ETFOptimize Home Page



The Indicators Used in Our Quantitative Strategies

Since 1998, Optimized Investments, Inc. (publisher of ETFOptimize.com) has developed and marketed sophisticated, quantitative investment strategies for individual investors and investment advisors. We configure each of our investment models to attain the highest Risk-Adjusted Return (RAR)  – which is an investment model's annual return relative to its inherent volatility – providing you with investment models that avoid losses and consistently generate robust profits year after year.

To achieve this objective, seasoned strategy designers – with 50+ years of combined experience – select from composites of proprietary macroeconomic, investor sentiment, stock-fundamental, and technical data sets so that all aspects of an investment strategy function synchronously – with a level of sophistication never previously offered to individual investors.

To our knowledge, no investment advisories, hedge funds, nor mutual funds provide investment strategies as sophisticated as the ETFOptimize models – made available to you by subscription for as little as $9/mo – just 30¢ cents/day. Our investment strategies provide consistent annual returns that range from 14.4% to 92% and have never incurred a money-losing year!

– Select an ETFOptimize Premium Investment Strategy that's right for you –



50+ Data Sets Used in Multiple Configurations
for Risk Mitigation and ETF Selection


What makes the ETFOptimize strategies unique is that they utilize selections from more than 50 proven drivers/measures of investment performance to calculate the appropriate exposure and asset selection at any given time to attain their exceptional returns. Most ETF strategy builders take the most effortless approach - using easily access accessible information for all ETFs: price. Therefore, most quantitative ETF designers use one or two Momentum or Relative Strength technical indicators as the drivers of their rules-based strategies.

Because the price of ETFs are usually a passive reflection of stock indices' value, they don't offer the depth of data and statistics that accompany individual stocks. For this reason, most ETF-based investment strategies use simple technical (price-based) measures – such as comparing the relative strength of one ETF to the relative strength of a universe of similar ETFs – or the momentum of the ETF compared to the market.

However, ETFOptimize goes the extra mile. Each weekend, we calculate billions of bits of an ETF's internal data and compile critical indicators, ratios, and data sets for each of the individual stocks comprising each strategy's benchmark index. After our systems construct this robust set of custom measures for every available stock in every available ETF each weekend, our proprietary algorithms make sophisticated decisions based upon those measures.

We are not running just one calculation on each ETF but perform analysis on every individual stock held by that ETF to derive a composite score for the ETF. For the S&P 500, that would mean analyzing 500 different companies—achieved each weekend in a matter of seconds. And we run those calculations for dozens of robust indicators on every stock in every ETF. This detail is why quantitative investing by ETFOptimize—putting the full power of state-of-the-art computers and dozens of high-quality databases to work—is so powerful and advantageous to you as an investor.


Resources
These sophisticated calculations demand an enormous amount of computing horsepower, as well as high-quality, point-in-time data sets (to eliminate survivorship bias), provided by highly-respected market-data titans such as FactSet, S&P Global Market Intelligence, Compustat, S&P Capital IQ Estimates, ICE Data, LLP, and IEX Cloud.

We believe the result of the extra effort required to build all of our custom measures is well worth it because of the highly accurate signals driving each Premium Strategy. We think you'll agree that the ETFOptimize Premium Strategies' performance is a testament to the extra effort we take.

– Select an ETFOptimize Premium Investment Strategy that's right for YOU –




50+ Indicators Used for
Exceptionally-Accurate Investment Signals


Rather than attempting to forecast the future—which seems to be the primary pursuit of the investment world (but with highly inconsistent results), our firm uses the scientific method to identify evidence-based, near-term relationships for proven ETFOptimize proprietary indicators. We make our strategies from uncorrelated indicator composites based on the lists below.

For example, let's say we want to build a new Premium Strategy based on Breadth Indicators, Sentiment Indicators, and Technical Indicators. To form these three indicator sets, we might use two Breadth Indicators ($BI-Series), three Sentiment Indicators (from the $SI series), and three Technical Indicators (from the $TI indicator set). By combining multiple indicators from the data series listed below, we can achieve far higher accuracy in our Premium Strategies, resulting in exceptional performance. The Indicator Sets from which we select includes the following 50+ data series:

MacroEconomic Composites ($MI indicator series) that include the Unemployment Rate, Initial Claims, Continuing Claims, and the trend for each, the Yield Curve status and trend for multiple spread composites, the Ted Spread, Corporate AAA vs. Corp BBB Bond spread, High-Yield Bonds vs. Investment Quality and Treasury Bonds, Consumer Price Index trend, US Dollar Relative Strength, Relative Profit Trend for the Nine S&P Sectors, Wage Growth Rate and Trend, Consumer Sentiment Trend, ETF Fund Flow Trend, Industrial Production Trend, Market Segment and Sector Relative Strength Comparison, Sector/Segment Fund Flow Trends, High-Yield Bond Trend, Raw Rate of Change, Sector Relative Growth status, Stock/Bond Relative Strength Ratio and other Bullish/Bearish pair indicators, such as Copper/Gold Ratio, Equity/Money-Market Ratio, and more…

Fundamental Ratio Composites ($FI indicator series) are derived by doing an analysis of an ETF's individual constituents, and which includes Price/Sales ratio, Price/EPS (P/E Ratio), our proprietary Progressive-Blend S&P 500 Earnings Composite™ (PBEC™), EnterpriseValue/Operating Income Ratio (EV/OpInc), EV/CashFlow Trend, Price/Free Cash Flow Trend, Earnings Yield Trend, Revenue Growth Trend, Earnings Growth Trend, Debt/Equity Trend, Profit Margin Trend by sector, segment, and industry, Debt Service-to-Cash Flow Trend, Relative Earnings Trend (by market segment and sector), and others. We calculate these ratios for every individual stock in the Strategy's Universe ETF to derive a Composite Ratio and Trend for the entire index. Then this data can be compared to all other ETFs in the universe. This unique technique is a rarely used by other quantitative-strategy designers.

Breadth Indicators ($BI indicator series) includes Net New Highs-New Lows Percent, Advancing-vs-Declining Issues Percent, Percent of an ETFs Constituent Stocks above their 250-Day MA ($BI12), Percent of Index Constituent Stocks above their 60-day MA ($BI13), High Beta vs. Low Beta Percent Trend, McClellan Summation Index Score ($BI08), Market Segment Relative Strength Comparison, Sector/Segment Fund Flow Trends, and more...


Sentiment Indicators ($SI indicator series) includes Trend of Analyst Estimates, AAII Investor Sentiment, Investor's Intelligence Advisor's Sentiment, Advisor Expectations Index, CBOE Equity Put/Call Trend, Smart Money/Dumb Money Confidence Spread (Meta-Summary of all Bullish/Bearish Scores in the Strategy), S&P 500 Bullish Percent Index, and more…

Technical Indicators ($TI indicator series) - Our 'ETFOptimize Composite Technical Indicator™' (CTI), includes our proprietary 'Rainbow Indicator™," Price-to-200-day MA Status, ETF Relative Strength (by market segment, sector or an ETF's individual-company constituents), S&P 500 RSI Trend, Momentum of Trend Indicator, High-Beta/Low Beta Index, Accumulation-Distribution Index, Overbought-Oversold Index, Discounted Volatility Index, BB Composite Indicator, BB Width, and others...


Volatility Indicator ($VI indicator series) includes Normalized Average True Range (NATR), Volatility Index, Standard Deviation, Intraday Volatility, our Momentum of Fear Index™, Intraday Volatility, Volatility-Normalized Rate of Change, Bollinger Bands Signals, BB Width Mean Reversion, Relative Volatility (by market segment), and others…


– Select an ETFOptimize Premium Investment Strategy that's right for you –

 


 

 

Premium Strategies Built from Combinations
of High-Performance Composite Indicators


You won't see ETFOptimize making forecasts of any kind. We use our quantitative Indicator Composites to determine the status of current conditions—what we call 'NowCasting'—which identifies the optimum ETF asset(s) for current conditions, not conditions we hope to see next quarter or next year. Our indicators include the following:

To make the ETFOptimize Premium Strategies uncorrelated to one another, each model uses a different combination of factors and indicators from the 50+ data sets we use to construct our proprietary ETFOptimize Composite Indicators. These Composite Indicators and Ranking Systems assess and identify the near-term market environment and select the optimum ETF(s) to profit in the identified environment.

ETFOptimize selects the appropriate combination of components and indicators from the data sets listed above to combine into effective composites. These composite ranking systems, when combined with Buy and Sell Rules, determine market-exposure and ETF-selection for our strategies, with each indicator carefully selected to work synergistically to achieve the highest performance for each approach.

Our system designers, collectively, have more than five decades of experience in building quantitative investment systems to determine the proper asset configuration and market exposure to achieve the maximum return with the least amount of drawdown – and least amount of stress for you. 

This Swing-trading Approach is targeted to investors with intermediate-term and longer-term holding periods of weeks and months rather than faster-paced, speculative and day-traders, our strategies have an average position hold time of 4.84 months, with a range from 2.06 months to 10.88 months, depending on the model.

No other investment service of which we are aware – of any kind utilizes such a wide variety of indicators to generate robust, high-performance investment signals. Using ETFs with ample tradability, our strategies deliver consistent outperformance over market benchmarks in 96.5% of all years since inception – and perhaps most importantly – providing profitable performance in 100% of years since inception. Collectively,
that's 92 out of 92 consecutive years without a loss!

– Select an ETFOptimize Premium Investment Strategy that's right for you –



HOME

Copyright © 1998, ETFOptimize.com. All rights reserved.

Home Page