Kevin G. Hockert, CMT

Director of Portfolio Strategies

MN MTA Chapter

Kevin@AskProspero.com

Quantitative Technical Research

• formal systematic process in which numerical data are used to obtain information about securities and financial markets

• describe variables

• examine relationships among variables

• assess probabilities associated with cause and effect interactions between variables

strategy development considerations

• know thyself

• time frame- frequency of trades

• absolute or relative returns

• drawdowns

• simplicity

• practicality

• sweetspot and limitations

Testing

• Hypothesis

• Parameters

• Test – in sample, out of sample

• Indicators

• Portfolio Level Strategy

What to test

• Market breadth: advance/decline, 4 Week High, 10 Week MA, 52 Week

• Sentiment: AAII, Investors Intelligence

• Trend and Trend Momentum: Short, Intermediate and Long Term

• Relative Strength: ROC, Weighted ROC, MA/MA,

WHY?

• Breadth: assess market risk – correlation

• Sentiment: extreme levels – market inflection points

• Trend & Trend Momentum: probability of market and individual security direction

• Relative Strength: assess attractiveness of security vs. group of securities

• Relative Strength: broad asset allocation

Quantitative Strategy

• processes can improve ability to collect, assimilate and apply information

• scientific repeatable process with definable prospects

• methodical, systematic approaches to managing market risk, allocating portfolio capital and security selection

• reduce emotional and subjective components of investment decision making process

Market breadth

• Market breadth models

• Advance Decline

• 4 Week High

• % above 10 Week MA

• 52 Week High Low

• Price Volume

Advance Decline

• represents the amount of liquidity in the markets

• one stock – one vote

• Nasdaq preferred over NYSE

• advance decline line – moves too slow

• acceleration/deceleration in advancing vs. declining issues tends to expand and contract representing “liquidity waves”

McClellan

• Sherman and Marion McClellan created the McClellan Oscillator and Summation Index (son Tom continues on tradition of innovative indicator development)

• Oscillator – difference of the 10% and 5% trend of advances minus declines divided by advances plus declines

• Summation Index – addition of the daily oscillator values

Nasdaq Summation Index at a 20 day high and Nasdaq 50 day MA positive slope

Test Period Nasdaq Average 21 Day Return Strategy Average 21 Day Return

1978-2000 1.55% 1.88%

2000-current 0.09% 0.49%

1978 - current 1.03% 1.43%

Nasdaq Summation Index

-1200

-1000

-800

-600

-400

-200

0

200

400

600

800

Summation Index Observations

• indicator Peaks 4/26/2010, 1/18/2011

• indicator Bottoms 7/7/2010, 8/23/2011

• direction and level are important (short and intermediate term signals)

• daily data has become more volatile

• consult weekly advance decline

• include volume

S&P 500 Weekly price& Weekly A/D Oscillator

-14

-12

-10

-8

-6

-4

-2

0

2

4

6

8

800

900

1000

1100

1200

1300

1400

1500

1/4

/20

10

2/4

/20

10

3/4

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10

4/4

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10

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10

6/4

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10

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10

8/4

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10

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/20

10

10

/4/2

01

0

11

/4/2

01

0

12

/4/2

01

0

1/4

/20

11

2/4

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11

3/4

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11

4/4

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11

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11

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11

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11

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11

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10

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01

1

11

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01

1

12

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1

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12

2/4

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12

3/4

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12

4/4

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12

5/4

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12

6/4

/20

12

S&P 500 Weekly Price &4 Week High Oscillator

-0.2

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

800

900

1000

1100

1200

1300

1400

1500

1/4

/20

10

2/4

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10

3/4

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10

4/4

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10

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10

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10

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10

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10

10

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01

0

11

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01

0

12

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01

0

1/4

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11

2/4

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11

3/4

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11

4/4

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11

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11

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11

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11

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11

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11

10

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01

1

11

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01

1

12

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01

1

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12

2/4

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12

3/4

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12

4/4

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12

5/4

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12

6/4

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12

S&P 500 & Intermediate Term Momentum

-50.00

-40.00

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

800

900

1000

1100

1200

1300

1400

1500

1/4

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10

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10

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10

10

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01

0

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01

0

12

/4/2

01

0

1/4

/20

11

2/4

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11

3/4

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11

4/4

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11

5/4

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11

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11

7/4

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11

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11

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11

10

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01

1

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01

1

12

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01

1

1/4

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12

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12

3/4

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12

4/4

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12

5/4

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12

6/4

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12

S&P 500 & Long Term Momentum

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

60.00

800

900

1000

1100

1200

1300

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1500

1/4

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10

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10

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10

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01

0

11

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01

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12

/4/2

01

0

1/4

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11

2/4

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11

3/4

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11

4/4

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11

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11

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11

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11

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11

10

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01

1

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01

1

12

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01

1

1/4

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12

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12

3/4

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12

4/4

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12

5/4

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12

6/4

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12

Weekly Trend Momentum Observations

• Momentum tends to precede price

• Unique metric characteristics: trend stability yet responsive at market inflection points

• Recent Intermediate Term peak: 3.30.2012

• Recent Intermediate Term bottom?:6.8.2012

AAII Sentiment

• Threshold of 2 to 1 bears vs. bulls

• Recent signal on 5.17.2012

• Back tested results (4 week hold)

• 56 profitable trades – average gain of 4.79%

• 17 unprofitable trades – average loss of 3.82%

• Win Loss = 76.7%

AAII Sentiment

500000

1000000

1500000

2000000

2500000

3000000

3500000

1-1

5-8

8

1-1

5-8

9

1-1

5-9

0

1-1

5-9

1

1-1

5-9

2

1-1

5-9

3

1-1

5-9

4

1-1

5-9

5

1-1

5-9

6

1-1

5-9

7

1-1

5-9

8

1-1

5-9

9

1-1

5-0

0

1-1

5-0

1

1-1

5-0

2

1-1

5-0

3

1-1

5-0

4

1-1

5-0

5

1-1

5-0

6

1-1

5-0

7

1-1

5-0

8

1-1

5-0

9

1-1

5-1

0

1-1

5-1

1

1-1

5-1

2

AAII SentimentProspero

1 WK

2 WK

3 WK

4 WK

Intermarket Anaysis

• John Murphy

• branch of technical analysis that examines relationships between stocks, bonds, commodities and currencies

• relationships contain important information about the business cycle and hold important implications for asset allocation

Relationship of Stocks and Interest RatesWeekly returns - S&P 500 & 10 Year Yields

• Correlations

• 1960s -.050

• 1970s -.288

• 1980s -.278

• 1990s -.268

• 2000s .388

• 2007-current .452

• In most of history, rising rates have been associated with declining stock prices

• Structural changes in economy (borrowing and demand for goods) have caused relationship to invert

Hypothetical results: Long SPY when intermediate term trend is positive AND 10 Year Yield trend is negative

(1962-2011)

1000000

3000000

5000000

7000000

9000000

11000000

13000000

S&P 500 Trend up, yield trend up (green)S&P 500 trend up, yield trend negative (blue)

8000000

9000000

10000000

11000000

12000000

13000000

14000000

9/1

7/2

00

7

11

/17

/20

07

1/1

7/2

00

8

3/1

7/2

00

8

5/1

7/2

00

8

7/1

7/2

00

8

9/1

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8

11

/17

/20

08

1/1

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9

3/1

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9

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9

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9

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9

11

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09

1/1

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01

0

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0

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01

0

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01

0

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0

11

/17

/20

10

1/1

7/2

01

1

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7/2

01

1

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01

1

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01

1

9/1

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01

1

11

/17

/20

11

1/1

7/2

01

2

3/1

7/2

01

2

5/1

7/2

01

2

Relative Strength lineSPY/IEF

1.00

1.05

1.10

1.15

1.20

1.25

1.30

1.35

1.40

1.45

Relative Strength &Asset Allocation (EEM/SPY)

0.15

0.2

0.25

0.3

0.35

0.4

0.45

1/3

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…

3/3

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…

5/3

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7/3

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9/3

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11

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Trend Scoring System

• uniform way to objectively assess the merits of buying, selling or holding a security at any point in time

• score weights are based on weekly trend, trend momentum and relative strength

• metric weighting = 1 point if positive

• maximum score =7, minimum score = 0

• max score for SPY = 5, cannot achieve 2 additional from RS vs. itself

Scoring components

• Short term trend

• Intermediate term trend

• Long term trend

• Intermediate term momentum

• Long term momentum

• Intermediate term relative strength

• Long term relative strength

characteristics of scoring system

• Score = ideally 4 or higher (move from below 4 to above 4 is generally important

• Score direction – improving trend in score tends to correlate with improving price trend

• Turnaround – a score of 0 that improves to 1 or 2 is indicative of improving trend momentum (momentum precedes price)

• High score represents positive relative strength

iShares ETFs scores 1.17.2011-1.9.2012

Date SPY DJP EEM EFA GLD ICF IJH IJJ IJK IJR IJS IJT IVE IVW JJGQQ

Q SH UUP

10/17/2011 1 0 0 0 4 1 1 1 1 1 1 1 1 4 0 6 5 6

10/24/2011 2 0 0 1 4 0 1 2 1 2 2 2 2 4 0 7 6

10/31/2011 3 0 2 2 4 3 3 3 3 3 3 3 3 6 0 7 1 5

11/7/2011 3 0 2 3 5 3 3 3 3 3 3 3 3 7 0 7 0 3

11/14/2011 4 1 2 3 5 5 3 3 3 3 3 3 3 7 0 7 0 2

11/21/2011 4 1 2 2 5 5 3 3 3 3 3 3 3 7 0 7 0 4

11/28/2011 2 1 2 2 4 3 2 2 2 2 2 2 2 5 0 6 1 6

12/5/2011 3 1 2 2 6 3 3 3 2 3 3 4 3 7 0 6 0 7

12/12/2011 4 1 2 2 5 3 3 3 3 5 5 7 3 7 0 6 0 7

12/19/2011 4 0 2 1 4 5 3 3 2 6 5 7 3 7 0 5 0 7

12/26/2011 5 0 2 0 2 7 3 4 3 7 6 7 4 6 0 3 0 7

1/2/2012 5 0 2 1 2 7 3 4 3 7 7 7 4 7 1 4 0 7

1/9/2012 5 1 1 1 2 7 4 4 3 7 7 7 6 6 2 5 0 7

iShares scores 1.16-4.2.2012

Date SPY DJP EEM EFA GLD ICF IJH IJJ IJK IJR IJS IJT IVE IVW JJG QQQ SH UUP

1/16/2012 5 1 3 2 1 7 5 5 4 7 7 7 6 6 1 5 0 5

1/23/2012 5 1 3 3 1 7 5 6 5 7 7 7 6 6 2 6 0 5

1/30/2012 5 3 4 3 2 7 5 6 5 7 7 7 6 6 3 6 0 3

2/6/2012 5 3 4 4 4 7 6 6 5 7 7 7 6 5 3 7 0 3

2/13/2012 5 3 4 4 4 7 6 7 5 7 7 7 7 5 3 7 0 3

2/20/2012 5 3 5 4 4 7 6 7 5 7 7 7 7 5 3 7 0 2

2/27/2012 5 3 5 5 5 7 7 7 6 7 7 7 7 5 3 7 0 2

3/5/2012 5 3 5 5 5 6 7 7 6 7 7 7 6 5 3 7 0 2

3/12/2012 5 3 5 5 5 6 7 7 6 7 7 7 6 5 4 7 0 2

3/19/2012 5 3 5 5 4 4 7 7 6 7 6 5 7 5 4 7 0 2

3/26/2012 5 2 5 5 2 4 6 7 5 6 6 5 7 5 4 7 0 2

4/2/2012 5 2 5 5 2 4 5 6 5 6 6 4 7 5 4 7 0 1

SPY DJP EEM EFA GLD ICF IJH IJJ IJK IJR IJS IJT IVE IVW JJG QQQ SH UUP

iShares scores 4.2-6.18.2012

Date SPY DJP EEM EFA GLD ICF IJH IJJ IJK IJR IJS IJT IVE IVW JJG QQQ SH UUP

4/2/2012 5 2 5 5 2 4 5 6 5 6 6 4 7 5 4 7 0 1

4/9/2012 5 1 4 4 1 4 4 4 5 5 6 4 6 6 5 7 0 2

4/16/2012 4 1 3 3 1 4 4 4 4 3 4 4 4 7 5 7 1 3

4/23/2012 4 0 3 3 1 5 4 3 4 3 3 3 4 6 5 7 1 1

4/30/2012 4 0 2 3 1 7 4 3 4 3 3 3 4 6 5 6 1 0

5/7/2012 4 0 2 2 1 7 3 3 3 2 2 3 3 6 5 6 2 0

5/14/2012 2 0 1 2 0 7 2 2 2 2 2 2 2 5 2 4 2 2

5/21/2012 2 0 0 0 0 6 2 2 2 2 2 2 2 4 4 4 3 5

5/28/2012 2 0 0 0 0 4 2 2 2 2 1 2 2 4 2 4 3 5

6/4/2012 2 0 0 0 0 4 1 1 1 1 1 1 1 4 0 4 3 6

6/11/2012 1 0 0 0 0 4 1 1 1 1 1 1 1 4 0 4 3 6

6/18/2012 2 0 0 0 0 5 1 1 1 1 1 1 1 4 0 4 3 6

Perf. Signal 8.74%NA -0.47% -2.93% -3.64%14.01% 8.72% 8.77% 7.68% 8.35%10.63% 9.28%10.88% 9.96% -4.38%13.27%NA 0.18%

EEM & Trend Score

0

1

2

3

4

5

6

7

30.00

35.00

40.00

45.00

50.00

55.00

QQQ and Trend Score

0

1

2

3

4

5

6

7

8

40.00

45.00

50.00

55.00

60.00

65.00

70.00

IJH (iShares S&P Mid Cap)Red =Trend Score 0-3, Green = Trend Score 4-7

20

30

40

50

60

70

80

90

100

110

Dividend and Yield ETF Universe

Date SPY DEM DES DLN DON DOO DVY DWX EDIV FDL FVD HYG IYR JNK PFF PHB SCHD SDY VIG

4/23/2012 4 3 2 5 3 0 3 1 2 3 3 3 6 3 4 3 5 3 4

4/30/2012 4 2 3 5 3 1 4 0 2 3 3 3 7 3 4 3 4 3 4

5/7/2012 4 2 2 4 3 0 3 0 0 3 3 3 7 3 3 3 4 3 3

5/14/2012 2 2 2 4 2 0 3 0 0 3 3 3 7 3 3 3 4 2 2

5/21/2012 2 1 2 4 2 0 4 0 0 5 2 2 6 2 2 3 2 2 2

5/28/2012 2 0 2 4 2 0 4 0 0 5 2 2 4 2 3 3 2 2 2

6/4/2012 2 0 1 4 1 0 4 0 0 5 4 3 4 3 4 3 3 2 1

6/11/2012 1 0 1 4 1 0 4 0 0 5 4 3 4 3 4 3 3 3 2

6/18/2012 2 0 1 4 1 0 5 0 0 7 4 3 5 3 5 3 4 4 2

Symbol SPY DEM DES DLN DON DOO DVY DWX EDIV FDL FVD HYG IYR JNK PFF PHB SCHD SDY VIG

YTD Perf. 7.9% 0.7% 5.9% 6.8% 4.2% -3.8% 4.9% -4.1% -4.8% 6.4% 4.6% 2.2% 10.9% 3.7% 10.5% 2.8% 5.9% 4.4% 4.2%

Perf. Signal 8.7% 1.2% 7.5% 13.1% 8.8% -3.3% 3.5% -5.3% 0.6% 4.8% 4.3% 5.9% 10.3% 4.0% 1.6% 5.5%NEW NEW 11.2%

Nasdaq 100 Top 10 RS RANK vs. S&P 500

3/5/2012

3/12/2012

3/19/2012

3/26/2012

4/2/2012

4/9/2012

4/16/2012

4/23/2012

4/30/2012

5/7/2012

5/14/2012

5/21/2012

5/28/2012

6/4/2012

6/11/2012

6/18/2012Date

4 5 5 5 5 5 5 5 4 4 2 2 2 1 1 1MNST

92 90 89 84 83 83 85 88 88 87 35 11 3 2 2 2VRTX

7 7 8 9 9 8 9 8 8 6 5 3 4 4 3 3ROST

12 14 16 15 15 13 13 12 11 11 10 10 9 8 7 4DLTR

3 3 2 3 3 3 3 3 5 5 7 7 6 6 6 5ALXN

5 4 4 2 2 2 2 2 2 2 3 4 5 5 5 6AAPL

1 1 1 1 1 1 1 1 1 1 1 1 1 3 4 7STX

97 97 96 96 96 95 95 95 91 82 67 47 28 20 16 8EXPE

11 11 14 16 16 14 12 11 10 9 6 6 7 7 8 9ORLY

9 10 10 12 14 16 14 14 16 13 11 13 12 11 9 10WFM

Nasdaq 100 Top Scores

Date 4/2/2012 4/9/2012 4/16/2012 4/23/2012 4/30/2012 5/7/2012 5/14/2012 5/21/2012 5/28/2012 6/4/2012 6/11/2012 6/18/2012Date

AMZN 3 3 3 3 5 6 7 7 7 7 7 7AMZN

BMC 4 4 4 4 6 6 6 6 7 7 7 7BMC

DLTR 7 7 7 7 7 7 7 6 7 5 5 7DLTR

EXPE 3 3 2 1 3 4 6 6 7 7 7 7EXPE

MNST 7 7 7 7 7 7 7 7 7 7 7 7MNST

VRTX 5 5 3 2 1 1 7 7 7 7 7 7VRTX

WCRX 3 2 1 1 4 6 6 7 7 7 7 7WCRX

BBBY 6 7 7 7 7 7 7 7 7 7 6 6BBBY

CERN 7 7 7 6 6 6 6 6 6 6 5 6CERN

COST 6 6 5 4 3 2 2 2 2 4 5 6COST

EBAY 7 7 7 7 7 7 7 7 7 6 6 6EBAY

QGEN 3 3 2 3 5 6 6 6 7 7 7 6QGEN

Nasdaq 100 Lowest Scores

Date 4/2/2012 4/9/2012 4/16/2012 4/23/2012 4/30/2012 5/7/2012 5/14/2012 5/21/2012 5/28/2012 6/4/2012 6/11/2012 6/18/2012Date

ORCL 3 4 2 1 2 0 0 0 0 0 0 0ORCL

PCAR 6 6 4 3 2 2 0 0 0 0 0 0PCAR

SHLD 7 6 5 2 1 0 0 0 0 0 0 0SHLD

SIRI 7 7 6 6 5 4 4 3 2 1 0 0SIRI

SNDK 4 2 1 0 0 0 0 0 0 0 0 0SNDK

SPLS 5 5 5 5 4 3 1 0 0 0 0 0SPLS

SYMC 5 5 5 5 3 1 0 0 0 0 0 0SYMC

TEVA 4 4 4 4 4 4 3 0 0 0 0 0TEVA

TXN 4 4 3 2 2 2 2 1 0 0 0 0TXN

VMED 4 5 3 2 2 0 0 0 0 0 0 0VMED

WYNN 4 5 5 5 5 6 3 0 0 0 0 0WYNN

XLNX 6 6 3 3 3 2 2 1 1 0 0 0XLNX

Nasdaq 100Score increase from 3 to 4

• Short Term trend is positive

• Intermediate Term trend is positive

• Intermediate Term momentum at a 4 week high

• Score = >4, Score < 4 for previous consecutive 7 weeks

Nasdaq 100 Score Buy Signal Back Test

Holding Period Avg. Gain Avg. Loss # of wins # of losses WinLoss %

4 WK 12.01% -10.44% 309 238 56.49%

8 WK 18.32% -14.37% 298 248 54.58%

12 WK 24.33% -18.72% 301 247 54.93%

Nasdaq 100 Score Buy Signal

(position size = 20, 4 week hold)

500000

700000

900000

1100000

1300000

1500000

1700000

1900000

2100000

2300000

2500000

Nasdaq 100 Score Sell Signal

• Short Term trend is negative

• Intermediate Term trend is negative

• Intermediate Term momentum at a 4 week low

• Score = <4, Score > 4 for previous consecutive 7 weeks

Nasdaq 100 Score Sell Signal Backtest

Holding Period Avg. Gain Avg. Loss # of wins # of losses WinLoss %

4 WK 11.29% -14.54% 80 112 41.67%

8 WK 19.49% -22.48% 82 110 42.71%

12 WK 24.58% -28.40% 93 99 48.44%

Nasdaq 100 MA Cross Parameters

• Short term trend is positive, previous 4 weeks negative

• Intermediate term trend is positive

• Intermediate term momentum is at a 1 week high

• Weekly Closing price is < 5% above short term moving average

Nasdaq 100 MA Cross Back test

Holding Period Avg. Gain Avg. Loss # of wins # of losses WinLoss %

4 WK 11.46% -7.01% 285 208 57.81%

8 WK 18.26% -9.63% 296 197 60.04%

12 WK 23.70% -12.72% 283 209 57.52%

Nasdaq 100 MA CrossRecent Buys

• 12.27.2011 AAPL, LINTA, MSFT, WFM• 1.17.2012 GOLD, SPLS, TXN• 1.23.2012 BBBY, EBAY, PCLN• 2.6.2012 COST• 2.21.2011 ATVI• 3.5.2012 GOOG, SNDK • 4.2.2012 VOD• 6.11.2011 COST, FISV, SRCL• 6.18.2011 ADP, INTU, PAYX, SIAL

Multiple Models & Metrics

• ETF Relative Strength Rotation• ETF Trend Scores• Individual Equity Strategies • Trend, Momentum, & RS rotation• Buy/Sell Signals• Trend Score up/down• MA Crossover• High RS Continuation Up• Trend Reversal

Variety of Universes

• ETFs

• Funds

• Nasdaq 100

• IBD 100

• MN Growth 100

• Dividend Aristocrats

• Dividend & Buybacks

• Consumer Staples

Biography

• Kevin Hockert, CMT, is the Director of Strategies for Prospero Institute, Inc. an investment advisory firm founded in 2005. Prospero delivers quantitative investment solutions to RIAs and portfolio managers ranging from Barron’ Top 100 advisors to HNW wealth management firms. Several proprietary rules based strategies have been developed that are designed to help financial advisors and portfolio managers systematically allocate portfolios into and out of various asset classes. By providing a broad spectrum of solutions ranging from market breadth models, broad asset allocation, sector rotation, dedicated high yield, fixed income, alternative asset classes and individual security selection, Prospero’s strategies are designed to help financial advisors bridge the gap between hiring third party money managers and tackling the monumental task of managing client assets on their own.

• Kevin is a 21 year veteran of the financial markets. He was awarded the CMT designation in 2008 and the culmination of his research at that time included his CMT 3 paper titled “Intermarket Analysis and Dynamic Asset Allocation”. Kevin also serves as a Co-Chair of the Minnesota Chapter of the Market Technicians Association.