spain EWPMexico EWW and China FXI.

It's been a good year for international funds and there is no guarantee that will be likewise so be diversified. Happy New Year to all, and may your be happy and prosperous. Nice site - really like what you have done here. Question: Why not set stop limits instead of waiting until the month-end to close losing positions? It would have helped last May, but what about the other months? Maybe stopped too honest forex signals price Thanks, Steve Hello again.

I momentum-basrd just wondering where you obtain your. Msrkets Thomas Update for November - This international portfolio gained 4. The market as measured by the SPY gained 2. For the year this model strategy has gained The Italy strtegies weakened again this month relative to other funds and should be replaced with China FXI as of today's close.

Update for October - Our model portfolio forex trading training course sydney month included Italy EWISpain EWP strstegies, and Mexico EWW. This portfolio returned 6. For the year this model has returned Spain and Mexco are still at the top of the list and Italy's position improved this month to 5, so there are not portfolio changes at this time.

Thanks momentu-mbased the info. I'm surprised the number of trades goes up so much. I guess I would've thought that there would be much more stability and that the ones falling out of the top 7 in the middle of the month would just lead strategied getting out of the worst performer slightly earlier. Eric asked about a daily version of this system. Yes, it has been tested but the results were not as good. As expected the number of trades goes up, it more than doubles, while the annual return is reduced significantly.

Looking at the yearly returns, the daily version only beats the monthly version in Have you tried a backtest where the general strategy is followed, but if one of the ETF's falls below the top 7 then you sell it immediately and rebalance to stratehies of the tradinv 3 not currently owned instead of waiting for the end of the month. It seems that once the ETF has fallen out of favor and you are likely to change it anyway at the end of the month, you might as well change it curdency right away if keeping up with it strwtegies.

May not prove to be the case in a backtest, but was curious if you had investigated that. Update for September - Our model portfolio this month included Italy EWIFrance EWQand Spain EWP. This portfolio returned 1. EWQ has fallen forex trading stories position 9 during the month so narkets trading rules dictate we close that position and buy Mexico EWWwhich is currently in position 2.

I should note that Italy EWI is currently in position 7 which is the lowest position where we keep a security curency this model portfolio. Update for August - Our model holdings this month were China FXIFrance EWQand Spain EWP. This portfolio returned 2. The year emefging been volatile but this model has returned 9. FXI has fallen to position 10 during the month so the trading rules dictate we close that position and buy Italy EWI with the proceeds.

G Update for July - Momentum-bases International Strategy had a small gain in July, gaining 0. For the year this strategy has wok 6. Magkets move back into the Brazil fund was short lived as the model now calls to sell that position as of the end of today's trading and purchase the Spain fund EWP with the proceeds. Update for June - This International Strategy had a nice recovery in June gaining 4. That puts the year-to-date strategiies at 5. The strategy will be moving back into Brazil EWZ this month after exiting that trdaing at the beginning of June.

Sell Germany EWG and do momentum-based trading strategies work in emerging currency markets proceeds into Brazil EWZ. Update for May - Our International Mzrkets had its worst vo on record in Stratehies, losing For the year, the Int'l Strategy is now underperforming by a monentum-based of 1. Looking longer term, the model has momentim-based an annualized return of The model calls for all three holdings to be sold at today's close and divide the funds into equal positions of China FXIGermany EWGand France EWQ.

Your comments suggest a more diversified do momentum-based trading strategies work in emerging currency markets balanced portfolio and I couldn't argue with that. I would never suggest anyone put all of their funds in any one strategy including the ones on this site. These are momentum based strategies and as such tend to move more in both directions, up and down. This was a bad month indeed. As to your specific suggestions, they have not proven themselves in my backtesting but I komentum-based always looking.

Thanks for the comments, Thanks for the site and strategy. When stocks are amrkets down, it may be useful to switch to cash bank deposits for a while. If major leading ETFs are giving less during last 6 months than bank interest US bondsor volatility is too high. It may have sense to use broader indexes in order to exclude dependancy. For separate countries - only when performance of these countries is extinguisged.

International and especially emerged markets are more volatile, and 6 months may be too much. Logically, 3 months shall bring better results. Also logically, betterdiversify more, and take main indexes the same tradinh be true for your US portfolio. Use of broad indexes shall help not to increase transactions too much. Update for April - Our International Strategy do momentum-based trading strategies work in emerging currency markets back strong in April returning 6.

For the year the score is now There are no changes traidng the model portfolio this month so the holdings will remain Brazil EWZMexico EWWand South Africa EZA. Emerginf you been markegs to replicate or look into the strategy? This is very intersting. Would it be possible to receive an excel spreadsheet with the monthly returns of the strategy, as it would allow us to calculate various risk yardsticks. Thanks JPF To follow up on my previous email, would it be possible to provide the comparison vs.

Thanks Your strategy is interesting. However, for the international portfolio, I find the comparison vs. Yrading is like comparing apples to oranges. A better comparison to assess the value of the strategy would be versus an EAFE Do momentum-based trading strategies work in emerging currency markets or benchmark. Update for March - We had our second losing month in a row with this strategy which lost 0. For the year, however, we are still up by The position in Canada EWC finally comes to an end as we begin April.

It will be replaced by the South Africa ETF EZA as of Monday's close. We continue to hold Brazil EWZ and Mexico EWW in our model port. Update for February - This strategy gave up a small portion of last month's gains, losing 1. As the end of the month approached it appeared that or Tradung position EWC wokr be coming to an end, but in the final days it held on.

Therefore, no changes in this strategy at this time. Still holding Brazil EWZMexico EWWand Canada EWC. The Merrill Lynch HOLDRS are the only ETFs I am aware of that require round lot purchases. Emergint you should be able to purchase in single shares. Note we do not use HOLDERS in either of our published strategies. Really enjoy your site, but I have a question. When I tried to purchase ETFs in odd lots my broker Scottrade would only take round lot orders.

How does one make equal purchases of ETFs without buying odd lots? Update for Marlets - Both of our published strategies ln the year with exceptional returns. This International Strategy gained For January, the SPY gained 2. No trades again this do momentum-based trading strategies work in emerging currency markets since EWZ, EWW, and EWC are all still in the top 7 positions of the screen ranking.

I'll try to work them into a backtest and let you know how it comes out. I presume you are evaluating those positions daily, is that correct? Hugh I have been following a real time strategy this year which involves investing in two international ETFs. Update for December - December was another good month for this International Strategy returning 3.

No trades this month since EWZ, EWW, and EWC are all still in the top 7 positions momentum-bawed the screen stgategies. Traditional - Advanced, with Backtesting. Trend Explorer - Market Trends. Portfolio Backtesting - Backtest your portfolio. Moving Average Backtesting wkrk Do momentum-based trading strategies work in emerging currency markets Moving Average Strategies. Please see home page more information. Posted by hmTodd on Wednesday, Posted by hmTodd on Monday, October Update - This International Strategy gained an impressive 7.

Posted by hmTodd on Tuesday, September Update - This International Strategy gained a nice 4. August Update - This International Wogk lost 3. Posted by hmTodd on Thursday, Thanks for the update. Posted by Brian K on Monday, May Update - This International Strategy had another rough month, losing 5. Posted by hmTodd on Friday, Posted by brewster on Friday, January Update - This International Strategy gained a respectable 3. December Update - This International Strategy closed out the year strong with a 6.

Amit - Thanks for the comment. Posted by AmitC on Monday, Posted by DH on Sunday, DH, Welcome to the site and thanks for signing up. Posted by hmTodd on Saturday, Todd, I am new to the site Premium level and have been reviewing your single country strategy and working on screens and backtesting. Posted by DH on Friday, November Update - This International Strategy had another good month, gaining momentum-basfd. October Update - This International Strategy had another good month, gaining 3.

September Update - This International Strategy had another stragegies month, returning 2. August Do momentum-based trading strategies work in emerging currency markets - Mlmentum-based International Strategy had another good month, returning 2. July Update - This International Strategy slightly outpaced the broad US market again this month, returning 1. June Update - The International Strategy slightly outpaced the broad US market with a 4.

May Update - This International Strategy matched the SPY this month with a loss of 6. April Update - This Markegs Strategy lost 1. Lio's strategy, based on my own backtests, will work. Posted by Tom on Wednesday, March Update - This International Strategy had another good month returning 3. First of great site and strategy.

Posted by Lio on Sunday, February Update - This International Strategy had another good month returning 3. January Update - This International Strategy began the year with a market beating performance, which is a nice change from last year. December Update - This International Strategy finished the emerginh with another loss in December of 0.

November Update - This International Strategy had a small gain of 0. October Update - This international strategy was up 6. August Update - August was not kind to the U. July Update - Needless to say, the past few months have been difficult for the international markets, and this strategy. June Update - This international strategy lost 0. May Update - This international strategy lost 5. April Update - This model strategy smerging 3. Posted by Jon on Tuesday, Posted by hmTodd on Sunday, Posted by JonathonAM on Wednesday, February Update - The SPY continued it's run with a 3.

Before I get to the updates let me address some comments. Posted by ownereace on Sunday, Posted by don on Thursday, Posted by jib on Tuesday, December Update - Our Single-Country Fund Strategy finished the year with a 4. Have a Happy New Year - Hugh. Many thanks for your clear, precise and intelligent maekets work, not to mention your generosity. Posted by jakob on Monday, This is helpful pie trading system would like to use this strategy as I traing on ETF investing.

Posted by ETFNewbie on Friday, September Update - The broad market had a good month of September returning 9. Sebastian, Ive looked at a few variations on the theme of going to cash when a fund is trading below some longer term moving average. August Update - This international strategy posted a gain xo August of 3. Hi Hugh, great site! Posted by Sebastian on Friday, I understand the thinking on comparing performance to VWO rather that SPY, but I prefer to compare everything to a single reference point.

Comparing VWO might be more appropriate than SPY. Posted by Amit C on Thursday, May Update - This International Strategy lost 9. April Update - This International Strategy momentum-bqsed 2. March Update - This International Strategy gained 9. There have been a few requests for updated stats and charts. Posted by Brantley on Monday, February Update - This international strategy lost 0.

January Update - This international strategy lost 5.




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